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ActiveBeta indexes [[electronic resource] ] : capturing systematic sources of active equity returns / / Khalid Ghayur ... [et al.]; foreword by Andrew W. Lo
| ActiveBeta indexes [[electronic resource] ] : capturing systematic sources of active equity returns / / Khalid Ghayur ... [et al.]; foreword by Andrew W. Lo |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (242 p.) |
| Disciplina | 332.63/222 |
| Altri autori (Persone) |
GhayurKhalid
LowAndrew W |
| Collana | Wiley finance series |
| Soggetto topico |
Stock price indexes
Investments |
| ISBN |
1-282-54758-5
9786612547584 1-118-26709-5 0-470-63295-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ActiveBeta Indexes: Capturing Systematic Sources of Active Equity Returns; Contents; Foreword; Preface; Section One: Background; Section Two: ActiveBeta Conceptual Framework; Section Three: ActiveBeta Indexes; Section Four: ActiveBeta Customizable Solutions; Disclosures; Bibliography; About the Authors; Index |
| Record Nr. | UNINA-9910140615503321 |
| Hoboken, NJ, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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ActiveBeta indexes : capturing systematic sources of active equity returns / / Khalid Ghayur ... [et al.]; foreword by Andrew W. Lo
| ActiveBeta indexes : capturing systematic sources of active equity returns / / Khalid Ghayur ... [et al.]; foreword by Andrew W. Lo |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (242 p.) |
| Disciplina | 332.63/222 |
| Altri autori (Persone) |
GhayurKhalid
LowAndrew W |
| Collana | Wiley finance series |
| Soggetto topico |
Stock price indexes
Investments |
| ISBN |
1-282-54758-5
9786612547584 1-118-26709-5 0-470-63295-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ActiveBeta Indexes: Capturing Systematic Sources of Active Equity Returns; Contents; Foreword; Preface; Section One: Background; Section Two: ActiveBeta Conceptual Framework; Section Three: ActiveBeta Indexes; Section Four: ActiveBeta Customizable Solutions; Disclosures; Bibliography; About the Authors; Index |
| Record Nr. | UNINA-9910811297803321 |
| Hoboken, NJ, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Commodities and equities [[electronic resource] ] : a "market of one"? / / Bahattin Büyükşahin, Michael S. Haigh and Michel A. Robe
| Commodities and equities [[electronic resource] ] : a "market of one"? / / Bahattin Büyükşahin, Michael S. Haigh and Michel A. Robe |
| Autore | Büyükşahin Bahattin |
| Pubbl/distr/stampa | New York, : Nova Science, c2009 |
| Descrizione fisica | 1 online resource (78 p.) |
| Disciplina | 332.63/222 |
| Altri autori (Persone) |
HaighMichael S
RobeMichel A |
| Soggetto topico |
Stocks - Prices
Price indexes |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-61728-669-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910460022003321 |
Büyükşahin Bahattin
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| New York, : Nova Science, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Commodities and equities [[electronic resource] ] : a "market of one"? / / Bahattin Büyükşahin, Michael S. Haigh and Michel A. Robe
| Commodities and equities [[electronic resource] ] : a "market of one"? / / Bahattin Büyükşahin, Michael S. Haigh and Michel A. Robe |
| Autore | Büyükşahin Bahattin |
| Pubbl/distr/stampa | New York, : Nova Science, c2009 |
| Descrizione fisica | 1 online resource (78 p.) |
| Disciplina | 332.63/222 |
| Altri autori (Persone) |
HaighMichael S
RobeMichel A |
| Soggetto topico |
Stocks - Prices
Price indexes |
| ISBN | 1-61728-669-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910785292303321 |
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Büyükşahin Bahattin
|
||
| New York, : Nova Science, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Encyclopedia of chart patterns [[electronic resource] /] / Thomas N. Bulkowski
| Encyclopedia of chart patterns [[electronic resource] /] / Thomas N. Bulkowski |
| Autore | Bulkowski Thomas N. <1957-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley, c2005 |
| Descrizione fisica | 1 online resource (xvii, 1012 pages : illustrations) |
| Disciplina | 332.63/222 |
| Collana | Wiley Trading |
| Soggetto topico |
Stocks
Commodity futures Investment analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-04585-8
1-280-27588-X 9786610275885 0-471-72225-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part One: Chart Patterns -- Part Two: Event Patterns -- Statistics Summary -- Glossary and Methodology. |
| Record Nr. | UNINA-9910457234603321 |
|
Bulkowski Thomas N. <1957->
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| Hoboken, NJ, : John Wiley, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Encyclopedia of chart patterns [[electronic resource] /] / Thomas N. Bulkowski
| Encyclopedia of chart patterns [[electronic resource] /] / Thomas N. Bulkowski |
| Autore | Bulkowski Thomas N. <1957-> |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley, c2005 |
| Descrizione fisica | 1 online resource (xvii, 1012 pages : illustrations) |
| Disciplina | 332.63/222 |
| Collana | Wiley Trading |
| Soggetto topico |
Stocks
Commodity futures Investment analysis |
| ISBN |
1-118-04585-8
1-280-27588-X 9786610275885 0-471-72225-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Part One: Chart Patterns -- Part Two: Event Patterns -- Statistics Summary -- Glossary and Methodology. |
| Record Nr. | UNINA-9910784415903321 |
|
Bulkowski Thomas N. <1957->
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||
| Hoboken, NJ, : John Wiley, c2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market Liquidity [[electronic resource] ] : Asset Pricing, Risk, and Crises
| Market Liquidity [[electronic resource] ] : Asset Pricing, Risk, and Crises |
| Autore | Amihud Yakov <1947-> |
| Pubbl/distr/stampa | Cambridge, : Cambridge University Press, 2012 |
| Descrizione fisica | 1 online resource (294 p.) |
| Disciplina |
332.63/222
332.63222 |
| Altri autori (Persone) |
MendelsonHaim
PedersenLasse Heje |
| Soggetto topico |
Assets (Accounting) -- Econometric models
Liquidity (Economics) -- Econometric models Liquidity (Economics) Markets -- Econometric models Securities -- Prices Liquidity (Economics) - Prices Securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-316-08866-9
1-139-56384-X 1-139-54899-9 0-511-84439-5 1-139-55520-0 1-139-55395-X 1-139-55149-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; MARKET LIQUIDITY; Title; Copyright; Contents; Acknowledgments; Introduction and Overview of the Book; PART I: THE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS; Introduction and Overview; CHAPTER 1 Asset Pricing and the Bid-Ask Spread; Summary and Implications; Asset Pricing and the Bid-Ask Spread*; 1. Introduction; 2. A Model of the Return-Spread Relation; 3. Empirical Tests; 3.1. The Data and the Derivation of the Variables; 3.2. Test Methodology; 3.3. The Results; 4. Firm Size, Spread and Return; 5. Conclusion; References
CHAPTER 2 Liquidity, Maturity, and the Yields on U.S. Treasury SecuritiesSummary and Implications; Liquidity, Maturity, and the Yields on U.S. Treasury Securities; I. Liquidity and the U.S. Government Securities Market; II. Empirical Tests; A. The Data; B. The Liquidity Effect; C. Maturity Effects; III. Arbitrage Opportunities; IV. Concluding Remarks; References; CHAPTER 3 Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange; Summary and Implications; Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange; 1. Introduction 2. Trading Mechanisms on the Tel Aviv Stock Exchange2.1. The Call Method; 2.2. The Variable Price Method; 2.3. Transfer Procedure; 3. Methodology and Empirical Results; 3.1. The Data; 3.2. Cumulative Abnormal Returns; 3.3. Liquidity Externalities; 3.4. Liquidity, Efficiency and the Trading Mechanism; 3.4.1. Liquidity; 3.4.2. Efficiency; 3.4.3. The Interaction of Liquidity and Efficiency Improvements; 4. Conclusions; References; PART II: LIQUIDITY RISK; Introduction and Overview; CHAPTER 4 Illiquidity and Stock Returns:Cross-Section and Time-Series Effects; Summary and Implications Illiquidity and Stock Returns Cross-Section and Time-Series Effects1. Introduction; 2. Cross-Section Relationship Between Illiquidity and Stock Return; 2.1. Measures of Illiquidity; 2.2. Empirical Methodology; 2.3. Stock Characteristics; 2.3.1. Liquidity Variables; 2.3.2. Risk Variables; 2.3.3. Additional Variables; 2.4. Cross-Section Estimation Results; 3. The Effect Over Time of Market Illiquidity on Expected Stock Excess Return; 3.1. Estimation Procedure and Results; 3.2. Market Illiquidity and Excess Returns on Size-Based Portfolios 3.3. Monthly Data: The Effect of Illiquidity on Stock Excess Returns3.4. Illiquidity Effect, Controlling for the Effects of Bond Yield Premiums; 4. Summary and Conclusion; References; CHAPTER 5 Asset Pricing with Liquidity Risk; Summary and Implications; Asset Pricing with Liquidity Risk; 1. Introduction; 2. Assumptions; 3. Liquidity-Adjusted Capital Asset Pricing Model; 3.1. Three Liquidity Risks; 3.2. Implications of Persistence of Liquidity; 3.3. An Unconditional Liquidity-Adjusted CAPM; 4. Empirical Results; 4.1. The Illiquidity Measure; 4.2. Portfolios; 4.3. Innovations in Illiquidity 4.4. Liquidity Risk |
| Record Nr. | UNINA-9910462297003321 |
|
Amihud Yakov <1947->
|
||
| Cambridge, : Cambridge University Press, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market Liquidity [[electronic resource] ] : Asset Pricing, Risk, and Crises
| Market Liquidity [[electronic resource] ] : Asset Pricing, Risk, and Crises |
| Autore | Amihud Yakov <1947-> |
| Pubbl/distr/stampa | Cambridge, : Cambridge University Press, 2012 |
| Descrizione fisica | 1 online resource (294 p.) |
| Disciplina |
332.63/222
332.63222 |
| Altri autori (Persone) |
MendelsonHaim
PedersenLasse Heje |
| Soggetto topico |
Assets (Accounting) -- Econometric models
Liquidity (Economics) -- Econometric models Liquidity (Economics) Markets -- Econometric models Securities -- Prices Liquidity (Economics) - Prices Securities |
| ISBN |
1-316-08866-9
1-139-56384-X 1-139-54899-9 0-511-84439-5 1-139-55520-0 1-139-55395-X 1-139-55149-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; MARKET LIQUIDITY; Title; Copyright; Contents; Acknowledgments; Introduction and Overview of the Book; PART I: THE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS; Introduction and Overview; CHAPTER 1 Asset Pricing and the Bid-Ask Spread; Summary and Implications; Asset Pricing and the Bid-Ask Spread*; 1. Introduction; 2. A Model of the Return-Spread Relation; 3. Empirical Tests; 3.1. The Data and the Derivation of the Variables; 3.2. Test Methodology; 3.3. The Results; 4. Firm Size, Spread and Return; 5. Conclusion; References
CHAPTER 2 Liquidity, Maturity, and the Yields on U.S. Treasury SecuritiesSummary and Implications; Liquidity, Maturity, and the Yields on U.S. Treasury Securities; I. Liquidity and the U.S. Government Securities Market; II. Empirical Tests; A. The Data; B. The Liquidity Effect; C. Maturity Effects; III. Arbitrage Opportunities; IV. Concluding Remarks; References; CHAPTER 3 Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange; Summary and Implications; Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange; 1. Introduction 2. Trading Mechanisms on the Tel Aviv Stock Exchange2.1. The Call Method; 2.2. The Variable Price Method; 2.3. Transfer Procedure; 3. Methodology and Empirical Results; 3.1. The Data; 3.2. Cumulative Abnormal Returns; 3.3. Liquidity Externalities; 3.4. Liquidity, Efficiency and the Trading Mechanism; 3.4.1. Liquidity; 3.4.2. Efficiency; 3.4.3. The Interaction of Liquidity and Efficiency Improvements; 4. Conclusions; References; PART II: LIQUIDITY RISK; Introduction and Overview; CHAPTER 4 Illiquidity and Stock Returns:Cross-Section and Time-Series Effects; Summary and Implications Illiquidity and Stock Returns Cross-Section and Time-Series Effects1. Introduction; 2. Cross-Section Relationship Between Illiquidity and Stock Return; 2.1. Measures of Illiquidity; 2.2. Empirical Methodology; 2.3. Stock Characteristics; 2.3.1. Liquidity Variables; 2.3.2. Risk Variables; 2.3.3. Additional Variables; 2.4. Cross-Section Estimation Results; 3. The Effect Over Time of Market Illiquidity on Expected Stock Excess Return; 3.1. Estimation Procedure and Results; 3.2. Market Illiquidity and Excess Returns on Size-Based Portfolios 3.3. Monthly Data: The Effect of Illiquidity on Stock Excess Returns3.4. Illiquidity Effect, Controlling for the Effects of Bond Yield Premiums; 4. Summary and Conclusion; References; CHAPTER 5 Asset Pricing with Liquidity Risk; Summary and Implications; Asset Pricing with Liquidity Risk; 1. Introduction; 2. Assumptions; 3. Liquidity-Adjusted Capital Asset Pricing Model; 3.1. Three Liquidity Risks; 3.2. Implications of Persistence of Liquidity; 3.3. An Unconditional Liquidity-Adjusted CAPM; 4. Empirical Results; 4.1. The Illiquidity Measure; 4.2. Portfolios; 4.3. Innovations in Illiquidity 4.4. Liquidity Risk |
| Record Nr. | UNINA-9910785714603321 |
|
Amihud Yakov <1947->
|
||
| Cambridge, : Cambridge University Press, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Market Liquidity : Asset Pricing, Risk, and Crises
| Market Liquidity : Asset Pricing, Risk, and Crises |
| Autore | Amihud Yakov <1947-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cambridge, : Cambridge University Press, 2012 |
| Descrizione fisica | 1 online resource (294 p.) |
| Disciplina |
332.63/222
332.63222 |
| Altri autori (Persone) |
MendelsonHaim
PedersenLasse Heje |
| Soggetto topico |
Assets (Accounting) -- Econometric models
Liquidity (Economics) -- Econometric models Liquidity (Economics) Markets -- Econometric models Securities -- Prices Liquidity (Economics) - Prices Securities |
| ISBN |
1-316-08866-9
1-139-56384-X 1-139-54899-9 0-511-84439-5 1-139-55520-0 1-139-55395-X 1-139-55149-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; MARKET LIQUIDITY; Title; Copyright; Contents; Acknowledgments; Introduction and Overview of the Book; PART I: THE EFFECT OF LIQUIDITY COSTS ON SECURITIES PRICES AND RETURNS; Introduction and Overview; CHAPTER 1 Asset Pricing and the Bid-Ask Spread; Summary and Implications; Asset Pricing and the Bid-Ask Spread*; 1. Introduction; 2. A Model of the Return-Spread Relation; 3. Empirical Tests; 3.1. The Data and the Derivation of the Variables; 3.2. Test Methodology; 3.3. The Results; 4. Firm Size, Spread and Return; 5. Conclusion; References
CHAPTER 2 Liquidity, Maturity, and the Yields on U.S. Treasury SecuritiesSummary and Implications; Liquidity, Maturity, and the Yields on U.S. Treasury Securities; I. Liquidity and the U.S. Government Securities Market; II. Empirical Tests; A. The Data; B. The Liquidity Effect; C. Maturity Effects; III. Arbitrage Opportunities; IV. Concluding Remarks; References; CHAPTER 3 Market Microstructure and Securities Values: Evidence from the Tel Aviv Stock Exchange; Summary and Implications; Market Microstructure and Securities Values Evidence from the Tel Aviv Stock Exchange; 1. Introduction 2. Trading Mechanisms on the Tel Aviv Stock Exchange2.1. The Call Method; 2.2. The Variable Price Method; 2.3. Transfer Procedure; 3. Methodology and Empirical Results; 3.1. The Data; 3.2. Cumulative Abnormal Returns; 3.3. Liquidity Externalities; 3.4. Liquidity, Efficiency and the Trading Mechanism; 3.4.1. Liquidity; 3.4.2. Efficiency; 3.4.3. The Interaction of Liquidity and Efficiency Improvements; 4. Conclusions; References; PART II: LIQUIDITY RISK; Introduction and Overview; CHAPTER 4 Illiquidity and Stock Returns:Cross-Section and Time-Series Effects; Summary and Implications Illiquidity and Stock Returns Cross-Section and Time-Series Effects1. Introduction; 2. Cross-Section Relationship Between Illiquidity and Stock Return; 2.1. Measures of Illiquidity; 2.2. Empirical Methodology; 2.3. Stock Characteristics; 2.3.1. Liquidity Variables; 2.3.2. Risk Variables; 2.3.3. Additional Variables; 2.4. Cross-Section Estimation Results; 3. The Effect Over Time of Market Illiquidity on Expected Stock Excess Return; 3.1. Estimation Procedure and Results; 3.2. Market Illiquidity and Excess Returns on Size-Based Portfolios 3.3. Monthly Data: The Effect of Illiquidity on Stock Excess Returns3.4. Illiquidity Effect, Controlling for the Effects of Bond Yield Premiums; 4. Summary and Conclusion; References; CHAPTER 5 Asset Pricing with Liquidity Risk; Summary and Implications; Asset Pricing with Liquidity Risk; 1. Introduction; 2. Assumptions; 3. Liquidity-Adjusted Capital Asset Pricing Model; 3.1. Three Liquidity Risks; 3.2. Implications of Persistence of Liquidity; 3.3. An Unconditional Liquidity-Adjusted CAPM; 4. Empirical Results; 4.1. The Illiquidity Measure; 4.2. Portfolios; 4.3. Innovations in Illiquidity 4.4. Liquidity Risk |
| Record Nr. | UNINA-9910814579603321 |
|
Amihud Yakov <1947->
|
||
| Cambridge, : Cambridge University Press, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A non-random walk down Wall Street [[electronic resource] /] / Andrew W. Lo, A. Craig MacKinlay
| A non-random walk down Wall Street [[electronic resource] /] / Andrew W. Lo, A. Craig MacKinlay |
| Autore | Lo Andrew W (Andrew Wen-Chuan) |
| Edizione | [Core Textbook] |
| Pubbl/distr/stampa | Princeton, N.J., : Princeton University Press, 1999 |
| Descrizione fisica | 1 online resource (449 p.) |
| Disciplina | 332.63/222 |
| Altri autori (Persone) | MacKinlayArchie Craig <1955-> |
| Soggetto topico |
Stocks - Prices - Mathematical models
Random walks (Mathematics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-283-37184-7
9786613371843 1-4008-2909-7 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Frontmatter -- Contents -- List of Figures -- List of Tables -- Preface -- 1. Introduction -- Part I. -- Introduction -- 2. Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test -- 3. The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation -- 4. An Econometric Analysis of Nonsynchronous Trading -- 5. When Are Contrarian Profits Due to Stock Market Overreaction -- 6. Long-Term Memory in Stock Market Prices -- Part II. -- Introduction -- 7. Multifactor Models Do Not Explain Deviations from the CAPM -- 8. Data-Snooping Biases in Tests of Financial Asset Pricing Models -- 9. Maximizing Predictability in the Stock and Bond Market -- Part III. -- Introduction -- 10. An Ordered Probit Analysis of Transaction Stock Prices -- 11. Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices -- 12. Order Imbalances and Stock Price Movements on October 19 and 20. 1987 -- References -- Index |
| Record Nr. | UNINA-9910461657203321 |
|
Lo Andrew W (Andrew Wen-Chuan)
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| Princeton, N.J., : Princeton University Press, 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
