Advances in Investment Analysis and Portfolio Management, Volume 8 (Advances in Investment Analysis and Portfolio Management)
by Cheng-Few Lee (Editor)

Hardcover: 400 pages

Publisher: JAI Press; 1 edition (September 1, 2001)

Language: English

Journal of Economic Literature, 2002
...Fifteen articles bring together investment analysis and portfolio theory and their implementation in portfolio management.

Review
...Fifteen articles bring together investment analysis and portfolio theory and their implementation in portfolio management.
Journal of Economic Literature, 2002

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CONTENTS
LIST OF CONTRIBUTORS vii
EDITORIAL BOARD ix
PREFACE xi
STOCK RETURNS, INFLATION AND THE
MACROECONOMY: THE LONG- AND SHORT-RUN
DYNAMICS
Marc Chopin and Maosen Zhong 1
VALUATION AND HEDGING OF AMERICAN-STYLE
LOOKBACK AND BARRIER OPTIONS
Chuang-Chang Chang and San-Lin Chung 19
THE INFORMATION ROLE OF PORTFOLIO
DEPOSITORY RECEIPTS
Paul Brockman and Yiuman Tse 39
A DOUBLE SHARPE RATIO
Matthew R. Morey and H. D. Vinod 57
INSTITUTIONAL OWNERSHIP, ANALYST FOLLOWING,
AND MARKET LIQUIDITY
Shantaram P. Hedge and Susan M. Mangiero 67
EUROPEAN STOCK MARKETS: AN ERROR CORRECTION
MODEL ANALYSIS
Asim Ghosh and Ronnie J. Clayton 95
ALTERNATIVE METHODS FOR ROBUST ANALYSIS IN
EVENT STUDY APPLICATIONS
Lisa A. Kramer 109
A TEST OF A NEW DYNAMIC CAPM
Robert Faff, Robert Brooks and Tan Pooi Fan 133
BIASES IN USING JENSEN’S ALPHA
Yexiao Xu 161
MARKET TIMING SKILL, EXPECTED RETURNS, AND
MUTUAL FUND PERFORMANCE
Jason T. Greene and Charles W. Hodges 183
DYNAMIC HEDGE WITH FORECASTING: A MARTINGALE
APPROACH
Chin-Shen Lee 205
MEASURING THE INTEREST RATE RISK OF BONDS WITH
EMBEDDED OPTIONS
Steven V. Mann and Pradipkumar Ramanlal 231
TWO-FACTOR JUMP-DIFFUSION INTEREST RATE
PROCESS: AN EMPIRICAL EXAMINATION IN TAIWAN
MONEY MARKET
Shih-Kuo Yeh and Bing-Huei Lin 255
CROSS HEDGING AND VALUE AT RISK: WHOLESALE
ELECTRICITY FORWARD CONTRACTS
Chi-Keung Woo, Ira Horowitz and Khoa Hoang 283
USING MICROSOFT EXCEL AND DECISION TREES TO
DEMONSTRATE THE BINOMIAL OPTION PRICING
MODEL
John C. Lee 303