Download Advances in investment analysis and portfolio management. / by Cheng-Few Lee PDF

By Cheng-Few Lee

This learn annual booklet intends to collect funding research and portfolio idea and their implementation to portfolio administration. It seeks theoretical and empirical study manuscripts with prime quality within the zone of funding and portfolio research. The contents will encompass unique examine on: the rules of portfolio administration of equities and fixed-income securities. The assessment of portfolios (or mutual money) of universal shares, bonds, overseas resources, and suggestions. The dynamic means of portfolio administration. concepts of overseas investments and portfolio administration. The purposes of necessary and critical analytical innovations equivalent to arithmetic, econometrics, information, and desktops within the box of funding and portfolio administration. Theoretical learn regarding innovations and futures. furthermore, it additionally comprises articles that current and consider new and demanding accounting, monetary, and fiscal facts for coping with and comparing portfolios of dicy resources.

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Oxford: Basil Blackwell Publisher. Hess, P. -S. (1999). Stock Returns and Inflation with Supply and Demand Disturbances. Review of Financial Studies, 12, 1203–1218. , & Partch, M. (1985). A VARMA Analysis of the Causal Relations among Stock Returns, Real Output, and Nominal Interest Rates. Journal of Finance, 40, 1375–1384. 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.

Hendry, D. F. (1993). Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data. Oxford: Oxford University Press. , & Richardson, M. (1993). Stock Returns and Inflation: A Long Horizon Perspective. American Economic Review, 83(5), 1346–1355. Caines, P. , Keng, C. , & Sethi, S. P. (1981). Causality Analysis and Multivariate Autoregressive Modelling with an Application to Supermarket Sales Analysis. Journal of Economic Dynamics and Control, 3, 267–298. Stock Returns, Inflation and the Macroeconomy 17 Crowder, W.

Journal of Finance, 30, 259–280. Marshall, D. A. (1992). Inflation and Asset Returns in a Monetary Economy. Journal of Finance, 47, 1315–1342. , & Tayalor, M. P. (1993). The Monetary Approach to the Exchange Rate. IMF Staff Papers, 40, 89–107. Osterwald-Lenum, M. (1992). A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics. Oxford Bulletin of Economics and Statistics, 50, 361–377. Pantula, S. , & Fuller, W. A. (1994). A Comparison of Unit-Root Test Criteria.

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