Asset Pricing and Portfolio Performance: Models, Strategy, and Performance Metrics
Robert A. Korajczyk
Risk Books, 1999 - Capital assets pricing model - 384 pages
A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
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A Theory of Market Equilibrium Under Conditions of Risk
An Intertemporal Capital Asset Pricing Model
The Arbitrage Theory of Capital Asset Pricing
14 other sections not shown
alphas analysis arbitrage Arbitrage Pricing Theory asset pricing model assumptions average returns BE/ME beta book-to-market equity book-to-market ratios Capital Asset Pricing CAPITAL MARKET CAPM characteristics coefficients conditional Connor-Korajczyk correlated cost covariance cross-sectional cross-sectional regression CRSP decile distressed effect empirical equal-weighted equation estimates evidence excess returns expected returns EXPECTED STOCK factor loadings Fama and French Fama-French factors Fama-MacBeth Financial Economics firms high book-to-market ICAPM implies In(ME intercepts investment investors Jensen Jensen measure Journal of Financial Lakonishok losers managers market portfolio market return market value mean-variance measure Merton month mutual funds Nasdaq negative NYSE p-value past returns performance period portfolio returns portfolios are formed portfolios formed positive post-ranking predicted proxy regressions relation risk premium riskless risky assets sales rank sample securities Sharpe ratio slope standard errors stock returns strategies subperiods systematic risk t-statistics Table tests Theory three-factor model time-series Titman trading unconditional value-weighted variables variance variation zero