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Advances in Investment Analysis and Portfolio Management - 1st Edition - ISBN: 9780762301263, 9780080943886

Advances in Investment Analysis and Portfolio Management, Volume 4

1st Edition

Editor: Cheng-Few Lee
Hardcover ISBN: 9780762301263
eBook ISBN: 9780080943886
Imprint: JAI Press
Published Date: 18th November 1997
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Table of Contents

Indexed commodity futures and the risk and return of institutional portfolios (K.G. Becker, J.E. Finnerty). Asymmetric information, insider trading and the small firm size effect: an empirical investigation (S. Ilfakhani, T. Zaher). The information content in forward interest rates: further evidence on heteroskedasticity, long forecast horizon, and simultaneous multiple forward rates (S. Yuan Lee). Price dynamics among exchange rates, stock index, and treasure bonds in futures markets (M. Najand, K. Yung). The role of beta and other fundamental variables in explaining expected stock returns: Hong Kong evidence (J.K. Cheung, R. Chung and J. Bon Kim). Further evidence on the relationship between beta stability and the length of the estimation period (R.D. Brroks, R.W. Faff). The nature and implications of serial diversification (J.M. Steeley). Foreign risk-free assets and exchange risk in international investment (T.W. Chamberlain, C.S. Cheung and C.C.Y. Kwan). The behavior of option prices around merger and acquisition announcements (H. Levy and J. Yoder). A performance comparison of a technical trading system with ARIMA models for soybean complex prices (S.H. Irwin et al.).


Details

Language:
English
Copyright:
© JAI Press 1997
Published:
18th November 1997
Imprint:
JAI Press
Hardcover ISBN:
9780762301263
eBook ISBN:
9780080943886

Ratings and Reviews


About the Editor

Cheng-Few Lee

Affiliations and Expertise

Rutgers University at New Brunswick, NJ, USA