Asset pricing and portfolio performance : models, strategy and performance metrics

著者

書誌事項

Asset pricing and portfolio performance : models, strategy and performance metrics

[edited by Robert A. Korajczyk]

Risk, c1999

大学図書館所蔵 件 / 全5件

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注記

Includes bibliographical references and index

内容説明・目次

内容説明

This text presents early theoretical models and the developments of capital asset pricing models to measure portfolio risk. It also provides an analysis of the important anomalies and empirical tests of asset pricing models as true measures of risk.

目次

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 Conditional CAPM 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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