Advances in Investment Analysis and Portfolio Management

This fifth volume in the series covers a variety of topics in the field of advances in investment and portfolio management.

List of contents

An option-based approach to portfolio performance evaluation (S. Smith, S.M. Kokosha). A chartist approach to stock exchange series (CASES) decomposition: theoretical justifications and empirical analysis (L. Becchetti, C. Becchetti). Put-call-forward exchange parity and the implied riskfree rate (A.L. Demaskey, J.L. Heck). Characterizing the equally-weighted stock market index (J.A. Macdonald, H.A. Shawky). Estimating the permanent and transitory components of the bid/ask spread (Woo Suk Choi, Sang Bin Lee and Pying Ii Yu). Option introduction and security returns distributions: changes in information impoundment vs. narrowing of the bid-ask spread (C.F. Richards, G.V. Henderson Jr.). Using second order stocahstic domiance and linear options to bound non-linear options premia (C. Henin, Chen Guo). Intertemporal causality and on the prediction of future spot rates from forward currency rates (A. Gosh). Finite life and perpetual real estate investment trusts: a re-examination of risk and return (P.H. Siegel, D.W. Durr and K.E. Karim). Integration of world stock markets: an empirical evidence from nonlinear cointegration (A.Gosh). A multivariate conditional CAPM with threshold ARCH specifications (F. Hamelink, M. Hoesli). Risk aversion, market segmentation, and the firm size effect: some empirical evidence (C.R. Chen, J. Wuh Lin).

Report

"Twelve papers address topics in investment analysis and portfolio management. Papers focus on an option-based approach to portfolio performance evaluation. ...Lee is in the Department of Finance and Economics at Rutgers University." --Journal of Economic Literature

Product details

• Authors: Cheng-Few Lee, Cheng-Few (Rutgers University At New Brunswic Lee, LEE CHENG FEW
• Assisted by: Cheng-Few Lee (Editor), Cheng-Few (Rutgers University at New Brunswick Lee (Editor), Lee Cheng-Few (Editor)
• Publisher: ELSEVIER SCIENCE BV
• Languages: English
• Product format: Hardback
• Released: 02.08.1998
• EAN: 9780762303564
• ISBN: 978-0-7623-0356-4
• No. of pages: 264
• Series: Advances in Investment Analysis and Portfolio Management; Advances in Investment Analysis and Portfolio Management
• Subjects: Social sciences, law, business > Business > Management; Business & Economics / Investments & Securities / General, BUSINESS & ECONOMICS / Management, Management & management techniques, Investment & securities, Investment and securities, Management and management techniques