The Cross Section Of Stock Returns Evidence From Emerging Markets
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The Cross Section Of Stock Returns
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Author : Stijn Claessens
language : en
Publisher: World Bank Publications
Release Date : 1995
The Cross Section Of Stock Returns written by Stijn Claessens and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Rate of return categories.
The Cross Section Of Stock Returns
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Author : Dasgupta
language : en
Publisher:
Release Date : 2013
The Cross Section Of Stock Returns written by Dasgupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The Cross Section Of Stock Returns
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Author : Stijn Claessens
language : en
Publisher:
Release Date : 2016
The Cross Section Of Stock Returns written by Stijn Claessens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Several factors besides m ...
Empirical Asset Pricing
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Author : Turan G. Bali
language : en
Publisher: John Wiley & Sons
Release Date : 2016-02-26
Empirical Asset Pricing written by Turan G. Bali and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-26 with Business & Economics categories.
“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. McCormick 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 PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid 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, PhD, is the Robert Parker Chair Professor of Finance in the McDonough 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, PhD, 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, PhD, 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.
The Cross Section Of Stock Returns Evidence From Emerging Markets
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Author : Susmita Dasgupta
language : en
Publisher:
Release Date : 1999
The Cross Section Of Stock Returns Evidence From Emerging Markets written by Susmita Dasgupta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
Irrational Exuberance Reconsidered
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Author : Mathias Külpmann
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-20
Irrational Exuberance Reconsidered written by Mathias Külpmann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-20 with Business & Economics categories.
Mathias Külpmann presents a framework to evaluate whether the stock market is in line with underlying fundamentals. The new and revised edition offers an up to date introduction to the controversy between rational asset pricing and behavioural finance. Empirical evidence of stock market overreaction are investigated within the paradigms of rational asset pricing and behavioural finance. Although this monograph will not promise the reader to become a millionaire, it offers a road to obtain a deeper understanding of the forces which drive stock returns. It should be of interest to anyone interested in what drives performance in the stock market.
The Cross Sectional Determinants Of Returns
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Author : Ana Paula Serra
language : en
Publisher:
Release Date : 2008
The Cross Sectional Determinants Of Returns written by Ana Paula Serra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper looks at the cross-section of stock returns for the particular case of emerging markets. For each of 21 emerging markets I investigate the role of a set of a priori specified factors in the cross-section of returns, and subsequently assess whether the important factors are common. I use new data on emerging markets' individual stocks from the Emerging Markets Data Base. My results indicate that the most important pricing factors are common to the emerging markets in my sample, and that these important factors are similar to those identified for mature markets. Among the top six factors are technical factors and stock price level attributes. The payoffs to these factors are not correlated suggesting that even if investors across markets elect similar factors to price assets, those factors' risk premia are local.
The Cross Section Of Common Stock Returns
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Author : Donald B. Keim
language : en
Publisher:
Release Date : 2011
The Cross Section Of Common Stock Returns written by Donald B. Keim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a number of other variables (e.g., size, ratio of book to market, earnings/price) that have no basis in extant theoretical models seem to have significantly predictive ability. Some interpret the findings as evidence of market efficiency. Others argue that the Capital Asset Pricing Model is an incomplete description of equilibrium price formation and these variables are proxies for additional risk factors. In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other results, that although the return premia associated with these ad hoc variables are significant in most international stock markets, the premia are uncorrelated across markets. The accumulating evidence prompts the following question: If these return premia occur primarily in January and are uncorrelated across major international equity markets, is it reasonable to characterize them as compensation for risk?
The Cross Section Of Stock Returns
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Author :
language : en
Publisher:
Release Date : 2006
The Cross Section Of Stock Returns written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
A Cross Sectional Analysis Of Stock Returns
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Author : Michael Hasler
language : en
Publisher:
Release Date : 2012
A Cross Sectional Analysis Of Stock Returns written by Michael Hasler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
