Handbook of applied investment research:
Gespeichert in:
| Weitere Verfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New Jersey
World Scientific
[2021]
|
| Schriftenreihe: | World scientific handbook in financial economics series
Vol. 9 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | LII, 763 Seiten Diagramme |
| ISBN: | 9789811216725 |
Internformat
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| adam_text | © 2020 World Scientific Publishing Company https://doi.org/10.1142/9789811222634_fmatter Contents v ix xxi xxix About the Editors About the Contributors Acknowledgments Introduction Part I: Chapter 1 Chapter 2 Chapter 3 Chapter 4 Fundamental Anomalies and Stock Selection Modeling The Five Investor Camps that Try to Beat the Stock Market William T, Ziemba A Comparison of Some Aspects of the U.S. and Japanese Equity Markets M. Bloch, J. Guerard, H. Markowitz, P. Todd and G. Xu Covariance Complexity and Rates of Return on Assets Leonard C. MacLean, Michel E. Foster, and William T. Ziemba The Role of Effective Corporate Decisions in the Creation of Efficient Portfolios J. B. Guerard, Jr., H. Markowitz, and G. Xu XXV 1 3 17 41 63
XXVI Chapter 5 Chapter 6 Handbook of Applied Investment Research Earnings Forecasting in a Global Stock Selection Model and Efficient Portfolio Construction and Management John B. Guerard, Jr., Harry M. Markowitz, and GanLin Xu 75 Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet Bijan Beheshti, John B. Guerard, Jr., and Chris Mercs 87 Chapter 7 The Hillcrest Management Sentiment Indicator Brian Bruce and Douglas Stark 127 Part II: Financial Anomalies and Calendar Effects 141 Chapter 8 Seasonality Effects in Japanese Futures Markets William T. Ziemba 143 Chapter 9 Sell-in-May-and-Go Away in the U.S. Equity Index Futures Markets, 1993-2019 Constantine Dzhabarov and William T. Ziemba Chapter 10 Japanese Security Market Regularities: Monthly, Turn-of-the-Month and Year, Holiday, and Golden Week Effects William T. Ziemba Chapter 11 World Wide Security Market Regularities William T. Ziemba Chapter 12 Sell-in-May-and-Go-Away: The International Evidence Constantine Dzhabarov, Alexandre Ziegler and William T. Ziemba 173 187 215 2ąj
Contenta xxvii Chapter 13 Seasonal Effects, Trends and Pre-Announcement Drifts: Turning Anomalies into Investment Strategies Blair Hull, Petra Bakosova and Alexander Kment 281 Chapter 14 Stock Market Crashes in 2006-2009: Were We Able to Predict Them? Sebastien Lieo and William T Ziemba 323 Part III: 355 Efficient Portfolio Construction Chapter 15 Efficient Global Portfolios: Big Data and Investment Universes J. B. Guerard, Jr., S. T. Rachev, and B. P. Shao Chapter 16 Avoiding the Downside: A Practical Review of the Critical Line Algorithm for Mean-Semivariance Portfolio Optimization Harry M. Markowitz, David Starer, Harvey Pram and Sander Gerber Chapter 17 Alternative Measures of Mutual Fund Performance: Ranking DFA, Fidelity, and Vanguard Chong Li, Edward Tower, and Rhona Zhang Part IV: Asset Allocation and Non-Stock Investment Research Chapter 18 Wealth Management Next Frontiers — The Inevitable Need to Meet Behavioral and Quantitative Approaches Boryana Racheva-Iotova 357 369 417 477 479
Handbook of Applied Investment Research Chapter 19 Foreign Exchange Rate Predictability: Seek and Ye Shall Find It Foteini Kyriazi and Dimitrios D. Thornakos 511 Chapter 20 Tracking VIX with VIX Futures: Portfolio Construction and Performance Tim Leung and Brian Ward 557 Chapter 21 Long-Memory Processes in High-Frequency Foreign Exchange and U.S. EquityMarket Barret Pengyuan Shao 597 Chapter 22 Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market William T. Ziemba 621 Chapter 23 A Stopping Rule Model for Exiting Bubble-like Markets with Applications William T. Ziemba, S. Lieo and M. Zhitlukhin 635 Chapter 24 Econometric Tools for Stress Testing Using Time Heterogeneity and MaximumEntropy H. D. Vinod 661 Chapter 25 Causality Studies of Real GDP, Unemployment, and Leading Indicators H. D. Vinod and John B. Guerard, Jr. 691 Chapter 26 Investing on the “Far Side of the Moon” : Capturing Capital Market Inclusion Opportunity across MEASA (Middle East-Africa-South Asia) Robert A. Giliam and Russell Read Index 725 743
|
| adam_txt |
© 2020 World Scientific Publishing Company https://doi.org/10.1142/9789811222634_fmatter Contents v ix xxi xxix About the Editors About the Contributors Acknowledgments Introduction Part I: Chapter 1 Chapter 2 Chapter 3 Chapter 4 Fundamental Anomalies and Stock Selection Modeling The Five Investor Camps that Try to Beat the Stock Market William T, Ziemba A Comparison of Some Aspects of the U.S. and Japanese Equity Markets M. Bloch, J. Guerard, H. Markowitz, P. Todd and G. Xu Covariance Complexity and Rates of Return on Assets Leonard C. MacLean, Michel E. Foster, and William T. Ziemba The Role of Effective Corporate Decisions in the Creation of Efficient Portfolios J. B. Guerard, Jr., H. Markowitz, and G. Xu XXV 1 3 17 41 63
XXVI Chapter 5 Chapter 6 Handbook of Applied Investment Research Earnings Forecasting in a Global Stock Selection Model and Efficient Portfolio Construction and Management John B. Guerard, Jr., Harry M. Markowitz, and GanLin Xu 75 Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet Bijan Beheshti, John B. Guerard, Jr., and Chris Mercs 87 Chapter 7 The Hillcrest Management Sentiment Indicator Brian Bruce and Douglas Stark 127 Part II: Financial Anomalies and Calendar Effects 141 Chapter 8 Seasonality Effects in Japanese Futures Markets William T. Ziemba 143 Chapter 9 Sell-in-May-and-Go'Away in the U.S. Equity Index Futures Markets, 1993-2019 Constantine Dzhabarov and William T. Ziemba Chapter 10 Japanese Security Market Regularities: Monthly, Turn-of-the-Month and Year, Holiday, and Golden Week Effects William T. Ziemba Chapter 11 World Wide Security Market Regularities William T. Ziemba Chapter 12 Sell-in-May-and-Go-Away: The International Evidence Constantine Dzhabarov, Alexandre Ziegler and William T. Ziemba 173 187 215 2ąj
Contenta xxvii Chapter 13 Seasonal Effects, Trends and Pre-Announcement Drifts: Turning Anomalies into Investment Strategies Blair Hull, Petra Bakosova and Alexander Kment 281 Chapter 14 Stock Market Crashes in 2006-2009: Were We Able to Predict Them? Sebastien Lieo and William T Ziemba 323 Part III: 355 Efficient Portfolio Construction Chapter 15 Efficient Global Portfolios: Big Data and Investment Universes J. B. Guerard, Jr., S. T. Rachev, and B. P. Shao Chapter 16 Avoiding the Downside: A Practical Review of the Critical Line Algorithm for Mean-Semivariance Portfolio Optimization Harry M. Markowitz, David Starer, Harvey Pram and Sander Gerber Chapter 17 Alternative Measures of Mutual Fund Performance: Ranking DFA, Fidelity, and Vanguard Chong Li, Edward Tower, and Rhona Zhang Part IV: Asset Allocation and Non-Stock Investment Research Chapter 18 Wealth Management Next Frontiers — The Inevitable Need to Meet Behavioral and Quantitative Approaches Boryana Racheva-Iotova 357 369 417 477 479
Handbook of Applied Investment Research Chapter 19 Foreign Exchange Rate Predictability: Seek and Ye Shall Find It Foteini Kyriazi and Dimitrios D. Thornakos 511 Chapter 20 Tracking VIX with VIX Futures: Portfolio Construction and Performance Tim Leung and Brian Ward 557 Chapter 21 Long-Memory Processes in High-Frequency Foreign Exchange and U.S. EquityMarket Barret Pengyuan Shao 597 Chapter 22 Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market William T. Ziemba 621 Chapter 23 A Stopping Rule Model for Exiting Bubble-like Markets with Applications William T. Ziemba, S. Lieo and M. Zhitlukhin 635 Chapter 24 Econometric Tools for Stress Testing Using Time Heterogeneity and MaximumEntropy H. D. Vinod 661 Chapter 25 Causality Studies of Real GDP, Unemployment, and Leading Indicators H. D. Vinod and John B. Guerard, Jr. 691 Chapter 26 Investing on the “Far Side of the Moon” : Capturing Capital Market Inclusion Opportunity across MEASA (Middle East-Africa-South Asia) Robert A. Giliam and Russell Read Index 725 743 |
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| spelling | Guerard, John Baynard (DE-588)170085600 edt Handbook of applied investment research editors: John B. Guerard and William T. Ziemba New Jersey World Scientific [2021] © 2021 LII, 763 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier World scientific handbook in financial economics series Vol. 9 Wirtschaftsindikator (DE-588)4249243-9 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Wirtschaftsindikator (DE-588)4249243-9 s DE-604 Ziemba, William T. 1941- (DE-588)108488713 edt Erscheint auch als Onlineausgabe, Insitutionen 978-981-122-263-4 Erscheint auch als Onlineausgabe, Endnutzer 978-981-122-264-1 World scientific handbook in financial economics series Vol. 9 (DE-604)BV045507878 9 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032289727&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Handbook of applied investment research |
| title_auth | Handbook of applied investment research |
| title_exact_search | Handbook of applied investment research |
| title_exact_search_txtP | Handbook of applied investment research |
| title_full | Handbook of applied investment research editors: John B. Guerard and William T. Ziemba |
| title_fullStr | Handbook of applied investment research editors: John B. Guerard and William T. Ziemba |
| title_full_unstemmed | Handbook of applied investment research editors: John B. Guerard and William T. Ziemba |
| title_short | Handbook of applied investment research |
| title_sort | handbook of applied investment research |
| topic | Wirtschaftsindikator (DE-588)4249243-9 gnd |
| topic_facet | Wirtschaftsindikator Aufsatzsammlung |
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