Static asset-pricing models:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Cheltenham [u.a.]
Elgar
2007
|
| Schriftenreihe: | The international library of financial econometrics
2 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XIX, 647 S. graph. Darst. |
| ISBN: | 9781847202635 9781843763420 |
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| 245 | 1 | 0 | |a Static asset-pricing models |c ed. by Andrew W. Lo |
| 264 | 1 | |a Cheltenham [u.a.] |b Elgar |c 2007 | |
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| 490 | 1 | |a The international library of financial econometrics |v 2 | |
| 490 | 0 | |a An Elgar reference collection | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Arbitrage |x Mathematical models | |
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Investments |x Mathematical models | |
| 700 | 1 | |a Lo, Andrew W. |d 1960- |e Sonstige |0 (DE-588)124791433 |4 oth | |
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Datensatz im Suchindex
| _version_ | 1804137574064717824 |
|---|---|
| adam_text | Contents
Acknowledgements
vii
Introduction Andrew W.
Lo
ix
PARTI THE CAPITAL
ASSET-PRICING MODEL
1.
Eugene
F. Fama
and James
D.
MacBeth
(1973),
Risk, Return, and
Equilibrium: Empirical Tests , Journal of Political Economy,
81,
607-36 3
2.
Michael R. Gibbons
(1982),
Multivariate Tests of Financial
Models: A New Approach , Journal of Financial Economics,
10,
3-27 33
3.
J.D. Jobson and Bob Korkie
(1982),
Potential Performance and
Tests of Portfolio Efficiency , Journal of Financial Economics,
10,
433-66 58
4.
A. Craig MacKinlay
(1987),
On Multivariate Tests of the CAPM
Journal of Financial Economics,
18, 341-71 92
5.
Michael R. Gibbons, Stephen A. Ross and Jay Shanken
(1989),
A
Test of the Efficiency of a Given Portfolio ,
Econometrica,
57 (5),
September,
1121-52 123
6.
Eugene F.
Fama
and Kenneth R. French
(1992),
The Cross-Section
of Expected Stock Returns , Journal of Finance,
XLVII (2),
June,
427-65 155
7.
Fischer Black
(1993),
Beta and Return , Journal of Portfolio
Management,
20 (1),
Fall,
8-18 194
8.
A. Craig MacKinlay
(1995),
Multifactor Models Do Not Explain
Deviations from the CAPM , Journal of Financial Economics,
38,
3-28 205
9.
Andrew W.
Lo
and Jiang Wang
(2000),
Trading Volume:
Definitions, Data Analysis, and Implications of Portfolio Theory
,
Review of Financial Studies,
13 (2),
Summer,
257-300 231
PARTII
THE ARBITRAGE PRICING THEORY
10.
Jay Shanken
(1982),
The Arbitrage Pricing Theory: Is it Testable? ,
Journal of Finance,
XXXVII
(5),
December,
1129-40 277
11.
Gary Chamberlain and Michael Rothschild
(1983),
Arbitrage,
Factor Structure, and Mean-Variance Analysis on Large Asset
Markets ,
Econometrica,
51 (5),
September,
1281-304 289
Static
Asset-Pricing Models
12.
Phoebus
J. Dhrymes,
Irwin
Friend and
N.
Bulent Guitekin
(1984),
A Critical
Reexamination
of the Empirical Evidence on the
Arbitrage Pricing Theory , Journal of Finance,
XXXIX (2),
June,
323^6 313
13.
Richard Roll and Stephen A. Ross
(1984),
A Critical
Reexamination of the Empirical Evidence on the Arbitrage Pricing
Theory: A Reply
,
Journal of Finance,
XXXIX (2),
June,
347-50 337
14.
Philip H. Dybvig and Stephen A. Ross
(1985),
Yes, The APT Is
Testable
,
Journal of Finance, XL
(4),
September,
1173-88 341
15.
Jay Shanken
(1985),
Multi-Beta CAPM or Equilibrium-APT?: A
Reply
,
Journal of Finance, XL
(4),
September,
1189-96 357
16.
Nai-Fu Chen, Richard Roll and Stephen A. Ross
(1986),
Economic
Forces and the Stock Market
,
Journal of Business,
59 (3), 383^03 365
17.
Bruce
N. Lehmann
and David M. Modest
(1988),
The Empirical
Foundations of the Arbitrage Pricing Theory , Journal of Financial
Economics,
21, 213-54 386
18.
Gregory Connor and Robert A. Korajczyk
( 1993),
A Test for the
Number of Factors in an Approximate Factor Model , Journal of
Finance,
XLVIII
(4),
September,
1263-91 428
PARTni PERFORMANCE ATTRIBUTION
19.
Jack L. Treynor and Fischer Black
(1973),
How to Use Security
Analysis to Improve Portfolio Selection , Journal of Business,
46 ( 1 ),
January,
66-86 459
20.
Robert
С
Merton
(1981),
On Market Timing and Investment
Performance. I. An Equilibrium Theory of Value for Market
Forecasts , Journal of Business,
54 (3), 363^06 480
21.
Roy D.
Henriksson
and Robert
С
Merton
(1981),
On Market
Timing and Investment Performance. II. Statistical Procedures for
Evaluating Forecasting Skills
,
Journal of Business,
54 (4), 513-33 524
22.
Andrew W.
Lo
(2002),
The Statistics of
Sharpe
Ratios
,
Financial
Analysts Journal,
58 (4),
July/August,
36-52 545
23.
Mila
Getmansky, Andrew W.
Lo
and Igor Makarov
(2004),
An
Econometric Model of Serial Correlation and
Ľliquidity
in Hedge
Fund Returns
,
Journal of Financial Economics,
74, 529-609 562
Name Index
643
THE INTERNATIONAL LIBRARY OF
FINANCIAL ECONOMETRICS
Editor Andrew W.
Lo
This
maior
five-volume work
-
prepared by a leading scholar, Andrew
W
Lo
-
is a testimony
to the remarkable advances made in financial econometncs dunng the last forty years.
The sheer breadth of topics included in these volumes will give readers a sense of the
impact and intellectual vttalrty of financial econometncs today The articles selected in these
volumes span a period of four decades
-
ranging from class« tests of the Random Walk
Hypothesis in the
1
960s to the application of random matnx theory to covanance-matnx
estimators in
2002 -
illustrating the remarkable progress that the field has achieved over
time. The papers present a rich tapestry of models and methods that have not only
intellectual interest but genuine practical value.
Volume
1
includes the most influential statistical models of financial-asset returns It is the
starting point for this intimate connection between finance and econometncs. Even without
the economic infrastructure of preferences, supply and demand, and general equilibnum.
the contributions in Volume
1
shed considerable light on the basic properties of asset
returns such as fat tails, serial correlation, and time-varying volatilities.
Volume
2
presents papers that extract additional information from asset returns and volume
by imposing additional structure: investor preferences, probability distnbutions for
underlying sources of uncertainty, and general equilibrium. Using a two-period or static
framework
-
the simplest possible context in which price uncertainty exists
-
the papers of
Volume
2
yield remarkably simple yet far-reaching implications for the relation between risk
and expected return, the proper economic definition of risk, and methods for evaluating the
performance of portfolio managers.
Volume
3
focuses on papers which go beyond the static two-period framework to the more
complex multi-period case. By modeling the
intertemporal
consumption/savings and
investment decisions of investors, a wealth of additional testable implications can be derived
for the time-series and cross-sectional properties of asset returns and volume.
Volume
4
presents papers which examine the dynamics of prices and quantities and shows
how they lead naturally to questions about the fine structure of financial transactions and
markets as well as the notion of continuous-time trading. The econometrics of
continuous-time stochastic processes is essential for applications of derivatives pricing
models to data, and the practical relevance of continuous-time approximations is dictated
by the particular market
microstructure
of the derivative s underlying asset.
Votum· 5
contains methodological papers, as well as contributions to finance that are not
yet part of the mainstream, but which address important issues nonetheless. In particular.
Volume
5
includes papers on quantifying selection and data-snooping biases in tests of
financial asset-pricing models, applications of Bayesian methods, event-study analysis,
generalized method of moments estimation, and some example from the emerging field of
econophysics.
This five-volume work will be an essential source of reference for financial econometricians,
economists and investors.
Andrew W.
Lo
is Harris
&
Harris Group Professor and Director of the MIT Laboratory for
Financial Engineering at the Massachusetts Institute of Technology, USA.
|
| adam_txt |
Contents
Acknowledgements
vii
Introduction Andrew W.
Lo
ix
PARTI THE CAPITAL
ASSET-PRICING MODEL
1.
Eugene
F. Fama
and James
D.
MacBeth
(1973),
'Risk, Return, and
Equilibrium: Empirical Tests', Journal of Political Economy,
81,
607-36 3
2.
Michael R. Gibbons
(1982),
'Multivariate Tests of Financial
Models: A New Approach', Journal of Financial Economics,
10,
3-27 33
3.
J.D. Jobson and Bob Korkie
(1982),
'Potential Performance and
Tests of Portfolio Efficiency', Journal of Financial Economics,
10,
433-66 58
4.
A. Craig MacKinlay
(1987),
'On Multivariate Tests of the CAPM\
Journal of Financial Economics,
18, 341-71 92
5.
Michael R. Gibbons, Stephen A. Ross and Jay Shanken
(1989),
'A
Test of the Efficiency of a Given Portfolio',
Econometrica,
57 (5),
September,
1121-52 123
6.
Eugene F.
Fama
and Kenneth R. French
(1992),
'The Cross-Section
of Expected Stock Returns', Journal of Finance,
XLVII (2),
June,
427-65 155
7.
Fischer Black
(1993),
'Beta and Return', Journal of Portfolio
Management,
20 (1),
Fall,
8-18 194
8.
A. Craig MacKinlay
(1995),
'Multifactor Models Do Not Explain
Deviations from the CAPM', Journal of Financial Economics,
38,
3-28 205
9.
Andrew W.
Lo
and Jiang Wang
(2000),
'Trading Volume:
Definitions, Data Analysis, and Implications of Portfolio Theory'
,
Review of Financial Studies,
13 (2),
Summer,
257-300 231
PARTII
THE ARBITRAGE PRICING THEORY
10.
Jay Shanken
(1982),
'The Arbitrage Pricing Theory: Is it Testable?',
Journal of Finance,
XXXVII
(5),
December,
1129-40 277
11.
Gary Chamberlain and Michael Rothschild
(1983),
'Arbitrage,
Factor Structure, and Mean-Variance Analysis on Large Asset
Markets',
Econometrica,
51 (5),
September,
1281-304 289
Static
Asset-Pricing Models
12.
Phoebus
J. Dhrymes,
Irwin
Friend and
N.
Bulent Guitekin
(1984),
'A Critical
Reexamination
of the Empirical Evidence on the
Arbitrage Pricing Theory', Journal of Finance,
XXXIX (2),
June,
323^6 313
13.
Richard Roll and Stephen A. Ross
(1984),
'A Critical
Reexamination of the Empirical Evidence on the Arbitrage Pricing
Theory: A Reply'
,
Journal of Finance,
XXXIX (2),
June,
347-50 337
14.
Philip H. Dybvig and Stephen A. Ross
(1985),
'Yes, The APT Is
Testable'
,
Journal of Finance, XL
(4),
September,
1173-88 341
15.
Jay Shanken
(1985),
'Multi-Beta CAPM or Equilibrium-APT?: A
Reply'
,
Journal of Finance, XL
(4),
September,
1189-96 357
16.
Nai-Fu Chen, Richard Roll and Stephen A. Ross
(1986),
'Economic
Forces and the Stock Market'
,
Journal of Business,
59 (3), 383^03 365
17.
Bruce
N. Lehmann
and David M. Modest
(1988),
'The Empirical
Foundations of the Arbitrage Pricing Theory', Journal of Financial
Economics,
21, 213-54 386
18.
Gregory Connor and Robert A. Korajczyk
( 1993),
'A Test for the
Number of Factors in an Approximate Factor Model', Journal of
Finance,
XLVIII
(4),
September,
1263-91 428
PARTni PERFORMANCE ATTRIBUTION
19.
Jack L. Treynor and Fischer Black
(1973),
'How to Use Security
Analysis to Improve Portfolio Selection', Journal of Business,
46 ( 1 ),
January,
66-86 459
20.
Robert
С
Merton
(1981),
'On Market Timing and Investment
Performance. I. An Equilibrium Theory of Value for Market
Forecasts', Journal of Business,
54 (3), 363^06 480
21.
Roy D.
Henriksson
and Robert
С
Merton
(1981),
'On Market
Timing and Investment Performance. II. Statistical Procedures for
Evaluating Forecasting Skills'
,
Journal of Business,
54 (4), 513-33 524
22.
Andrew W.
Lo
(2002),
'The Statistics of
Sharpe
Ratios'
,
Financial
Analysts Journal,
58 (4),
July/August,
36-52 545
23.
Mila
Getmansky, Andrew W.
Lo
and Igor Makarov
(2004),
'An
Econometric Model of Serial Correlation and
Ľliquidity
in Hedge
Fund Returns'
,
Journal of Financial Economics,
74, 529-609 562
Name Index
643
THE INTERNATIONAL LIBRARY OF
FINANCIAL ECONOMETRICS
Editor Andrew W.
Lo
This
maior
five-volume work
-
prepared by a leading scholar, Andrew
W
Lo
-
is a testimony
to the remarkable advances made in financial econometncs dunng the last forty years.
The sheer breadth of topics included in these volumes will give readers a sense of the
impact and intellectual vttalrty of financial econometncs today The articles selected in these
volumes span a period of four decades
-
ranging from class« tests of the Random Walk
Hypothesis in the
1
960s to the application of random matnx theory to covanance-matnx
estimators in
2002 -
illustrating the remarkable progress that the field has achieved over
time. The papers present a rich tapestry of models and methods that have not only
intellectual interest but genuine practical value.
Volume
1
includes the most influential statistical models of financial-asset returns It is the
starting point for this intimate connection between finance and econometncs. Even without
the economic infrastructure of preferences, supply and demand, and general equilibnum.
the contributions in Volume
1
shed considerable light on the basic properties of asset
returns such as fat tails, serial correlation, and time-varying volatilities.
Volume
2
presents papers that extract additional information from asset returns and volume
by imposing additional structure: investor preferences, probability distnbutions for
underlying sources of uncertainty, and general equilibrium. Using a two-period or static
framework
-
the simplest possible context in which price uncertainty exists
-
the papers of
Volume
2
yield remarkably simple yet far-reaching implications for the relation between risk
and expected return, the proper economic definition of risk, and methods for evaluating the
performance of portfolio managers.
Volume
3
focuses on papers which go beyond the static two-period framework to the more
complex multi-period case. By modeling the
intertemporal
consumption/savings and
investment decisions of investors, a wealth of additional testable implications can be derived
for the time-series and cross-sectional properties of asset returns and volume.
Volume
4
presents papers which examine the dynamics of prices and quantities and shows
how they lead naturally to questions about the fine structure of financial transactions and
markets as well as the notion of continuous-time trading. The econometrics of
continuous-time stochastic processes is essential for applications of derivatives pricing
models to data, and the practical relevance of continuous-time approximations is dictated
by the particular market
microstructure
of the derivative's underlying asset.
Votum· 5
contains methodological papers, as well as contributions to finance that are not
yet part of the mainstream, but which address important issues nonetheless. In particular.
Volume
5
includes papers on quantifying selection and data-snooping biases in tests of
financial asset-pricing models, applications of Bayesian methods, event-study analysis,
generalized method of moments estimation, and some example from the emerging field of
econophysics.
This five-volume work will be an essential source of reference for financial econometricians,
economists and investors.
Andrew W.
Lo
is Harris
&
Harris Group Professor and Director of the MIT Laboratory for
Financial Engineering at the Massachusetts Institute of Technology, USA. |
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| index_date | 2024-07-02T20:33:08Z |
| indexdate | 2024-07-09T21:14:27Z |
| institution | BVB |
| isbn | 9781847202635 9781843763420 |
| language | English |
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| spelling | Static asset-pricing models ed. by Andrew W. Lo Cheltenham [u.a.] Elgar 2007 XIX, 647 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The international library of financial econometrics 2 An Elgar reference collection Mathematisches Modell Arbitrage Mathematical models Capital assets pricing model Finance Mathematical models Investments Mathematical models Lo, Andrew W. 1960- Sonstige (DE-588)124791433 oth The international library of financial econometrics 2 (DE-604)BV023263721 2 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449087&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449087&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Static asset-pricing models The international library of financial econometrics Mathematisches Modell Arbitrage Mathematical models Capital assets pricing model Finance Mathematical models Investments Mathematical models |
| title | Static asset-pricing models |
| title_auth | Static asset-pricing models |
| title_exact_search | Static asset-pricing models |
| title_exact_search_txtP | Static asset-pricing models |
| title_full | Static asset-pricing models ed. by Andrew W. Lo |
| title_fullStr | Static asset-pricing models ed. by Andrew W. Lo |
| title_full_unstemmed | Static asset-pricing models ed. by Andrew W. Lo |
| title_short | Static asset-pricing models |
| title_sort | static asset pricing models |
| topic | Mathematisches Modell Arbitrage Mathematical models Capital assets pricing model Finance Mathematical models Investments Mathematical models |
| topic_facet | Mathematisches Modell Arbitrage Mathematical models Capital assets pricing model Finance Mathematical models Investments Mathematical models |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449087&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016449087&sequence=000002&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023263721 |
| work_keys_str_mv | AT loandreww staticassetpricingmodels |