Equity Valuation and Portfolio Management (Hardcover)

Preface xiii

About the Editors xxiii

Contributing Authors xxv

CHAPTER 1: An Introduction to Quantitative Equity Investing 1
Paul Bukowski

CHAPTER 2: Equity Analysis Using Traditional and Value-Based Metrics 25
James L. Grant and Frank J. Fabozzi

CHAPTER 3: A Franchise Factor Approach to Modeling P/E Orbits 71
Stanley Kogelman and Martin L. Leibowitz

CHAPTER 4: Relative Valuation Methods for Equity Analysis 105
Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland

CHAPTER 5: Valuation over the Cycle and the Distribution of Returns 125
Anders Ersbak Bang Nielsen and Peter C. Oppenheimer

CHAPTER 6: An Architecture for Equity Portfolio Management 147
Bruce I. Jacobs and Kenneth N. Levy

CHAPTER 7: Equity Analysis in a Complex Market 171
Bruce I. Jacobs and Kenneth N. Levy

CHAPTER 8: Survey Studies of the Use of Quantitative Equity Management 189
Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas

CHAPTER 9: Implementable Quantitative Equity Research 231
Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma

CHAPTER 10: Tracking Error and Common Stock Portfolio Management 251
Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones

CHAPTER 11: Factor-Based Equity Portfolio Construction and Analysis 265
Petter N. Kolm, Joseph A. Cerniglia, and Frank J. Fabozzi

CHAPTER 12: Cross-Sectional Factor-Based Models and Trading Strategies 291
Joseph A. Cerniglia, Petter N. Kolm, and Frank J. Fabozzi

CHAPTER 13: Multifactor Equity Risk Models and Their Applications 339
Anthony Lazanas, António Baldaque da Silva, Arne D. Staal, and Cenk Ural

CHAPTER 14: Dynamic Factor Approaches to Equity Portfolio Management 373
Dorsey D. Farr

CHAPTER 15: A Factor Competition Approach to Stock Selection 397
Joseph Mezrich and Junbo Feng

CHAPTER 16: Avoiding Unintended Country Bets in Global Equity Portfolios 413
Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen

CHAPTER 17: Modeling Market Impact Costs 425
Petter N. Kolm and Frank J. Fabozzi

CHAPTER 18: Equity Portfolio Selection in Practice 441
Dessislava A. Pachamanova and Frank J. Fabozzi

CHAPTER 19: Portfolio Construction and Extreme Risk 483
Jennifer Bender, Jyh-Huei Lee, and Dan Stefek

CHAPTER 20: Working with High-Frequency Data 497
Irene Aldridge

CHAPTER 21: Statistical Arbitrage 521
Brian J. Jacobsen

About the Website 535

Index 537