Equity Management Quantitative Analysis for Stock Selection

ISBN-10: 0071346864

ISBN-13: 9780071346863

Edition: 2000

List price: $60.00
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Equity Management gathers a number of articles on the various issues of quantitative equity investing. The various works are grouped into sections and new material is also provided to introduce, interpret and integrate the material.
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Book details

List price: $60.00
Copyright year: 2000
Publisher: McGraw-Hill Companies, The
Publication date: 1/5/2000
Binding: Hardcover
Pages: 400
Size: 6.50" wide x 9.75" long x 1.25" tall
Weight: 1.628
Language: English

Forewordp. xiii
Acknowledgmentsp. xix
Introduction: Life on the Leading Edgep. 1
Selecting Securitiesp. 19
The Complexity of the Stock Marketp. 25
The Evolution of Investment Practicep. 26
Web of Return Regularitiesp. 26
Disentangling and Purifying Returnsp. 29
Advantages of Disentanglingp. 30
Evidence of Inefficiencyp. 31
Value Modeling in an Inefficient Marketp. 33
Risk Modeling versus Return Modelingp. 34
Pure Return Effectsp. 35
Anomalous Pockets of Inefficiencyp. 37
Empirical Return Regularitiesp. 39
Modeling Empirical Return Regularitiesp. 40
Bayesian Random Walk Forecastingp. 41
Conclusionp. 43
Disentangling Equity Return Regularities: New Insights and Investment Opportunitiesp. 47
Previous Researchp. 48
Return Regularities We Considerp. 55
Methodologyp. 59
The Results on Return Regularitiesp. 61
P/E and Size Effectsp. 62
Yield, Neglect, Price, and Riskp. 65
Trends and Reversalsp. 67
Some Implicationsp. 72
January versus Rest-of-Year Returnsp. 73
Autocorrelation of Return Regularitiesp. 77
Return Regularities and Their Macroeconomic Linkagesp. 81
Conclusionp. 85
On the Value of 'Value'p. 103
Value and Equity Attributesp. 104
Market Psychology, Value, and Equity Attributesp. 105
The Importance of Equity Attributesp. 108
Examining the DDMp. 110
Methodologyp. 110
Stability of Equity Attributesp. 113
Expected Returnsp. 114
Naive Expected Returnsp. 116
Pure Expected Returnsp. 117
Actual Returnsp. 118
Power of the DDMp. 120
Power of Equity Attributesp. 120
Forecasting DDM Returnsp. 121
Conclusionp. 123
Calendar Anomalies: Abnormal Returns at Calendar Turning Pointsp. 135
The January Effectp. 136
Rationalesp. 137
The Turn-of-the-Month Effectp. 140
The Day-of-the-Week Effectp. 141
Rationalesp. 143
The Holiday Effectp. 145
The Time-of-Day Effectp. 148
Conclusionp. 151
Forecasting the Size Effectp. 159
The Size Effectp. 159
Size and Transaction Costsp. 160
Size and Risk Measurementp. 161
Size and Risk Premiumsp. 163
Size and Other Cross-Sectional Effectsp. 164
Size and Calendar Effectsp. 166
Modeling the Size Effectp. 169
Simple Extrapolation Techniquesp. 171
Time-Series Techniquesp. 173
Transfer Functionsp. 175
Vector Time-Series Modelsp. 176
Structural Macroeconomic Modelsp. 178
Sayesian Vector Time-Series Modelsp. 179
Earnings Estimates, Predictor Specification, and Measurement Errorp. 193
Predictor Specification and Measurement Errorp. 194
Alternative Specifications of E/P and Earnings Trend for Screeningp. 196
Alternative Specifications of E/P and Trend for Modeling Returnsp. 204
Predictor Specification with Missing Valuesp. 209
Predictor Specification and Analyst Coveragep. 212
The Return-Predictor Relationship and Analyst Coveragep. 216
Summaryp. 221
Managing Portfoliosp. 229
Engineering Portfolios: A Unified Approachp. 235
Is the Market Segmented or Unified?p. 236
A Unified Modelp. 238
A Common Evaluation Frameworkp. 240
Portfolio Construction and Evaluationp. 241
Engineering "Benchmark" Strategiesp. 242
Added Flexibilityp. 243
Economiesp. 245
The Law of One Alphap. 247
Residual Risk: How Much Is Too Much?p. 251
Beyond the Curtainp. 252
Some Implicationsp. 257
High-Definition Style Rotationp. 263
High-Definition Stylep. 267
Pure Style Returnsp. 270
Implicationsp. 272
High-Definition Managementp. 276
Benefits of High-Definition Stylep. 278
Expanding Opportunitiesp. 283
Long-Short Equity Investingp. 289
Long-Short Equity Strategiesp. 289
Societal Advantages of Short-Sellingp. 290
Equilibrium Models, Short-Selling, and Security Pricesp. 291
Practical Benefits of Long-Short Investingp. 293
Portfolio Payoff Patternsp. 294
Long-Short Mechanics and Returnsp. 297
Theoretical Tracking Errorp. 300
Advantages of the Market-Neutral Strategy over Long Manager plus Short Managerp. 301
Advantages of the Equitized Strategy over Traditional Long Equity Managementp. 301
Implementation of Long-Short Strategies: Quantitative versus Judgmentalp. 303
Implementation of Long-Short Strategies: Portfolio Construction Alternativesp. 303
Practical Issues and Concernsp. 304
Shorting Issuesp. 304
Trading Issuesp. 305
Custody Issuesp. 306
Legal Issuesp. 306
Morality Issuesp. 307
What Asset Class Is Long-Short?p. 307
Concluding Remarksp. 309
20 Myths about Long-Shortp. 311
The Long and Short on Long-Shortp. 321
Building a Market-Neutral Portfoliop. 322
A Question of Efficiencyp. 326
Benefits of Long-Shortp. 328
Equitizing Long-Shortp. 331
Trading Long-Shortp. 334
Evaluating Long-Shortp. 339
Long-Short Portfolio Management: An Integrated Approachp. 349
Long-Short: Benefits and Costsp. 350
The Real Benefits of Long-Shortp. 352
Costs: Perception versus Realityp. 353
The Optimal Portfoliop. 355
Neutral Portfoliosp. 358
Optimal Equitizationp. 361
Conclusionp. 364
Alpha Transport with Derivativesp. 369
Asset Allocation or Security Selectionp. 370
Asset Allocation and Security Selectionp. 372
Transporter Malfunctionsp. 374
Matter-Antimatter Warp Drivep. 377
To Boldly Gop. 379
Indexp. 381
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