[eBook Code] Equity Valuation and Portfolio Management (eBook Code, 1st)

· 제목 : [eBook Code] Equity Valuation and Portfolio Management (eBook Code, 1st) 
· 분류 : 외국도서 > 경제경영 > 기업재정 > 기업평가
· ISBN : 9781118156537
· 쪽수 : 576쪽
· 출판일 : 2011-09-20

Preface xiii

About the Editors xxiii

Contributing Authors xxv

Chapter 1 An Introduction to Quantitative Equity Investing 1
Paul Bukowski

Equity Investing 1

Fundamental vs. Quantitative Investor 2

The Quantitative Stock Selection Model 7

The Overall Quantitative Investment Process 9

Research 9

Portfolio Construction 18

Monitoring 21

Current Trends 22

Key Points 23

Questions 24

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

Overview of Traditional Metrics 25

Price Multiples 32

Fundamental Stock Return 36

Traditional Caveats 38

Overview of Value-Based Metrics 39

Key Points 58

Appendix: Case Study 60

Questions 69

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

Background 72

Historical Data Observations 75

Formulation of the Basic Model 81

P/E Myopia: The Fallacy of a Stable P/E 85

Two-Phase P/E Orbits 91

Franchise Valuation under Q-Type Competition 96

Franchise Labor 97

Key Points 101

Questions 102

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

Basic Principles of Relative Valuation 106

Hypothetical Example 115

Key Points 123

Questions 124

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

The Link Between Earnings and Returns 126

The Phases Can Be Interpreted in Relationship to the Economy 132

Asset Class Performance Varies across the Phases 137

Incorporating Cyclicality into Valuations 139

Appendix: Dates and Returns of the Phases 142

Key Points 146

Questions 146

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

Architectural Building Blocks 148

Traditional Active Management 151

Passive Management 156

Engineered Management 157

Expanding Opportunities 160

The Risk-Return Continuum 163

The Ultimate Objective 167

Key Points 168

Questions 169

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

An Integrated Approach to a Segmented Market 172

Disentangling 176

Constructing, Trading, and Evaluating Portfolios 184

Profiting from Complexity 186

Key Points 187

Questions 188

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

2003 Intertek European Study 189

2006 Intertek Study 197

2007 Intertek Study 205

Challenges for Quantitative Equity Investing 224

Modeling After the 2007–2009 Global Financial Crisis 226

Key Points 228

Questions 229

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

The Rise of Econophysics 233

A General Framework 235

Select a Sample Free from Survivorship Bias 238

Select a Methodology to Estimate the Model 239

Risk Control 246

Key Points 248

Questions 249

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

Definition of Tracking Error 251

Components of Tracking Error 254

Forward-Looking vs. Backward-Looking Tracking Error 255

Information Ratio 256

Determinants of Tracking Error 257

Marginal Contribution to Tracking Error 261

Key Points 262

Questions 263

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

Factor-Based Trading 266

Developing Factor-Based Trading Strategies 269

Risk to Trading Strategies 271

Desirable Properties of Factors 273

Sources for Factors 273

Building Factors from Company Characteristics 274

Working with Data 275

Analysis of Factor Data 283

Key Points 287

Questions 289

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

Cross-Sectional Methods for Evaluation of Factor Premiums 292

Factor Models 300

Performance Evaluation of Factors 310

Model Construction Methodologies for a Factor-based Trading Strategy 317

Backtesting 328

Backtesting Our Factor Trading Strategy 330

Key Points 331

Appendix: The Compustat Point-in-Time, IBES Consensus Databases and Factor Definitions 333

Questions 337

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

Motivation 340

Equity Risk Factor Models 342

Applications of Equity Risk Models 350

Key Points 370

Questions 371

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

Methods of Active Management 376

Modeling 385

Implementation 392

Key Points 395

Questions 395

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

The Problem 397

The Solution 403

Which Factors Get Picked? 407

Does the Alpha Repair Process Work? 408

Key Points 411

Questions 412

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

Country Membership and Individual Stock Returns 414

Ways to Build Active Global Portfolios 416

Studying the Naive Portfolio 419

Empirical Results 420

Why Does the Naive Stock Selection Portfolio Make Country Noise Bets? 422

Key Points 423

Questions 424

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

Market Impact Costs 426

Liquidity and Transaction Costs 427

Market Impact Measurements and Empirical Findings 430

Forecasting and Modeling Market Impact 433

Key Points 439

Questions 440

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

Portfolio Constraints Commonly Used in Practice 442

Benchmark Exposure and Tracking Error Minimization 450

Incorporating Transaction Costs 454

Incorporating Taxes 460

Multi-Account Optimization 465

Robust Parameter Estimation 469

Portfolio Resampling 471

Robust Portfolio Optimization 474

Key Points 480

Questions 481

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

Measures of Extreme Loss 484

Constraining Shortfall 485

Performance 485

Imposing Benchmark Neutrality 487

Analysis 489

Key Points 493

Appendix: Constructing Out-of-Sample Shortfall Betas 494

Questions 495

Chapter 20 Working with High-Frequency Data 497
Irene Aldridge

What is High-Frequency Data? 497

How is High-Frequency Data Recorded? 499

Properties of High-Frequency Data 500

High-Frequency Data are Voluminous 501

High-Frequency Data are Subject to Bid-Ask Bounce 503

High-Frequency Data are Irregularly Spaced in Time 509

Equity Correlations Decay at High Frequencies 517

Key Points 519

Questions 520

Chapter 21 Statistical Arbitrage 521
Brian J. Jacobsen

Pairs Trading 523

General Models 532

Key Points 534

Questions 534

About the Website 535

Index 537