LEADER 05528nam 2200709Ia 450 001 9910809959403321 005 20200520144314.0 010 $a1-280-63881-8 010 $a9786610638819 010 $a0-08-045532-8 035 $a(CKB)1000000000350436 035 $a(EBL)269929 035 $a(OCoLC)476000138 035 $a(SSID)ssj0000192607 035 $a(PQKBManifestationID)11167611 035 $a(PQKBTitleCode)TC0000192607 035 $a(PQKBWorkID)10198149 035 $a(PQKB)10447779 035 $a(Au-PeEL)EBL269929 035 $a(CaPaEBR)ebr10127953 035 $a(CaONFJC)MIL63881 035 $a(OCoLC)936843537 035 $a(PPN)170253511 035 $a(FR-PaCSA)10086311 035 $a(MiAaPQ)EBC269929 035 $a(EXLCZ)991000000000350436 100 $a20050722d2005 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aLinear factor models in finance /$f[edited by] John Knight and Stephen Satchell 205 $a1st ed. 210 $aAmsterdam ;$aOxford $cElsevier Butterworth-Heinemann$d2005 215 $a1 online resource (298 p.) 225 1 $aQuantitative finance series 300 $aDescription based upon print version of record. 311 $a0-7506-6006-6 320 $aIncludes bibliographical references and index. 327 $aLinear Factor Models in Finance; Contents; List of contributors; Introduction; 1 Review of literature on multifactor asset pricing models; 1.1 Theoretical reasons for existence of multiple factors; 1.2 Empirical evidence of existence of multiple factors; 1.3 Estimation of factor pricing models; Bibliography; 2 Estimating UK factor models using the multivariate skew normal distribution; 2.1 Introduction; 2.2 The multivariate skew normal distribution and some of its properties; 2.3 Conditional distributions and factor models; 2.4 Data model choice and estimation; 2.5 Empirical study 327 $a2.5.1 Basic return statistics2.5.2 Overall model fit; 2.5.3 Comparison of parameter estimates; 2.5.4 Skewness parameters; 2.5.5 Tau and time-varying conditional variance; 2.6 Conclusions; Acknowledgement; References; 3 Misspecification in the linear pricing model; 3.1 Introduction; 3.2 Framework; 3.2.1 Arbitrage Pricing Theory; 3.2.2 Multivariate F test used in linear factor model; 3.2.3 Average F test used in linear factor model; 3.3 Distribution of the multivariate F test statistics under misspecification; 3.3.1 Exclusion of a set of factors from estimation 327 $a3.3.2 Time-varying factor loadings3.4 Simulation study; 3.4.1 Design; 3.4.2 Factors serially independent; 3.4.3 Factors autocorrelated; 3.4.4 Time-varying factor loadings; 3.4.5 Simulation results; 3.5 Conclusion; Appendix: Proof of proposition 3.1 and proposition 3.2; 4 Bayesian estimation of risk premia in an APT context; 4.1 Introduction; 4.2 The general APT framework; 4.2.1 The excess return generating process (when factors are traded portfolios); 4.2.2 The excess return generating process (when factors are macroeconomic variables or non-traded portfolios) 327 $a4.2.3 Obtaining the (K x 1) vector of risk premia l4.3 Introducing a Bayesian framework using a Minnesota prior (Litterman's prior); 4.3.1 Prior estimates of the risk premia; 4.3.2 Posterior estimates of the risk premia; 4.4 An empirical application; 4.4.1 Data; 4.4.2 Results; 4.5 Conclusion; References; Appendix; 5 Sharpe style analysis in the MSCI sector portfolios: a Monte Carlo integration approach; 5.1 Introduction; 5.2 Methodology; 5.2.1 A Bayesian decision-theoretic approach; 5.2.2 Estimation by Monte Carlo integration; 5.3 Style analysis in the MSCI sector portfolios; 5.4 Conclusions 327 $aReferences6 Implication of the method of portfolio formation on asset pricing tests; 6.1 Introduction; 6.2 Models; 6.2.1 Asset pricing frameworks; 6.2.2 Specifications to be tested; 6.3 Implementation; 6.3.1 Multivariate F test; 6.3.2 Average F test; 6.3.3 Stochastic discount factor using GMM with Hansen and Jagannathan distance; 6.3.4 A look at the pricing errors under different tests; 6.4 Variables construction and data sources; 6.4.1 Data sources; 6.4.2 Independent variables: excess market return, size return factor and book-to-market return factor 327 $a6.4.3 Dependent variables: size-sorted portfolios, beta-sorted portfolios and individual assets 330 $aThe determination of the values of stocks, bonds, options, futures, and derivatives is done by the scientific process of asset pricing, which has developed dramatically in the last few years due to advances in financial theory and econometrics. This book covers the science of asset pricing by concentrating on the most widely used modelling technique called: Linear Factor Modelling.Linear Factor Models covers an important area for Quantitative Analysts/Investment Managers who are developing Quantitative Investment Strategies. Linear factor models (LFM) are part of modern investm 410 0$aQuantitative finance series. 606 $aFinance$xMathematical models 606 $aMathematics 615 0$aFinance$xMathematical models. 615 0$aMathematics. 676 $a332.015118 701 $aKnight$b John L$01610775 701 $aSatchell$b S$g(Stephen)$01156060 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910809959403321 996 $aLinear factor models in finance$94200050 997 $aUNINA