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| ADVANCES IN INVESTMENT ANALYSIS AND PORTFOLIO MANAGEMENT, VOLUME 9, 9
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To order this title, and for more information, click here
Edited By
Cheng-Few Lee, Rutgers University at New Brunswick, NJ, USA
Included in series
Advances in Investment Analysis and Portfolio Management,
Description
Twelve papers focus on investment analysis, portfolio theory, and their implementation in portfolio management
Contents
Endogenous growth and stock returns volatility in the long run (C. Faugére, H. Shawky). A note on the Markowitz risk minimization
and the Sharpe angle maximization models (C.W. Yang, K. Hung and F.A. Yang). Optimal hedge ratios and temporal aggregation of cointegrated
systems (D. Lien, K. Leggio). Market timing, selectivity, and mutual fund performance (C.F. Lee, L. Li). Sources of time-varying risk
premia in the term structure (J. Elder). Stock splits and liquidity: evidence from American depository receipts (C.X. Jiang, J.-C. Kim).
Portfolio selection with round-lot holdings (C.C.Y. Kwan, M. Parlar). Defining a security market line for debt explicitly considering
the risk of default (J.L. Heck, M.M. Holland and D.R. Shaffer). Shareholder heterogeneity: further evidence (Y.T. Lee, G. Liaw). The
long-run performance and pre-selling information of initial public offerings (A. Chen, J.F. Cotter). The term structure of return correlations:
the U.S. and Pacific-Basin stock markets (M.-S. Pan, Y.A. Liu). Characteristics versus covariances: an examination of domestic asset
allocation strategies (J. Fletcher).
| Bibliographic details |
Hardbound, 288 pages, publication date: JUL-2002
ISBN-13: 978-0-7623-0887-3
ISBN-10: 0-7623-0887-7
Imprint: JAI
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Last update: 4 Sep 2009
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