ISBN 13 : 978-1118095041

Contents : Preface
PART I Statistical methodologies

1 Preliminaries
2 Summary Statistics
3 Correlation
4 Persistence Analysis
5 Portfolio Analysis
6 Fama and Macbeth Regression Analysis

PART II The cross section of stock returns

7 The CRSP Sample and Market Factor
8 Beta
9 The Size Effect
10 The Value Premium
11 The Momentum Effect
12 Short-Term Reversal
13 Liquidity
14 Skewness
15 Idiosyncratic Volatility
16 Liquid Samples
17 Option-Implied Volatility
18 Other Stock Return Predictors
References
Index

Nbre volumes : 0

Language : English

Series : WILEY SERIES IN PROBABILITY AND STATISTICS

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque