Advances in Investment Analysis and Portfolio Management

Advances in Investment Analysis and Portfolio Management

1st Edition - August 2, 1998

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  • Editor: Cheng-Few Lee
  • Hardcover ISBN: 9780762303564

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This fifth volume in the series covers a variety of topics in the field of advances in investment and portfolio management.

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).

Product details

  • Language: English
  • Copyright: © JAI Press 1998
  • Published: August 2, 1998
  • Imprint: JAI Press
  • Hardcover ISBN: 9780762303564

About the Editor

Cheng-Few Lee

Affiliations and Expertise

Rutgers University at New Brunswick, NJ, USA

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