Elsevier S & T

Advances in Investment Analysis and Portfolio Management, Volume 8

Lee, Cheng-Few

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Table of contents
  • COVERCover
  • CONTENTSv
  • LIST OF CONTRIBUTORSvii
  • EDITORIAL BOARDix
  • PREFACExi
  • CHAPTER 1. STOCK RETURNS, INFLATION AND THE MACROECONOMY: THE LONG- AND SHORT-RUN DYNAMICS1
  • CHAPTER 2. VALUATION AND HEDGING OF AMERICAN-STYLE LOOKBACK AND BARRIER OPTIONS19
  • CHAPTER 3. THE INFORMATION ROLE OF PORTFOLIO DEPOSITORY RECEIPTS39
  • CHAPTER 4. A DOUBLE SHARPE RATIO57
  • CHAPTER 5. INSTITUTIONAL OWNERSHIP, ANALYST FOLLOWING, AND MARKET LIQUIDITY67
  • CHAPTER 6. EUROPEAN STOCK MARKETS: AN ERROR CORRECTION MODEL ANALYSIS95
  • CHAPTER 7. ALTERNATIVE METHODS FOR ROBUST ANALYSIS IN EVENT STUDY APPLICATIONS109
  • CHAPTER 8. A TEST OF A NEW DYNAMIC CAPM133
  • CHAPTER 9. BIASES IN USING JENSEN’S ALPHA161
  • CHAPTER 10. MARKET TIMING SKILL, EXPECTED RETURNS, AND MUTUAL FUND PERFORMANCE183
  • CHAPTER 11. DYNAMIC HEDGE WITH FORECASTING: A MARTINGALE APPROACH205
  • CHAPTER 12. MEASURING THE INTEREST RATE RISK OF BONDS WITH EMBEDDED OPTIONS231
  • CHAPTER 13. TWO-FACTOR JUMP-DIFFUSION INTEREST RATE PROCESS: AN EMPIRICAL EXAMINATION IN TAIWAN MONE255
  • CHAPTER 14. CROSS HEDGING AND VALUE AT RISK: WHOLESALE ELECTRICITY FORWARD CONTRACTS283
  • CHAPTER 15. USING MICROSOFT EXCEL AND DECISION TREES TO DEMONSTRATE THE BINOMIAL OPTION PRICING MODE303
Book details
  • Vendor Elsevier S & T
  • SKU 9780762307982
  • ISBN-13 9780080543970
  • Author Lee, Cheng-Few
  • Category Business & Economics
  • Subject Finance

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This research annual publication intends to bring together investment analysis and portfolio theory and their implementation to portfolio management. It seeks theoretical and empirical research manuscripts with high quality in the area of investment and portfolio analysis. The contents will consist of original research on: The principles of portfolio management of equities and fixed-income securities. The evaluation of portfolios (or mutual funds) of common stocks, bonds, international assets, and options. The dynamic process of portfolio management. Strategies of international investments and portfolio management. The applications of useful and important analytical techniques such as mathematics, econometrics, statistics, and computers in the field of investment and portfolio management. Theoretical research related to options and futures. In addition, it also contains articles that present and examine new and important accounting, financial, and economic data for managing and evaluating portfolios of risky assets.