By Cheng-Few Lee
This study annual ebook intends to collect funding research and portfolio conception and their implementation to portfolio administration. It seeks theoretical and empirical examine manuscripts with top of the range within the zone of funding and portfolio research. The contents will include unique study on: the foundations of portfolio administration of equities and fixed-income securities. The assessment of portfolios (or mutual cash) of universal shares, bonds, overseas resources, and ideas. The dynamic technique of portfolio administration. thoughts of foreign investments and portfolio administration. The functions of precious and demanding analytical thoughts reminiscent of arithmetic, econometrics, records, and pcs within the box of funding and portfolio administration. Theoretical learn on the topic of suggestions and futures. moreover, it additionally includes articles that current and view new and critical accounting, monetary, and financial info for dealing with and comparing portfolios of dicy resources.
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Extra resources for Advances in investment analysis and portfolio management. / Volume 8
The FPE method may result in over-ﬁtting. We thank an anonymous referee for alerting us this issue. 17. 85 (the Fisher elasticity). 49. This suggests that our empirical results are quite consistent with previous literature of Fisher theory of interest rate and inﬂation. 18. An * indicates signiﬁcance at the 5% level. ACKNOWLEDGMENTS We wish to thank Dwight Anderson, Ali Darrat, John Barkoulas, and two anonymous referees for their helpful comments and suggestions. The usual caveat applies. REFERENCES Ahking, F.
As noted by Manaster and Rendleman (1982, p. 1044), “In the long run, the trading vehicle that provides the greatest liquidity, the lowest trading costs, and the least restrictions is likely to play the predominant role in the market’s determination of equilibrium values of the underlying stocks”. To date, most research on derivatives has focused on futures and options due to their trading success and subsequent data availability. Although many stylized facts have been generated about these two basic derivatives, much less is known about the information role of newer instruments such as PDRs.
Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12, 231–254. Johansen, S. (1992). Determination of Cointegration Rank in the Presence of a Linear Trend. Oxford Bulletin of Economics and Statistics, 54, 383–397. , & Juselius, K. (1992). K. Journal of Econometrics, 53, 211–244. , & Juselius, K. (1994). Identiﬁcation of the Long-Run and the Short-Run Structure: An Application to the ISLM Model. Journal of Econometrics, 63, 7–36. Kaul, G.