发帖
雷达卡
by John B Guerard (Author, Editor), William T Ziemba (Editor)
About this Book
This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average investor could not outperform the stock market based on technical, seasonal and fundamental data. Many, if not most faculty and investors, no longer share that opinion. In this book, the authors report original empirical evidence that applied investment research can produce statistically significant stock selection and excess portfolio returns in the US, and larger excess returns in international and emerging markets.
Readership: For readers who are interested to know the key findings of the latest investment research.
Brief Contents
Part I: Fundamental Anomalies and Stock Selection Modeling 1
Chapter 1 The Five Investor Camps that Try to Beat the Stock Market 3
Chapter 2 A Comparison of Some Aspects of the U.S. and Japanese Equity Markets 17
Chapter 3 Covariance Complexity and Rates of Return on Assets 41
Chapter 4 The Role of Effective Corporate Decisions in the Creation of Ecient Portfolios 63
Chapter 5 Earnings Forecasting in a Global Stock Selection Model and Ecient Portfolio Construction and Management 75
Chapter 6 Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet 87
Chapter 7 The Hillcrest Management Sentiment Indicator 127
Part II: Financial Anomalies and Calendar Effects 141
Chapter 8 Seasonality Effects in Japanese Futures Markets 143
Chapter 9 Sell-in-May-and-Go-Away in the U.S. Equity Index Futures Markets, 1993-2019 173
Chapter 10 Japanese Security Market Regularities: Monthly, Turn-of-the-Month and Year, Holiday, and Golden Week Effects 187
Chapter 11 World Wide Security Market Regularities 215
Chapter 12 Sell-in-May-and-Go-Away: The International Evidence 247
Chapter 13 Seasonal Effects, Trends and Pre-Announcement Drifts: Turning Anomalies into Investment Strategies 281
Chapter 14 Stock Market Crashes in 2006-2009: Were We Able to Predict Them? 323
Part III: Effcient Portfolio Construction 355
Chapter 15 Effcient Global Portfolios: Big Data and Investment Universes 357
Chapter 16 Avoiding the Downside: A Practical Review of the Critical Line Algorithm for Mean-Semivariance Portfolio Optimization 369
Chapter 17 Alternative Measures of Mutual Fund Performance: Ranking DFA, Fidelity, and Vanguard 417
Part IV: Asset Allocation and Non-Stock Investment Research 477
Chapter 18 Wealth Management Next Frontiers -- The Inevitable Need to Meet Behavioral and Quantitative Approaches 479
Chapter 19 Foreign Exchange Rate Predictability: Seek and Ye Shall Find It 511
Chapter 20 Tracking VIX with VIX Futures: Portfolio Construction and Performance 557
Chapter 21 Long-Memory Processes in High-Frequency Foreign Exchange and U.S. Equity Market 597
Chapter 22 Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market 621
Chapter 23 A Stopping Rule Model for Exiting Bubble-like Markets with Applications 635
Chapter 24 Econometric Tools for Stress Testing Using Time Heterogeneity and Maximum Entropy 661
Chapter 25 Causality Studies of Real GDP, Unemployment, and Leading Indicators 691
Chapter 26 Investing on the "Far Side of the Moon": Capturing Capital Market Inclusion Opportunity across MEASA (Middle East-Africa-South Asia) 725
Index 743
Series : World Scientific Handbook in Financial Economics Series
Publisher : World Scientific Publishing (October 7, 2020)
Language : English
Pages : 778
ISBN-10 : 981121672X
ISBN-13 : 978-9811216725
PDF version
WSC__Handbook of Applied Investment Research.pdf
(69.5 MB, 需要: 30 个论坛币)
EPUB version
WSC__Handbook of Applied Investment Research.epub
(20.6 MB, 需要: 30 个论坛币)
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