Equity Management: Quantitative Analysis for Stock Selection

Name: Equity Management: Quantitative Analysis for Stock Selection
Price: 25.65 USD
Availability: InStock
ISBN: 9780071346863

ISBN-10: 0071346864

ISBN-13: 9780071346863

Edition: 2000

Authors: Bruce I. Jacobs, Kenneth N. Levy

List price: $60.00

30 day, 100% satisfaction guarantee!

Marketplace

2 new & used from $25.65

what's this?

Rush Rewards U
Members Receive:

You have reached 400 XP and carrot coins. That is the daily max!

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.

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

Bruce I. Jacobs, Ph.D, is a co-founder and principal of Jacobs Levy Equity Management. Based in Florham Park, New Jersey, Jacobs Levy Equity Management is widely recognized as a leading provider of quantitative equity strategies for institutional clients. Jacobs Levy currently manages over $15 billion in various strategies for a prestigious global roster of 50 corporate pension plans, public retirement systems, multi-employer funds, endowments, and foundations, including over 25 of Pensions & Investments' "Top 200 Pension Funds/Sponsors." Bruce I. Jacobs holds a doctorate in finance from the Wharton School of the University of Pennsylvania. He is co-author, with Kenneth N. Levy, of Equity…

Foreword	p. xiii
Acknowledgments	p. xix
Introduction: Life on the Leading Edge	p. 1
Selecting Securities	p. 19
The Complexity of the Stock Market	p. 25
The Evolution of Investment Practice	p. 26
Web of Return Regularities	p. 26
Disentangling and Purifying Returns	p. 29
Advantages of Disentangling	p. 30
Evidence of Inefficiency	p. 31
Value Modeling in an Inefficient Market	p. 33
Risk Modeling versus Return Modeling	p. 34
Pure Return Effects	p. 35
Anomalous Pockets of Inefficiency	p. 37
Empirical Return Regularities	p. 39
Modeling Empirical Return Regularities	p. 40
Bayesian Random Walk Forecasting	p. 41
Conclusion	p. 43
Disentangling Equity Return Regularities: New Insights and Investment Opportunities	p. 47
Previous Research	p. 48
Return Regularities We Consider	p. 55
Methodology	p. 59
The Results on Return Regularities	p. 61
P/E and Size Effects	p. 62
Yield, Neglect, Price, and Risk	p. 65
Trends and Reversals	p. 67
Some Implications	p. 72
January versus Rest-of-Year Returns	p. 73
Autocorrelation of Return Regularities	p. 77
Return Regularities and Their Macroeconomic Linkages	p. 81
Conclusion	p. 85
On the Value of 'Value'	p. 103
Value and Equity Attributes	p. 104
Market Psychology, Value, and Equity Attributes	p. 105
The Importance of Equity Attributes	p. 108
Examining the DDM	p. 110
Methodology	p. 110
Stability of Equity Attributes	p. 113
Expected Returns	p. 114
Naive Expected Returns	p. 116
Pure Expected Returns	p. 117
Actual Returns	p. 118
Power of the DDM	p. 120
Power of Equity Attributes	p. 120
Forecasting DDM Returns	p. 121
Conclusion	p. 123
Calendar Anomalies: Abnormal Returns at Calendar Turning Points	p. 135
The January Effect	p. 136
Rationales	p. 137
The Turn-of-the-Month Effect	p. 140
The Day-of-the-Week Effect	p. 141
Rationales	p. 143
The Holiday Effect	p. 145
The Time-of-Day Effect	p. 148
Conclusion	p. 151
Forecasting the Size Effect	p. 159
The Size Effect	p. 159
Size and Transaction Costs	p. 160
Size and Risk Measurement	p. 161
Size and Risk Premiums	p. 163
Size and Other Cross-Sectional Effects	p. 164
Size and Calendar Effects	p. 166
Modeling the Size Effect	p. 169
Simple Extrapolation Techniques	p. 171
Time-Series Techniques	p. 173
Transfer Functions	p. 175
Vector Time-Series Models	p. 176
Structural Macroeconomic Models	p. 178
Sayesian Vector Time-Series Models	p. 179
Earnings Estimates, Predictor Specification, and Measurement Error	p. 193
Predictor Specification and Measurement Error	p. 194
Alternative Specifications of E/P and Earnings Trend for Screening	p. 196
Alternative Specifications of E/P and Trend for Modeling Returns	p. 204
Predictor Specification with Missing Values	p. 209
Predictor Specification and Analyst Coverage	p. 212
The Return-Predictor Relationship and Analyst Coverage	p. 216
Summary	p. 221
Managing Portfolios	p. 229
Engineering Portfolios: A Unified Approach	p. 235
Is the Market Segmented or Unified?	p. 236
A Unified Model	p. 238
A Common Evaluation Framework	p. 240
Portfolio Construction and Evaluation	p. 241
Engineering "Benchmark" Strategies	p. 242
Added Flexibility	p. 243
Economies	p. 245
The Law of One Alpha	p. 247
Residual Risk: How Much Is Too Much?	p. 251
Beyond the Curtain	p. 252
Some Implications	p. 257
High-Definition Style Rotation	p. 263
High-Definition Style	p. 267
Pure Style Returns	p. 270
Implications	p. 272
High-Definition Management	p. 276
Benefits of High-Definition Style	p. 278
Expanding Opportunities	p. 283
Long-Short Equity Investing	p. 289
Long-Short Equity Strategies	p. 289
Societal Advantages of Short-Selling	p. 290
Equilibrium Models, Short-Selling, and Security Prices	p. 291
Practical Benefits of Long-Short Investing	p. 293
Portfolio Payoff Patterns	p. 294
Long-Short Mechanics and Returns	p. 297
Theoretical Tracking Error	p. 300
Advantages of the Market-Neutral Strategy over Long Manager plus Short Manager	p. 301
Advantages of the Equitized Strategy over Traditional Long Equity Management	p. 301
Implementation of Long-Short Strategies: Quantitative versus Judgmental	p. 303
Implementation of Long-Short Strategies: Portfolio Construction Alternatives	p. 303
Practical Issues and Concerns	p. 304
Shorting Issues	p. 304
Trading Issues	p. 305
Custody Issues	p. 306
Legal Issues	p. 306
Morality Issues	p. 307
What Asset Class Is Long-Short?	p. 307
Concluding Remarks	p. 309
20 Myths about Long-Short	p. 311
The Long and Short on Long-Short	p. 321
Building a Market-Neutral Portfolio	p. 322
A Question of Efficiency	p. 326
Benefits of Long-Short	p. 328
Equitizing Long-Short	p. 331
Trading Long-Short	p. 334
Evaluating Long-Short	p. 339
Long-Short Portfolio Management: An Integrated Approach	p. 349
Long-Short: Benefits and Costs	p. 350
The Real Benefits of Long-Short	p. 352
Costs: Perception versus Reality	p. 353
The Optimal Portfolio	p. 355
Neutral Portfolios	p. 358
Optimal Equitization	p. 361
Conclusion	p. 364
Alpha Transport with Derivatives	p. 369
Asset Allocation or Security Selection	p. 370
Asset Allocation and Security Selection	p. 372
Transporter Malfunctions	p. 374
Matter-Antimatter Warp Drive	p. 377
To Boldly Go	p. 379
Index	p. 381
Table of Contents provided by Syndetics. All Rights Reserved.