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The Return Generating Models in Global Finance

Product Details
18 Feb 1999
Emerald Group Publishing Limited
232 pages - 156 x 234 x 14mm
Series in International Business and Economics


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.

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