Turan G. Bali, Robert F. Engle, Scott Murray

Empirical Asset Pricing (eBook, ePUB)

The Cross Section of Stock Returns

• Format: ePub

Produktbeschreibung

"Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional."

Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences

"The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray's clear and careful guide to these issues provides a firm foundation for future discoveries."

John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University

"Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing."

Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College

"This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing."

Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago

Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes:

• Discussions on the driving forces behind the patterns observed in the stock market
• An extensive set of results that serve as a reference for practitioners and academics alike
• Numerous references to both contemporary and foundational research articles

Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics.

Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley.

Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics.

Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

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Produktdetails

• Verlag: John Wiley & Sons
• Erscheinungstermin: 9. März 2016
• Englisch
• ISBN-13: 9781118589663
• Artikelnr.: 44870776

Autorenporträt

Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the co-author of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley.

Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics.

Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

Inhaltsangabe

PREFACE xv

PART I STATISTICAL METHODOLOGIES 1

1 Preliminaries 3

1.1 Sample 3

1.2 Winsorization and Truncation 5

1.3 Newey and West (1987) Adjustment 6

1.4 Summary 8

References 8

2 Summary Statistics 9

2.1 Implementation 10

2.1.1 Periodic Cross-Sectional Summary Statistics 10

2.1.2 Average Cross-Sectional Summary Statistics 12

2.2 Presentation and Interpretation 12

2.3 Summary 16

3 Correlation 17

3.1 Implementation 18

3.1.1 Periodic Cross-Sectional Correlations 18

3.1.2 Average Cross-Sectional Correlations 19

3.2 Interpreting Correlations 20

3.3 Presenting Correlations 23

3.4 Summary 24

References 24

4 Persistence Analysis 25

4.1 Implementation 26

4.1.1 Periodic Cross-Sectional Persistence 26

4.1.2 Average Cross-Sectional Persistence 28

4.2 Interpreting Persistence 28

4.3 Presenting Persistence 31

4.4 Summary 32

References 32

5 Portfolio Analysis 33

5.1 Univariate Portfolio Analysis 34

5.1.1 Breakpoints 34

5.1.2 Portfolio Formation 37

5.1.3 Average Portfolio Values 39

5.1.4 Summarizing the Results 41

5.1.5 Interpreting the Results 43

5.1.6 Presenting the Results 45

5.1.7 Analyzing Returns 47

5.2 Bivariate Independent-Sort Analysis 52

5.2.1 Breakpoints 52

5.2.2 Portfolio Formation 54

5.2.3 Average Portfolio Values 57

5.2.4 Summarizing the Results 60

5.2.5 Interpreting the Results 64

5.2.6 Presenting the Results 66

5.3 Bivariate Dependent-Sort Analysis 71

5.3.1 Breakpoints 71

5.3.2 Portfolio Formation 74

5.3.3 Average Portfolio Values 76

5.3.4 Summarizing the Results 80

5.3.5 Interpreting the Results 80

5.3.6 Presenting the Results 81

5.4 Independent Versus Dependent Sort 85

5.5 Trivariate-Sort Analysis 87

5.6 Summary 87

References 88

6 Fama and Macbeth Regression Analysis 89

6.1 Implementation 90

6.1.1 Periodic Cross-Sectional Regressions 90

6.1.2 Average Cross-Sectional Regression Results 91

6.2 Interpreting FM Regressions 95

6.3 Presenting FM Regressions 98

6.4 Summary 99

References 99

PART II THE CROSS SECTION OF STOCK RETURNS 101

7 The CRSP Sample and Market Factor 103

7.1 The U.S. Stock Market 103

7.1.1 The CRSP U.S.-Based Common Stock Sample 104

7.1.2 Composition of the CRSP Sample 105

7.2 Stock Returns and Excess Returns 111

7.2.1 CRSP Sample (1963-2012) 115

7.3 The Market Factor 115

7.4 The CAPM Risk Model 120

7.5 Summary 120

References 121

8 Beta 122

8.1 Estimating Beta 123

8.2 Summary Statistics 126

8.3 Correlations 128

8.4 Persistence 129

8.5 Beta and Stock Returns 131

8.5.1 Portfolio Analysis 132

8.5.2 Fama-MacBeth Regression Analysis 140

8.6 Summary 143

References 144

9 The Size Effect 146

9.1 Calculating Market Capitalization 147

9.2 Summary Statistics 150

9.3 Correlations 152

9.4 Persistence 154

9.5 Size and Stock Returns 155

9.5.1 Univariate Portfolio Analysis 155

9.5.2 Bivariate Portfolio Analysis 162

9.5.3 Fama-M