Empirical asset pricing : the cross section of stock returns

515 Pages·2016·3.29 MB·English

by  Turan G.

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EMPIRICAL ASSET
PRICING
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EMPIRICAL ASSET
PRICING
The Cross Section of Stock Returns
TURANG.BALI
ROBERTF.ENGLE
SCOTTMURRAY
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LibraryofCongressCataloging-in-PublicationData
Names:Bali,TuranG.,author.|Engle,R.F.(RobertF.)author.|Murray,
Scott,1979-author.
Title:Empiricalassetpricing:thecrosssectionofstockreturns/Turan
G.Bali,RobertF.Engle,ScottMurray.
Description:Hoboken:Wiley,2016.|Includesbibliographicalreferencesand
index.
Identifiers:LCCN2015036767(print)|LCCN2016003455(ebook)|ISBN
9781118095041(hardback)|ISBN9781118589663(ePub)|ISBN9781118589472
(AdobePDF)
Subjects:LCSH:Stocks–Prices.|Rateofreturn.|Stockexchanges.|BISAC:
BUSINESS&ECONOMICS/Finance.
Classification:LCCHG4636.B352016(print)|LCCHG4636(ebook)|DDC
332.63/221–dc23
LCrecordavailableathttp://lccn.loc.gov/2015036767
Typesetin10/12ptTimesLTStdbySPiGlobal,Chennai,India
PrintedintheUnitedStatesofAmerica
10987654321
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“Theempiricalanalysisofthecrosssectionofstockreturnsisamonumentalachieve-
mentofhalfacenturyoffinanceresearch.Boththeestablishedfactsandthemethods
usedtodiscoverthemhavesubtlecomplexitiesthatcanmisleadcasualobserversand
noviceresearchers.Bali,Engle,andMurray’sclearandcarefulguidetotheseissues
providesafirmfoundationforfuturediscoveries.”
JohnCampbell,MortonL.andCaroleS.OlshanProfessorofEconomics,Harvard
University
“Bali,Engle,andMurrayhaveproducedahighlyaccessibleintroductiontothetech-
niquesandevidenceofmodernempiricalassetpricing.Thisbookshouldbereadand
absorbedbyeveryseriousstudentofthefield,academicandprofessional.”
EugeneFama,RobertR.McCormickDistinguishedServiceProfessorofFinance,
UniversityofChicago
“Bali,Engle,andMurrayprovideclearandaccessibledescriptionsofmanyofthemost
importantempiricaltechniquesandresultsinassetpricing.”
KennethR.French,RothFamilyDistinguishedProfessorofFinance,TuckSchoolof
Business,DartmouthCollege
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“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,
andeasy-to-understandlanguage,thebookisavaluableresourceforanyintroductory
PhDclassinempiricalassetpricing.”
LubosPastor,CharlesP.McQuaidProfessorofFinance,UniversityofChicago
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CONTENTS
PREFACE xv
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PARTI STATISTICALMETHODOLOGIES 1
1 Preliminaries 3
1.1 Sample, 3
1.2 WinsorizationandTruncation, 5
1.3 NeweyandWest(1987)Adjustment, 6
1.4 Summary, 8
References, 8
2 SummaryStatistics 9
2.1 Implementation, 10
2.1.1 PeriodicCross-SectionalSummaryStatistics, 10
2.1.2 AverageCross-SectionalSummaryStatistics, 12
2.2 PresentationandInterpretation, 12
2.3 Summary, 16
3 Correlation 17
3.1 Implementation, 18
3.1.1 PeriodicCross-SectionalCorrelations, 18
3.1.2 AverageCross-SectionalCorrelations, 19
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viii CONTENTS
3.2 InterpretingCorrelations, 20
3.3 PresentingCorrelations, 23
3.4 Summary, 24
References, 24
4 PersistenceAnalysis 25
4.1 Implementation, 26
4.1.1 PeriodicCross-SectionalPersistence, 26
4.1.2 AverageCross-SectionalPersistence, 28
4.2 InterpretingPersistence, 28
4.3 PresentingPersistence, 31
4.4 Summary, 32
References, 32
5 PortfolioAnalysis 33
5.1 UnivariatePortfolioAnalysis, 34
5.1.1 Breakpoints, 34
5.1.2 PortfolioFormation, 37
5.1.3 AveragePortfolioValues, 39
5.1.4 SummarizingtheResults, 41
5.1.5 InterpretingtheResults, 43
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5.1.6 PresentingtheResults, 45
5.1.7 AnalyzingReturns, 47
5.2 BivariateIndependent-SortAnalysis, 52
5.2.1 Breakpoints, 52
5.2.2 PortfolioFormation, 54
5.2.3 AveragePortfolioValues, 57
5.2.4 SummarizingtheResults, 60
5.2.5 InterpretingtheResults, 64
5.2.6 PresentingtheResults, 66
5.3 BivariateDependent-SortAnalysis, 71
5.3.1 Breakpoints, 71
5.3.2 PortfolioFormation, 74
5.3.3 AveragePortfolioValues, 76
5.3.4 SummarizingtheResults, 80
5.3.5 InterpretingtheResults, 80
5.3.6 PresentingtheResults, 81
5.4 IndependentVersusDependentSort, 85
5.5 Trivariate-SortAnalysis, 87
5.6 Summary, 87
References, 88
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