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The Return Generating Models in Global Finance : Series in International Business and Economics - Arun J. Prakash

The Return Generating Models in Global Finance

Series in International Business and Economics

By: Arun J. Prakash (Editor), Robert M. Bear (Editor), Krishnan Dandapani (Editor)

Hardcover Published: 18th February 1999
ISBN: 9780080430584
Number Of Pages: 232

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The market model, introduced over 30 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 analyzed 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
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9780080430584
ISBN-10: 0080430589
Series: Series in International Business and Economics
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 232
Published: 18th February 1999
Country of Publication: GB
Dimensions (cm): 23.39 x 15.6  x 1.42
Weight (kg): 0.5