Empirical Asset Pricing

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

Wiley 2016년 02월 26일 출간

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“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 examp

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Preface ix 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 2 Summary Statistics 11 2.1 Implementation 11 2.1.1 Periodic Cross-Sectional Summary Statistics 12 2.1.2 Average Cross-Sectional Summary Statistics 14 2.2 Presentation and Interpretation 15 2.3 Summary 17 3 Correlation 19 3.1 Implementation 20 3.1.1 Periodic Cross-Sectional Correlations 20 3.1.2 Average Cross-Sectional Correlations 21 3.2 Interpreting Correlations 21 3.3 Presenting Correlations 25 3.4 Summary 25 4 Persistence Analysis 29 4.1 Implementation 29 4.1.1 Periodic Cross-Sectional Persistence 30 4.1.2 Average Cross-Sectional Persistence 31 4.2 Interpreting Persistence 31 4.3 Presenting Persistence 35 4.4 Summary 36 5 Portfolio Analysis 39 5.1 Univariate Portfolio Analysis 40 5.1.1 Breakpoints 40 5.1.2 Portfolio Formation 44 5.1.3 Average Portfolio Values 45 5.1.4 Summarizing the Results 48 5.1.5 Interpreting the Results 51 5.1.6 Presenting the Results 52 5.1.7 Analyzing Returns 55 5.2 Bivariate Independent-Sort Analysis 59 5.2.1 Breakpoints 60 5.2.2 Portfolio Formation 63 5.2.3 Average Portfolio Values 64 5.2.4 Summarizing the Results 68 5.2.5 Interpreting the Results 68 5.2.6 Presenting the Results 72 5.3 Bivariate Dependent-Sort Analysis 77 5.3.1 Breakpoints 78 5.3.2 Portfolio Formation 80 5.3.3 Average Portfolio Values 80 5.3.4 Summarizing the Results 83 5.3.5 Interpreting the Results 86 5.3.6 Presenting the Results 86 5.4 Independent versus Dependent Sort 90 5.5 Trivariate-Sort Analysis 93 5.6 S

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저자(글) Turan G. Bali

저자(글) Robert F. Engle

저자(글) Scott Murray