Empirical asset pricing : the cross section of stock returns

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Empirical asset pricing : the cross section of stock returns

Turan G. Bali, Robert F. Engle, Scott Murray

John Wiley & Sons, Inc., c2016

  • : hardcover

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注記

Includes bibliographical references and index

内容説明・目次

内容説明

"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.

目次

Preface xv Part I Statistical Methodologies 1 1 Preliminaries 3 1.1 Sample, 3 1.2 Winsorization and Truncation, 5 1.3 Newey and West (1987) Adjustment, 6 1.4 Summary, 8 References, 8 2 Summary Statistics 9 2.1 Implementation, 10 2.1.1 Periodic Cross-Sectional Summary Statistics, 10 2.1.2 Average Cross-Sectional Summary Statistics, 12 2.2 Presentation and Interpretation, 12 2.3 Summary, 16 3 Correlation 17 3.1 Implementation, 18 3.1.1 Periodic Cross-Sectional Correlations, 18 3.1.2 Average Cross-Sectional Correlations, 19 3.2 Interpreting Correlations, 20 3.3 Presenting Correlations, 23 3.4 Summary, 24 References, 24 4 Persistence Analysis 25 4.1 Implementation, 26 4.1.1 Periodic Cross-Sectional Persistence, 26 4.1.2 Average Cross-Sectional Persistence, 28 4.2 Interpreting Persistence, 28 4.3 Presenting Persistence, 31 4.4 Summary, 32 References, 32 5 Portfolio Analysis 33 5.1 Univariate Portfolio Analysis, 34 5.1.1 Breakpoints, 34 5.1.2 Portfolio Formation, 37 5.1.3 Average Portfolio Values, 39 5.1.4 Summarizing the Results, 41 5.1.5 Interpreting the Results, 43 5.1.6 Presenting the Results, 45 5.1.7 Analyzing Returns, 47 5.2 Bivariate Independent-Sort Analysis, 52 5.2.1 Breakpoints, 52 5.2.2 Portfolio Formation, 54 5.2.3 Average Portfolio Values, 57 5.2.4 Summarizing the Results, 60 5.2.5 Interpreting the Results, 64 5.2.6 Presenting the Results, 66 5.3 Bivariate Dependent-Sort Analysis, 71 5.3.1 Breakpoints, 71 5.3.2 Portfolio Formation, 74 5.3.3 Average Portfolio Values, 76 5.3.4 Summarizing the Results, 80 5.3.5 Interpreting the Results, 80 5.3.6 Presenting the Results, 81 5.4 Independent Versus Dependent Sort, 85 5.5 Trivariate-Sort Analysis, 87 5.6 Summary, 87 References, 88 6 Fama and Macbeth Regression Analysis 89 6.1 Implementation, 90 6.1.1 Periodic Cross-Sectional Regressions, 90 6.1.2 Average Cross-Sectional Regression Results, 91 6.2 Interpreting FM Regressions, 95 6.3 Presenting FM Regressions, 98 6.4 Summary, 99 References, 99 Part II the Cross Section of Stock Returns 101 7 The CRSP Sample and Market Factor 103 7.1 The U.S. Stock Market, 103 7.1.1 The CRSP U.S.-Based Common Stock Sample, 104 7.1.2 Composition of the CRSP Sample, 105 7.2 Stock Returns and Excess Returns, 111 7.2.1 CRSP Sample (1963-2012), 115 7.3 The Market Factor, 115 7.4 The CAPM Risk Model, 120 7.5 Summary, 120 References, 121 8 Beta 122 8.1 Estimating Beta, 123 8.2 Summary Statistics, 126 8.3 Correlations, 128 8.4 Persistence, 129 8.5 Beta and Stock Returns, 131 8.5.1 Portfolio Analysis, 132 8.5.2 Fama-MacBeth Regression Analysis, 140 8.6 Summary, 143 References, 144 9 The Size Effect 146 9.1 Calculating Market Capitalization, 147 9.2 Summary Statistics, 150 9.3 Correlations, 152 9.4 Persistence, 154 9.5 Size and Stock Returns, 155 9.5.1 Univariate Portfolio Analysis, 155 9.5.2 Bivariate Portfolio Analysis, 162 9.5.3 Fama-MacBeth Regression Analysis, 168 9.6 The Size Factor, 171 9.7 Summary, 173 References, 174 10 The Value Premium 175 10.1 Calculating Book-to-Market Ratio, 177 10.2 Summary Statistics, 181 10.3 Correlations, 183 10.4 Persistence, 184 10.5 Book-to-Market Ratio and Stock Returns, 185 10.5.1 Univariate Portfolio Analysis, 185 10.5.2 Bivariate Portfolio Analysis, 190 10.5.3 Fama-MacBeth Regression Analysis, 198 10.6 The Value Factor, 200 10.7 The Fama and French Three-Factor Model, 202 10.8 Summary, 203 References, 203 11 The Momentum Effect 206 11.1 Measuring Momentum, 207 11.2 Summary Statistics, 208 11.3 Correlations, 210 11.4 Momentum and Stock Returns, 211 11.4.1 Univariate Portfolio Analysis, 211 11.4.2 Bivariate Portfolio Analysis, 220 11.4.3 Fama-MacBeth Regression Analysis, 234 11.5 The Momentum Factor, 236 11.6 The Fama, French, and Carhart Four-Factor Model, 238 11.7 Summary, 239 References, 239 12 Short-Term Reversal 242 12.1 Measuring Short-Term Reversal, 243 12.2 Summary Statistics, 243 12.3 Correlations, 243 12.4 Reversal and Stock Returns, 244 12.4.1 Univariate Portfolio Analysis, 244 12.4.2 Bivariate Portfolio Analyses, 249 12.5 Fama-MacBeth Regressions, 263 12.6 The Reversal Factor, 268 12.7 Summary, 270 References, 271 13 Liquidity 272 13.1 Measuring Liquidity, 274 13.2 Summary Statistics, 276 13.3 Correlations, 277 13.4 Persistence, 280 13.5 Liquidity and Stock Returns, 281 13.5.1 Univariate Portfolio Analysis, 281 13.5.2 Bivariate Portfolio Analysis, 288 13.5.3 Fama-MacBeth Regression Analysis, 300 13.6 Liquidity Factors, 308 13.6.1 Stock-Level Liquidity, 309 13.6.2 Aggregate Liquidity, 310 13.6.3 Liquidity Innovations, 312 13.6.4 Traded Liquidity Factor, 312 13.7 Summary, 316 References, 316 14 Skewness 319 14.1 Measuring Skewness, 321 14.2 Summary Statistics, 323 14.3 Correlations, 326 14.3.1 Total Skewness, 326 14.3.2 Co-Skewness, 329 14.3.3 Idiosyncratic Skewness, 330 14.3.4 Total Skewness, Co-Skewness, and Idiosyncratic Skewness, 331 14.3.5 Skewness and Other Variables, 333 14.4 Persistence, 336 14.4.1 Total Skewness, 336 14.4.2 Co-Skewness, 338 14.4.3 Idiosyncratic Skewness, 339 14.5 Skewness and Stock Returns, 341 14.5.1 Univariate Portfolio Analysis, 341 14.5.2 Fama-MacBeth Regressions, 350 14.6 Summary, 359 References, 360 15 Idiosyncratic Volatility 363 15.1 Measuring Total Volatility, 365 15.2 Measuring Idiosyncratic Volatility, 366 15.3 Summary Statistics, 367 15.4 Correlations, 370 15.5 Persistence, 380 15.6 Idiosyncratic Volatility and Stock Returns, 381 15.6.1 Univariate Portfolio Analysis, 382 15.6.2 Bivariate Portfolio Analysis, 389 15.6.3 Fama-MacBeth Regression Analysis, 402 15.6.4 Cumulative Returns of IdioVol FF,1M Portfolio, 407 15.7 Summary, 409 References, 410 16 Liquid Samples 412 16.1 Samples, 413 16.2 Summary Statistics, 414 16.3 Correlations, 418 16.3.1 CRSP Sample and Price Sample, 418 16.3.2 Price Sample and Size Sample, 420 16.4 Persistence, 421 16.5 Expected Stock Returns, 424 16.5.1 Univariate Portfolio Analysis, 425 16.5.2 Fama-MacBeth Regression Analysis, 435 16.6 Summary, 438 References, 439 17 Option-Implied Volatility 441 17.1 Options Sample, 443 17.2 Option-Based Variables, 444 17.2.1 Predictive Variables, 444 17.2.2 Option Returns, 447 17.2.3 Additional Notes, 448 17.3 Summary Statistics, 449 17.4 Correlations, 451 17.5 Persistence, 453 17.6 Stock Returns, 455 17.6.1 IVolSpread, IVolSkew, and Vol 1M IVol, 456 17.6.2 IVolC and IVolP, 460 17.7 Option Returns, 469 17.8 Summary, 474 References, 474 18 Other Stock Return Predictors 477 18.1 Asset Growth, 478 18.2 Investor Sentiment, 479 18.3 Investor Attention, 481 18.4 Differences of Opinion, 482 18.5 Profitability and Investment, 482 18.6 Lottery Demand, 483 References, 484 Index 489

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