Asset Pricing and Portfolio Performance

Asset Pricing and Portfolio Performance

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Product Details

ISBN-13: 9781899332366
Publisher: Risk Books
Publication date: 01/06/1999
Pages: 384
Product dimensions: 8.27(w) x 11.69(h) x (d)

Table of Contents

Asset Pricing and Portfolio Performance
Models, Strategy, and Performance Metrics
CONTENTS
Introduction and Overview:
Original section introductions by Robert Korajczyk
Asset Pricing Theory:
Capital Asset Prices a Theory of Market Equilibrium Under Conditions of Risk
William F Sharpe
Toward a Theory of Market Value of Risky Assets
Jack Treynor
An Intertemporal Capital Asset Pricing Model
Robert C. Merton
The Arbitrage Theory of Capital Asset Pricing
Stephen A. Ross
A Simple Model of Capital Market Equilibrium with Incomplete Information
Robert C.Merton
Testing Asset Pricing Models, Anomalies, and Portfolio Strategies:
The Cross-Section of Expected Stock Returns
Eugene F. Fama and Kenneth R. French
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
Narasimhan Jegadeesh and Sheridan Titman
Multi-Factor Explanations of Asset Pricing Anomalies
Eugene F. Fama and Kenneth R. French
Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns
Michael J. Brennan, Tarun Chordia, and Avanidhar Subrahmanyam
Evidence on the Characteristics of the Cross Sectional Variation in Stock Returns
Kent Daniel and Sheridan Titman
The Variation of Economic Risk Premiums
Ferson, Wayne E. and Campbell R. Harvey
Market Imperfections and Asset Pricing:
Asset Pricing and the Bid-Ask Spread
Yakov Amihud and Haim Mendelson
Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns
Brennan, Michael J., and Avanidhar Subrahmanyam
The ConditionalCAPM and the Cross-Section of Expected Returns
Ravi Jagannathan and Zhenyu Wang
Portfolio Performance Evaluation:
Portfolio Performance Evaluation: Old Issues and New Insights
Mark Grinblatt and Sheridan Titman
Assessing the Market Timing Performance of Managed Portfolios
Ravi Jagannathan and Robert A. Korajczyk
Beyond Mean-Variance: Risk and Performance Measures for Portfolios with Nonsymmetric Return Distributions
Hayne E Leland
Measuring Fund Strategy and Performance in Changing Economic Conditions
Wayne E. Ferson and Rudi W. Schadt
Survivorship Bias in Performance Studies
Stephen J. Brown, William Goetzmann, Roger G. Ibbotson and Stephen A. Ross

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