Elsevier S & T

Advances in Investment Analysis and Portfolio Management, Volume 9

Lee, Cheng-Few

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Table of contents
  • Cover
  • CONTENTSv
  • LIST OF CONTRIBUTORSvii
  • EDITORIAL BOARDix
  • PREFACExi
  • CHAPTER 1. ENDOGENOUS GROWTH AND STOCK RETURNS VOLATILITY IN THE LONG RUN1
  • CHAPTER 2. A NOTE ON THE MARKOWITZ RISK MINIMIZATION AND THE SHARPE ANGLE MAXIMIZATION MODELS21
  • CHAPTER 3. OPTIMAL HEDGE RATIOS AND TEMPORAL AGGREGATION OF COINTEGRATED SYSTEMS31
  • CHAPTER 4. MARKET TIMING, SELECTIVITY, AND MUTUAL FUND PERFORMANCE41
  • CHAPTER 5. SOURCES OF TIME-VARYING RISK PREMIA IN THE TERM STRUCTURE85
  • CHAPTER 6. STOCK SPLITS AND LIQUIDITY: EVIDENCE FROM AMERICAN DEPOSITORY RECEIPTS109
  • CHAPTER 7. PORTFOLIO SELECTION WITH ROUND-LOT HOLDINGS133
  • CHAPTER 8. DEFINING A SECURITY MARKET LINE FOR DEBT EXPLICITLY CONSIDERING THE RISK OF DEFAULT165
  • CHAPTER 9. SHAREHOLDER HETEROGENEITY: FURTHER EVIDENCE181
  • CHAPTER 10. THE LONG-RUN PERFORMANCE AND PRE-SELLING INFORMATION OF INITIAL PUBLIC OFFERINGS203
  • CHAPTER 11. THE TERM STRUCTURE OF RETURN CORRELATIONS: THE U.S. AND PACIFIC-BASIN STOCK MARKETS233
  • CHAPTER 12. CHARACTERISTICS VERSUS COVARIANCES: AN EXAMINATION OF DOMESTIC ASSET ALLOCATION STRATEGI251
Book details
  • Vendor Elsevier S & T
  • SKU 9780762308873
  • ISBN-13 9780080545059
  • Author Lee, Cheng-Few
  • Category Business & Economics
  • Subject Finance

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Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management