Download PDF by Cheng-Few Lee: Advances in Investment Analysis and Portfolio Management,

By Cheng-Few Lee

ISBN-10: 008054505X

ISBN-13: 9780080545059

ISBN-10: 0762308877

ISBN-13: 9780762308873

Twelve papers specialise in funding research, portfolio concept, and their implementation in portfolio administration

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Read Online or Download Advances in Investment Analysis and Portfolio Management, Volume 9 (Advances in Investment Analysis and Portfolio Management) PDF

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Additional info for Advances in Investment Analysis and Portfolio Management, Volume 9 (Advances in Investment Analysis and Portfolio Management)

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Stochastic depreciation and the business cycle. International Economic Review, 35(1), 101–116. Balvers, R. , Cosimano, T. , & McDonald, B. (1990). Predicting stock returns in an efficient market. Journal of Finance, 45, 1009–1128. Barro, R. J. (1998). Notes on growth accounting. NBER Working Paper 6654. Barro, R. , & Sala-i Martin, X (1994). Economic Growth. McGraw-Hill. Baumol, W. , Batey Blackman, S. , & Wolff, E. N (1991). Productivity and American leadership. The MIT Press. , & Farmer, R. E.

After algebraic manipulation, we have b(2) = h*(2). Similarly, in an efficient futures market, b(n) = h*(n). 5. AN EMPIRICAL STUDY The above section demonstrates a more convenient method to estimate the optimal n-day hedge ratio via Eq. (16). In empirical studies, the lagged spot and futures returns may be incorporated into the regression equation. It is likely that model selection criteria such as AIC (Akaike Information Criteria) may prescribe different lags for different hedge horizon lengths.

McKinlay, C. A. (1988). Stock prices do not follow a random walk: Evidence from a new specification test. Review of Financial Studies, 1, 41–66. Lucas, R. (1978). Asset prices in an exchange economy. Econometrica, 46, 1429–1444. Merton, R. (1973). An intertemporal asset-pricing model. Econometrica, 41, 867–887. , & Robidoux, B. (1997). Issues on the measurement of the Solow residuals and the testing of its exogeneity: a tale of two countries. Working paper No. 51, CREFE. Restoy, G. , & Rockinger, G.

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Advances in Investment Analysis and Portfolio Management, Volume 9 (Advances in Investment Analysis and Portfolio Management) by Cheng-Few Lee


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