Jacket Image
Flyer
Recommend to Library



The Return Generating Models in Global Finance


List price $122.99 Add to basket
Product Details
Format:
Hardback
ISBN:
9780080430584
Published:
18 Feb 1999
Publisher:
Emerald Group Publishing Limited
Dimensions:
232 pages - 156 x 234 x 14mm
Series:
Series in International Business and Economics

Categories:

The market model, introduced over thirty years ago, is one of the most studied and utilized return generating models in finance. Over three decades, it has withstood rigorous testing and, with refinements over the years, remains the standard of reference today, being applied to almost all existing global investment opportunities. The resulting literature is prolific, and the aim of this book is to consolidate the most important literature on the market model, focusing especially on recent research involving issues related to the model. The market model is analysed in detail and its characteristics discussed, criticisms presented and possible shortcomings tested. The book also presents a guide to the various applications of the model, as well as a discussion of other types of model, their forecasting power and their relationship with the market model.
The Authors. Introduction. The Market Model. Market Model Specification Problems. The Stationarity of Beta. The Investment Horizon and Other Stationarity Issues. The Arbitrage Pricing Theory. Other Return Generating Models and Portfolio Performance Measures. Global Return Generating Models. Concluding Comments. Author index. Subject index.

You might also be interested in..

« Back