‘Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.’
Eugene Fama, Robert R. Mc Cormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences
‘The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.’
John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University
‘Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.’
Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College
‘This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory Ph D class in empirical asset pricing.’
Lubos Pastor, Charles P. Mc Quaid Professor of Finance, University of Chicago
Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes:
* Discussions on the driving forces behind the patterns observed in the stock market
* An extensive set of results that serve as a reference for practitioners and academics alike
* Numerous references to both contemporary and foundational research articles
Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics.
Turan G. Bali, Ph D, is the Robert Parker Chair Professor of Finance in the Mc Donough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley.
Robert F. Engle, Ph D, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics.
Scott Murray, Ph D, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Eugene Fama, Robert R. Mc Cormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences
‘The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.’
John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University
‘Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.’
Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College
‘This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory Ph D class in empirical asset pricing.’
Lubos Pastor, Charles P. Mc Quaid Professor of Finance, University of Chicago
Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes:
* Discussions on the driving forces behind the patterns observed in the stock market
* An extensive set of results that serve as a reference for practitioners and academics alike
* Numerous references to both contemporary and foundational research articles
Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics.
Turan G. Bali, Ph D, is the Robert Parker Chair Professor of Finance in the Mc Donough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley.
Robert F. Engle, Ph D, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics.
Scott Murray, Ph D, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
€100.99
Cuprins
Preface ixI Statistical Methodologies 1
1 Preliminaries 3
1.1 Sample 3
1.2 Winsorization and Truncation 5
1.3 Newey and West (1987) Adjustment 6
1.4 Summary 8
2 Summary Statistics 11
2.1 Implementation 11
2.1.1 Periodic Cross-Sectional Summary Statistics 12
2.1.2 Average Cross-Sectional Summary Statistics 14
2.2 Presentation and Interpretation 15
2.3 Summary 17
3 Correlation 19
3.1 Implementation 20
3.1.1 Periodic Cross-Sectional Correlations 20
3.1.2 Average Cross-Sectional Correlations 21
3.2 Interpreting Correlations 21
3.3 Presenting Correlations 25
3.4 Summary 25
4 Persistence Analysis 29
4.1 Implementation 29
4.1.1 Periodic Cross-Sectional Persistence 30
4.1.2 Average Cross-Sectional Persistence 31
4.2 Interpreting Persistence 31
4.3 Presenting Persistence 35
4.4 Summary 36
5 Portfolio Analysis 39
5.1 Univariate Portfolio Analysis 40
5.1.1 Breakpoints 40
5.1.2 Portfolio Formation 44
5.1.3 Average Portfolio Values 45
5.1.4 Summarizing the Results 48
5.1.5 Interpreting the Results 51
5.1.6 Presenting the Results 52
5.1.7 Analyzing Returns 55
5.2 Bivariate Independent-Sort Analysis 59
5.2.1 Breakpoints 60
5.2.2 Portfolio Formation 63
5.2.3 Average Portfolio Values 64
5.2.4 Summarizing the Results 68
5.2.5 Interpreting the Results 68
5.2.6 Presenting the Results 72
5.3 Bivariate Dependent-Sort Analysis 77
5.3.1 Breakpoints 78
5.3.2 Portfolio Formation 80
5.3.3 Average Portfolio Values 80
5.3.4 Summarizing the Results 83
5.3.5 Interpreting the Results 86
5.3.6 Presenting the Results 86
5.4 Independent versus Dependent Sort 90
5.5 Trivariate-Sort Analysis 93
5.6 Summary 93
6 Fama and Mac Beth Regression Analysis 97
6.1 Implementation 97
6.1.1 Periodic Cross-Sectional Regressions 98
6.1.2 Average Cross-Sectional Regression Results 99
6.2 Interpreting FM Regressions 103
6.3 Presenting FM Regressions 105
6.4 Summary 107
II The Cross-Section of Stock Returns 111
7 The CRSP Sample and Market Factor 113
7.1 The U.S. Stock Market 113
7.1.1 The CRSP U.S-based Common Stock Sample 114
7.1.2 Composition of the CRSP Sample 115
7.2 Stock Returns and Excess Returns 121
7.2.1 CRSP Sample (1963-2012) 124
7.3 The Market Factor 126
7.4 The CAPM Risk Model 130
7.5 Summary 131
8 Beta 135
8.1 Calculating Beta 136
8.2 Summary Statistics 138
8.3 Correlations 140
8.4 Persistence 142
8.5 Beta and Stock Returns 144
8.5.1 Portfolio Analysis 145
8.5.2 Fama-Mac Beth Regression Analysis 150
8.6 Summary 153
9 The Size Effect 157
9.1 Calculating Market Capitalization 158
9.2 Summary Statistics 161
9.3 Correlations 163
9.4 Persistence 164
9.5 Size and Stock Returns 165
9.5.1 Univariate Portfolio Analysis 166
9.5.2 Bivariate Portfolio Analysis 171
9.5.3 Fama-Mac Beth Regression Analysis 179
9.6 The Size Factor 182
9.7 Summary 185
10 The Value Premium 189
10.1 Calculating Book-to-Market Ratio 191
10.2 Summary Statistics 195
10.3 Correlations 196
10.4 Persistence 198
10.5 Book-to-Market Ratio and Stock Returns 199
10.5.1 Univariate Portfolio Analysis 200
10.5.2 Bivariate Portfolio Analysis 202
10.5.3 Fama-Mac Beth Regression Analysis 211
10.6 The Value Factor 212
10.7 The Fama and French Three-Factor Model 216
10.8 Summary 216
11 The Momentum Effect 223
11.1 Measuring Momentum 224
11.2 Summary Statistics 225
11.3 Correlations 227
11.4 Momentum and Stock Returns 227
11.4.1 Univariate Portfolio Analysis 228
11.4.2 Bivariate Portfolio Analysis 236
11.4.3 Fama-Mac Beth Regression Analysis 249
11.5 The Momentum Factor 252
11.6 The Fama, French, and Carhart Four-Factor Model 256
11.7 Summary 256
12 Short-Term Reversal 263
12.1 Measuring Short-Term Reversal 264
12.2 Summary Statistics 264
12.3 Correlations 264
12.4 Reversal and Stock Returns 265
12.4.1 Univariate Portfolio Analysis 265
12.4.2 Bivariate Portfolio Analyses 269
12.5 Fama-Mac Beth Regressions 281
12.6 The Reversal Factor 286
12.7 Summary 290
13 Liquidity 293
13.1 Measuring Liquidity 295
13.2 Summary Statistics 297
13.3 Correlations 298
13.4 Persistence 301
13.5 Liquidity and Stock Returns 303
13.5.1 Univariate Portfolio Analysis 303
13.5.2 Bivariate Portfolio Analysis 308
13.5.3 Fama-Mac Beth Regression Analysis 319
13.6 Liquidity Factors 326
13.6.1 Stock-Level Liquidity 328
13.6.2 Aggregate Liquidity 329
13.6.3 Liquidity Innovations 330
13.6.4 Traded Liquidity Factor 331
13.7 Summary 335
14 Skewness 341
14.1 Measuring Skewness 343
14.2 Summary Statistics 345
14.3 Correlations 347
14.3.1 Total Skewness 347
14.3.2 Co-Skewness 351
14.3.3 Idiosyncratic Skewness 352
14.3.4 Total Skewness, Co-Skewness, and Idiosyncratic Skewness 353
14.3.5 Skewness and Other Variables 354
14.4 Persistence 357
14.4.1 Total Skewness 359
14.4.2 Co-Skewness 360
14.4.3 Idiosyncratic Skewness 362
14.5 Skewness and Stock Returns 364
14.5.1 Univariate Portfolio Analysis 364
14.5.2 Fama-Mac Beth Regressions 373
14.6 Summary 380
15 Idiosyncratic Volatility 387
15.1 Measuring Total Volatility 389
15.2 Measuring Idiosyncratic Volatility 390
15.3 Summary Statistics 391
15.4 Correlations 393
15.5 Persistence 403
15.6 Idiosyncratic Volatility and Stock Returns 406
15.6.1 Univariate Portfolio Analysis 407
15.6.2 Bivariate Portfolio Analysis 414
15.6.3 Fama-Mac Beth Regression Analysis 422
15.6.4 Cumulative Returns of Idio V ol FF;1M Portfolio 431
15.7 Summary 432
16 Liquid Samples 437
16.1 Samples 438
16.2 Summary Statistics 438
16.3 Correlations 443
16.4 Persistence 445
16.5 Expected Stock Returns 448
16.5.1 Univariate Portfolio Analysis 450
16.5.2 Fama-Mac Beth Regression Analysis 459
16.6 Summary 462
17 Option-Implied Volatility 467
17.1 Options Sample 469
17.2 Option-Based Variables 470
17.2.1 Predictive Variables 470
17.2.2 Option Returns 473
17.2.3 Additional Notes 474
17.3 Summary Statistics 475
17.4 Correlations 478
17.5 Persistence 480
17.6 Stock Returns 481
17.6.1 IV ol Spread, IV ol Skew, and V ol1M IV ol 481
17.6.2 IV ol C and IV ol P 486
17.7 Option Returns 495
17.8 Summary 501
18 Other Stock Return Predictors 507
18.1 Asset Growth 508
18.2 Investor Sentiment 509
18.3 Investor Attention 511
18.4 Differences of Opinion 512
18.5 Protability and Investment 512
18.6 Lottery Demand 513
Despre autor
Turan G. Bali, Ph D, is the Robert Parker Chair Professor of Finance in the Mc Donough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the co-author of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley.Robert F. Engle, Ph D, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics.
Scott Murray, Ph D, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
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Limba Engleză ● Format PDF ● Pagini 512 ● ISBN 9781118589472 ● Mărime fișier 3.7 MB ● Editura John Wiley & Sons ● Publicat 2016 ● Ediție 1 ● Descărcabil 24 luni ● Valută EUR ● ID 4835055 ● Protecție împotriva copiilor Adobe DRM
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