Handbook of Equity Style Management / Edition 3

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Overview

A fully updated guide to equity style management
Pioneered by Nobel laureate William Sharpe, equity style management is derived from a correlation analysis of various equity style categories, such as value, growth, small cap, large cap and foreign stocks. In the Third Edition of The Handbook of Equity Style Management, twenty contributors from industry and academia help readers understand various equity style management issues, including equity style indices, different approaches to equity style measurement, foreign stock investing, tactical style management, behavioral aspects of equity style, and equity style benchmarks for manager selection and performance attribution. This updated edition gives readers the rationale behind equity style management, and shows how new strategies can be used to manage risk and improve returns.
T. Daniel Coggin, PhD (Charlotte, NC), is an investment management consultant who has coauthored three books and numerous articles on investment management. Frank J. Fabozzi, PhD, CFA (New Hope, PA), is Editor of The Journal of Portfolio Management and author or editor of over 100 books on finance and investing.

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Product Details

  • ISBN-13: 9780471268048
  • Publisher: Wiley
  • Publication date: 2/28/2003
  • Series: Frank J. Fabozzi Series , #102
  • Edition description: Subsequent
  • Edition number: 3
  • Pages: 512
  • Product dimensions: 9.00 (w) x 6.00 (h) x 1.31 (d)

Meet the Author

T. DANIEL COGGIN, PhD, is a nationally recognized investmentmanagement consultant with over twenty-five years of experience ininvestment management and consulting. Dr. Coggin is a frequentspeaker at investment industry conferences, and has co-edited threebooks and written numerous articles and book chapters onquantitative investment management. He earned his PhD in politicalscience from Michigan State University in 1977 with an emphasis oneconometrics and quantitative methods.

FRANK J. FABOZZI, PhD, CFA, is Editor of the Journal ofPortfolio Management and an Adjunct Professor of Finance at YaleUniversity’s School of Management. Dr. Fabozzi is on theboard of directors of the Guardian Life family of funds and theBlackRock complex of funds. He is an Advisory Analyst for GlobalAsset Management (GAM) with responsibilities as Consulting Directorfor portfolio construction, risk control, and evaluation.

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Table of Contents

About the Editors.

Preface.

Overview of the Book.

Contributing Authors.

CHAPTER 1. Style Analysis: Asset Allocation and PerformanceEvaluation (Arik Ben Dor and Ravi Jagannathan).

CHAPTER 2. The Many Elements of Equity Style: QuantitativeManagement of Core, Growth, and Value Strategies  (Robert D.Arnott and Christopher G. Luck).

CHAPTER 3. Models of Equity Style Information (Robert C.Radcliffe).

CHAPTER 4. Style Analysis: A Ten-Year Retrospective andCommentary (R. Stephen Hardy).

CHAPTER 5. More Depth and Breadth than the Style Box: TheMorningstar Lens (Paul D. Kaplan, James A. Knowles, and DonPhillips).

CHAPTER 6. Using Portfolio Holdings to Improve the Search forSkill (Ronald J. Surz).

CHAPTER 7. Are Growth and Value Dead?: A New Framework forEquity Investment Styles (Lawrence S. Speidell and JohnGraves).

CHAPTER 8. The Style of Investor Expectations (Hersh Shefrin andMeir Statman).

CHAPTER 9. The Effects of Imprecision and Bias on the Abilitiesof Growth and Value Managers to Outperform their RespectiveBenchmarks (Robert A. Haugen).

CHAPTER 10. Style Return Differentials: Illusions, RiskPremiums, or Investment Opportunities (Richard Roll).

CHAPTER 11. The Persistence of Equity Style Performance:Evidence from Mutual Fund Data (Ronald N. Kahn and AndrewRudd).

CHAPTER 12. How the Technology Bubble of 1999–2000Disrupted Equity Style Investing (Kari Bayer Pinkernell and RichardBernstein).

CHAPTER 13. Multistyle Equity Investment Models (Parvez Ahmed,John G. Gallo, Larry J. Lockwood, and Sudhir Nanda).

CHAPTER 14. A Comparison of Fixed versus Flexible MarketCapitalization Style Allocations: Don’t Be Boxed in by Size(Marc R Reinganum).

CHAPTER 15. A Plan Sponsor Perspective on Equity StyleManagement (Keith Cardoza).

CHAPTER 16 An Analysis of U.S. and Non-U.S. Equity Style IndexMethodologies (H. David Shea).

CHAPTER 17. Country-Level Equity Style Timing (Clifford Asness,Robert Krail, and John Liew).

CHAPTER 18. Value Investing and the January Effect: Some MoreInternational Evidence (Bala Arshanapalli, T. Daniel Coggin, andWilliam Nelson).

CHAPTER 19. Exploring the Mathematical Basis of Returns-BasedStyle Analysis (Thomas Becker).

CHAPTER 20. Trading (and Investing) in "Style" Using Futures andExchange-Traded Funds (Joanne M. Hill).

Index.

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