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Advances in Investment Analysis and Portfolio Management
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* 叢書系列：經濟學研究系列
* 規格：平裝 / 214頁 / 16*23.5cm / 普級 / 單色印刷 / 初版
* 出版地：台灣
經濟學研究系列
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商業理財 > 經濟/趨勢 > 金融 |
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Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.
The chapters in this volume cover a wider range of topics including equity markets, risk return trade-off analysis and portfolio management, and IPOs. In this volume there are 10 chapters, four of them analyze the issues of equity markets: 1. Revisiting U.S. Stock Market Returns: Individual Retirement Accounts; 2. Asset Returns and Monetary Policy in the Emerging Taiwan Financial Markets; 3. On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Stock Index Futures; and 4. Does the Net Flow of Funds Help to Predict the S&P 500 Index? Four of the other six chapters discuss risk return trade-off analysis and portfolio management: 1. An Intertemporal Analysis of Optimal International Asset Allocation; 2. Complexity and the Performance of Investment Portfolios; 3. The Similarity Between Mean-Variance and Mean-Gini: Testing for Equality of Gini Correlations; 4. Estimating Capital Market Parameters: CRSP Versus Yahoo Data.
The remaining two papers are related to IPOs: 1. Distinguishing Quality within the IPO Market and 2. Do IPO Firms have Lower Risk? Evidence from IPO Performance in Different States of the World? In sum, this annual publication covers equity markets, IPO, risk return trade-off analysis, and portfolio management. Therefore, the material covered in this publication is not only useful for academicians and but also for practitioners in the area of Finance.
【作者簡介】
Center for Pacific Basin, Business, Economics, and Finance Research
James S. Ang The Florida State University, U.S.A.
Christopher B. Barry Texas Christian University, U.S.A.
Stephen J. Brown New York University, U.S.A.
Edwin Burmeister Duke University, U.S.A.
Carl R. Chen The University of Dayton, U.S.A.
Ren-Raw Chen Rutgers University, U.S.A.
Son N. Chen National Chengchi University, Taiwan
Cheol S. Eun Georgia Institute of Technology, U.S.A.
Jack C. Francis Baruch College, U.S.A.
Chin-Wen Hsin Yuan-Ze University, Taiwan
Ping Hsiao San Francisco State University, U.S.A.
Dong Cheol Kim Rutgers University, U.S.A.
Stanley J. Kon Smith-Breedan Associate, Inc., U.S.A.
Yun Lin National Taiwan University, Taiwan
Scott C. Linn University of Oklahoma, U.S.A.
William T. Moore University of South Carolina, U.S.A.
R. Richardson Petti University of Houston, U.S.A.
C. W. Sealy University of North Carolina –Charlotte, U.S.A
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PREFACE TO VOLUME 3 vii
LIST OF CORRESPONDENCE xi
★Chapter 1 An Intertemporal Analysis of Optimal International Asset Allocation 1
Mitchell Ratner
★Chapter 2 Revisiting U.S. Stock Market Returns: Individual Retirement Accounts 17
A.G. Malliaris
★Chapter 3 Asset Returns and Monetary Policy in the Emerging Taiwan Financial Markets 39
Ming-Hsiang Chen, Yi-Chi Kuo, Su-Jane Chen
★Chapter 4 Distinguishing Quality within the IPO Market 63
James Ang, Carol Boyer
★Chapter 5 Complexity and the Performance of Investment Portfolios 77
Sanjay Goel, Hany Shawky, Christopher Brown
★Chapter 6 The Similarity Between Mean-Variance and Mean-Gini: Testing for Equality of Gini Correlations 97
Edna Schechtman, Shlomo Yitzhaki, Yevgeny Artsev
★Chapter 7 On the Intradaily Relationaship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Stock Index Futures 123
Min-Hsien Chiang, Tsai-Yin Lin, Chih-Hsien Yu, Hsiao-Lan Chen
★Chapter 8 Does the Net Flow of Funds Help to Predict the S&P 500 Index? 143
Thomas A. Carnes, Michael Mosebach, Mohammad Najand
★Chapter 9 Do IPO Firms have Lower Risk? Evidence from IPO Performance in Different States of the World 157
Nianyun ( Kelly) Cai, Yong H. Kim, Xuejing Xing
★Chapter 10 Estimating Capital Market Parameters: CRSP Versus Yahoo Data 173
Ronnie J. Clayton, John S. Jahera, Bill Schmidt
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