Advances in Investment Analysis and Portfolio Management - 1st Edition - ISBN: 9780762303564, 9780080943930

Advances in Investment Analysis and Portfolio Management, Volume 5

1st Edition

Editors: Cheng-Few Lee
Print ISBN: 9780762303564
eBook ISBN: 9780080943930
Imprint: JAI Press
Published Date: 2nd August 1998

Institutional Access

Table of Contents

An option-based approach to portfolio performance evaluation (S. Smith, S.M. Kokosha). A chartist approach to stock exchange series (CASES) decomposition: theoretical justifications and empirical analysis (L. Becchetti, C. Becchetti). Put-call-forward exchange parity and the implied riskfree rate (A.L. Demaskey, J.L. Heck). Characterizing the equally-weighted stock market index (J.A. Macdonald, H.A. Shawky). Estimating the permanent and transitory components of the bid/ask spread (Woo Suk Choi, Sang Bin Lee and Pying Ii Yu). Option introduction and security returns distributions: changes in information impoundment vs. narrowing of the bid-ask spread (C.F. Richards, G.V. Henderson Jr.). Using second order stocahstic domiance and linear options to bound non-linear options premia (C. Henin, Chen Guo). Intertemporal causality and on the prediction of future spot rates from forward currency rates (A. Gosh). Finite life and perpetual real estate investment trusts: a re-examination of risk and return (P.H. Siegel, D.W. Durr and K.E. Karim). Integration of world stock markets: an empirical evidence from nonlinear cointegration (A.Gosh). A multivariate conditional CAPM with threshold ARCH specifications (F. Hamelink, M. Hoesli). Risk aversion, market segmentation, and the firm size effect: some empirical evidence (C.R. Chen, J. Wuh Lin).


© JAI Press 1999
JAI Press
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About the Editor

Cheng-Few Lee

Affiliations and Expertise

Rutgers University at New Brunswick, NJ, USA


@qu:Twelve papers address topics in investment analysis and portfolio management. Papers focus on an option-based approach to portfolio performance evaluation. ...Lee is in the Department of Finance and Economics at Rutgers University. @source:Journal of Economic Literature