Advances in Investment Analysis and Portfolio Management, Volume 4

Advances in Investment Analysis and Portfolio Management, Volume 4

by Cheng-Few Lee
ISBN-10:
0762301260
ISBN-13:
9780762301263
Pub. Date:
01/19/1999
Publisher:
Elsevier Science

Hardcover

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Overview

Advances in Investment Analysis and Portfolio Management, Volume 4

Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management

Product Details

ISBN-13: 9780762301263
Publisher: Elsevier Science
Publication date: 01/19/1999
Series: Advances in Investment Analysis and Portfolio Management Series , #4
Pages: 220
Product dimensions: 0.63(w) x 6.14(h) x 9.21(d)

Table of Contents

Indexed commodity futures and the risk and return of institutional portfolios (K.G. Becker, J.E. Finnerty). Asymmetric information, insider trading and the small firm size effect: an empirical investigation (S. Ilfakhani, T. Zaher). The information content in forward interest rates: further evidence on heteroskedasticity, long forecast horizon, and simultaneous multiple forward rates (S. Yuan Lee). Price dynamics among exchange rates, stock index, and treasure bonds in futures markets (M. Najand, K. Yung). The role of beta and other fundamental variables in explaining expected stock returns: Hong Kong evidence (J.K. Cheung, R. Chung and J. Bon Kim). Further evidence on the relationship between beta stability and the length of the estimation period (R.D. Brroks, R.W. Faff). The nature and implications of serial diversification (J.M. Steeley). Foreign risk-free assets and exchange risk in international investment (T.W. Chamberlain, C.S. Cheung and C.C.Y. Kwan). The behavior of option prices around merger and acquisition announcements (H. Levy and J. Yoder). A performance comparison of a technical trading system with ARIMA models for soybean complex prices (S.H. Irwin et al.).

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