Empirical Asset Pricing: The Cross Section of Stock Returns

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. INDICE: Preface ix .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 .2 Summary Statistics 11 .2.1 Implementation 11 .2.1.1 Periodic Cross–Sectional Summary Statistics 12 .2.1.2 Average Cross–Sectional Summary Statistics 14 .2.2 Presentation and Interpretation 15 .2.3 Summary 17 .3 Correlation 19 .3.1 Implementation 20 .3.1.1 Periodic Cross–Sectional Correlations 20 .3.1.2 Average Cross–Sectional Correlations 21 .3.2 Interpreting Correlations 21 .3.3 Presenting Correlations 25 .3.4 Summary 25 .4 Persistence Analysis 29 .4.1 Implementation 29 .4.1.1 Periodic Cross–Sectional Persistence 30 .4.1.2 Average Cross–Sectional Persistence 31 .4.2 Interpreting Persistence 31 .4.3 Presenting Persistence 35 .4.4 Summary 36 .5 Portfolio Analysis 39 .5.1 Univariate Portfolio Analysis 40 .5.1.1 Breakpoints 40 .5.1.2 Portfolio Formation 44 .5.1.3 Average Portfolio Values 45 .5.1.4 Summarizing the Results 48 .5.1.5 Interpreting the Results 51 .5.1.6 Presenting the Results 52 .5.1.7 Analyzing Returns 55 .5.2 Bivariate Independent–Sort Analysis 59 .5.2.1 Breakpoints 60 .5.2.2 Portfolio Formation 63 .5.2.3 Average Portfolio Values 64 .5.2.4 Summarizing the Results 68 .5.2.5 Interpreting the Results 68 .5.2.6 Presenting the Results 72 .5.3 Bivariate Dependent–Sort Analysis 77 .5.3.1 Breakpoints 78 .5.3.2 Portfolio Formation 80 .5.3.3 Average Portfolio Values 80 .5.3.4 Summarizing the Results 83 .5.3.5 Interpreting the Results 86 .5.3.6 Presenting the Results 86 .5.4 Independent versus Dependent Sort 90 .5.5 Trivariate–Sort Analysis 93 .5.6 Summary 93 .6 Fama and MacBeth Regression Analysis 97 .6.1 Implementation 97 .6.1.1 Periodic Cross–Sectional Regressions 98 .6.1.2 Average Cross–Sectional Regression Results 99 .6.2 Interpreting FM Regressions 103 .6.3 Presenting FM Regressions 105 .6.4 Summary 107 .II The Cross–Section of Stock Returns 111 .7 The CRSP Sample and Market Factor 113 .7.1 The U.S. Stock Market 113 .7.1.1 The CRSP U.S–based Common Stock Sample 114 .7.1.2 Composition of the CRSP Sample 115 .7.2 Stock Returns and Excess Returns 121 .7.2.1 CRSP Sample (1963–2012) 124 .7.3 The Market Factor 126 .7.4 The CAPM Risk Model 130 .7.5 Summary 131 .8 Beta 135 .8.1 Calculating Beta 136 .8.2 Summary Statistics 138 .8.3 Correlations 140 .8.4 Persistence 142 .8.5 Beta and Stock Returns 144 .8.5.1 Portfolio Analysis 145 .8.5.2 Fama–MacBeth Regression Analysis 150 .8.6 Summary 153 .9 The Size Effect 157 .9.1 Calculating Market Capitalization 158 .9.2 Summary Statistics 161 .9.3 Correlations 163 .9.4 Persistence 164 .9.5 Size and Stock Returns 165 .9.5.1 Univariate Portfolio Analysis 166 .9.5.2 Bivariate Portfolio Analysis 171 .9.5.3 Fama–MacBeth Regression Analysis 179 .9.6 The Size Factor 182 .9.7 Summary 185 .10 The Value Premium 189 .10.1 Calculating Book–to–Market Ratio 191 .10.2 Summary Statistics 195 .10.3 Correlations 196 .10.4 Persistence 198 .10.5 Book–to–Market Ratio and Stock Returns 199 .10.5.1 Univariate Portfolio Analysis 200 .10.5.2 Bivariate Portfolio Analysis 202 .10.5.3 Fama–MacBeth Regression Analysis 211 .10.6 The Value Factor 212 .10.7 The Fama and French Three–Factor Model 216 .10.8 Summary 216 .11 The Momentum Effect 223 .11.1 Measuring Momentum 224 .11.2 Summary Statistics 225 .11.3 Correlations 227 .11.4 Momentum and Stock Returns 227 .11.4.1 Univariate Portfolio Analysis 228 .11.4.2 Bivariate Portfolio Analysis 236 .11.4.3 Fama–MacBeth Regression Analysis 249 .11.5 The Momentum Factor 252 .11.6 The Fama, French, and Carhart Four–Factor Model 256 .11.7 Summary 256 .12 Short–Term Reversal 263 .12.1 Measuring Short–Term Reversal 264 .12.2 Summary Statistics 264 .12.3 Correlations 264 .12.4 Reversal and Stock Returns 265 .12.4.1 Univariate Portfolio Analysis 265 .12.4.2 Bivariate Portfolio Analyses 269 .12.5 Fama–MacBeth Regressions 281 .12.6 The Reversal Factor 286 .12.7 Summary 290 .13 Liquidity 293 .13.1 Measuring Liquidity 295 .13.2 Summary Statistics 297 .13.3 Correlations 298 .13.4 Persistence 301 .13.5 Liquidity and Stock Returns 303 .13.5.1 Univariate Portfolio Analysis 303 .13.5.2 Bivariate Portfolio Analysis 308 .13.5.3 Fama–MacBeth Regression Analysis 319 .13.6 Liquidity Factors 326 .13.6.1 Stock–Level Liquidity 328 .13.6.2 Aggregate Liquidity 329 .13.6.3 Liquidity Innovations 330 .13.6.4 Traded Liquidity Factor 331 .13.7 Summary 335 .14 Skewness 341 .14.1 Measuring Skewness 343 .14.2 Summary Statistics 345 .14.3 Correlations 347 .14.3.1 Total Skewness 347 .14.3.2 Co–Skewness 351 .14.3.3 Idiosyncratic Skewness 352 .14.3.4 Total Skewness, Co–Skewness, and Idiosyncratic Skewness 353 .14.3.5 Skewness and Other Variables 354 .14.4 Persistence 357 .14.4.1 Total Skewness 359 .14.4.2 Co–Skewness 360 .14.4.3 Idiosyncratic Skewness 362 .14.5 Skewness and Stock Returns 364 .14.5.1 Univariate Portfolio Analysis 364 .14.5.2 Fama–MacBeth Regressions 373 .14.6 Summary 380 .15 Idiosyncratic Volatility 387 .15.1 Measuring Total Volatility 389 .15.2 Measuring Idiosyncratic Volatility 390 .15.3 Summary Statistics 391 .15.4 Correlations 393 .15.5 Persistence 403 .15.6 Idiosyncratic Volatility and Stock Returns 406 .15.6.1 Univariate Portfolio Analysis 407 .15.6.2 Bivariate Portfolio Analysis 414 .15.6.3 Fama–MacBeth Regression Analysis 422 .15.6.4 Cumulative Returns of IdioV olFF;1M Portfolio 431 .15.7 Summary 432 .16 Liquid Samples 437 .16.1 Samples 438 .16.2 Summary Statistics 438 .16.3 Correlations 443 .16.4 Persistence 445 .16.5 Expected Stock Returns 448 .16.5.1 Univariate Portfolio Analysis 450 .16.5.2 Fama–MacBeth Regression Analysis 459 .16.6 Summary 462 .17 Option–Implied Volatility 467 .17.1 Options Sample 469 .17.2 Option–Based Variables 470 .17.2.1 Predictive Variables 470 .17.2.2 Option Returns 473 .17.2.3 Additional Notes 474 .17.3 Summary Statistics 475 .17.4 Correlations 478 .17.5 Persistence 480 .17.6 Stock Returns 481 .17.6.1 IV olSpread, IV olSkew, and V ol1M IV ol 481 .17.6.2 IV olC and IV olP 486 .17.7 Option Returns 495 .17.8 Summary 501 .18 Other Stock Return Predictors 507 .18.1 Asset Growth 508 .18.2 Investor Sentiment 509 .18.3 Investor Attention 511 .18.4 Differences of Opinion 512 .18.5 Protability and Investment 512 .18.6 Lottery Demand 513

• ISBN: 978-1-118-09504-1
• Editorial: Wiley–Blackwell
• Encuadernacion: Cartoné
• Páginas: 512
• Fecha Publicación: 20/04/2016
• Nº Volúmenes: 1
• Idioma: Inglés