Encyclopedia of Financial Models, Volume II.
Frank J. Fabozzi
Bok Engelsk 2013 · Electronic books.
| Omfang | 1 online resource (829 pages)
|
|---|---|
| Opplysninger | Intro -- ENCYCLOPEDIA OF FINANCIAL MODELS -- About the Editor -- Contents -- Contributors -- Preface -- Guide to the Encyclopedia of Financial Models -- Equity Models and Valuation -- Dividend Discount Models -- DIVIDEND MEASURES -- DIVIDENDS AND STOCK PRICES -- BASIC DIVIDEND DISCOUNT MODELS -- THE FINITE LIFE GENERAL DIVIDEND DISCOUNT MODEL -- Assuming a Constant Discount Rate -- Required Inputs -- Assessing Fair Value -- CONSTANT GROWTH DIVIDEND DISCOUNT MODEL -- MULTIPHASE DIVIDEND DISCOUNT MODELS -- Two-Stage Growth Model -- Three-Stage Growth Model -- STOCHASTIC DIVIDEND DISCOUNT MODELS -- Binomial Stochastic Model -- Trinomial Stochastic Models -- Applications of the Stochastic DDM -- EXPECTED RETURNS AND DIVIDEND DISCOUNT MODELS -- KEY POINTS -- REFERENCES -- Discounted Cash Flow Methods for Equity Valuation -- DIVIDEND DISCOUNT MODEL -- Stocks That Currently Pay No Dividend -- CONSTANT-GROWTH DDM -- NONCONSTANT-GROWTH DDM -- INTUITION BEHIND THE DDM -- COMPLICATIONS IN IMPLEMENTING THE DDM IN THE REAL WORLD -- Expected Growth of Dividends -- Appropriate Expected Required Rate of Return -- Expected Future Selling Price -- Reinvestment of Profits/Internal Financing that Support Growth -- ADAPTING TO THE COMPLICATIONS: THE EARNINGS PER SHARE APPROACH -- FREE CASH FLOW DCF MODEL-TOTAL FIRM VALUATION -- Difference between Cash Flow and Free Cash Flow -- CALCULATING FCF -- USING THE CASH-FLOW STATEMENT TO ARRIVE AT OCF AND FCF -- Adjustments for Changes in Net Working Capital -- Adjustments for Investment in New Fixed Assets -- Adjustments for Depreciation and Other Noncash Expenses -- Financial Adjustments -- VALUING THE TOTAL FIRM -- ESTIMATING TOTAL FIRM VALUE USING THE FCF MODEL -- KEY POINTS -- REFERENCES -- Relative Valuation Methods for Equity Analysis -- BASIC PRINCIPLES OF RELATIVE VALUATION -- Sources of Data.. - Characteristic Testing: Key Measures of Consistency -- Model Creation -- PORTFOLIO CONSTRUCTION -- Data Collection -- Creating Security Weights -- Trade -- MONITORING -- Risk Management -- Performance Attribution -- CURRENT TRENDS -- KEY POINTS -- NOTES -- Quantitative Equity Portfolio Management -- TRADITIONAL AND QUANTITATIVE APPROACHES TO EQUITY PORTFOLIO MANAGEMENT -- FORECASTING STOCK RETURNS, RISKS, AND TRANSACTION COSTS -- Forecasting Returns -- Forecasting Risks -- Forecasting Transaction Costs -- CONSTRUCTING PORTFOLIOS -- TRADING -- EVALUATING RESULTS AND UPDATING THE PROCESS -- KEY POINTS -- REFERENCES -- Forecasting Stock Returns -- THE CONCEPT OF PREDICTABILITY -- Statistical Concepts of Predictability and Unpredictability -- A CLOSER LOOK AT PRICING MODELS -- PREDICTIVE RETURN MODELS -- Regressive Models -- Linear Autoregressive Models -- Dynamic Factor Models -- Hidden-Variable Models -- IS FORECASTING MARKETS WORTH THE EFFORT? -- KEY POINTS -- NOTES -- REFERENCES -- Factor Models for Portfolio Construction -- Factor Models -- ARBITRAGE PRICING THEORY -- TYPES OF FACTOR MODELS -- Known Factors -- Other Considerations in Factor Models -- Latent Factors -- Both Types of Factors -- Predictive Factor Models -- FACTOR MODEL ESTIMATION -- Computational Procedure -- Alternative Approaches and Extensions -- USE OF PRINCIPAL COMPONENTS ANALYSIS -- KEY POINTS -- REFERENCES -- Principal Components Analysis and Factor Analysis -- FACTOR MODELS -- Types of Factors and Their Estimation -- PRINCIPAL COMPONENTS ANALYSIS -- Illustration of Principal Components Analysis -- PCA and Factor Analysis with Stable Distributions -- FACTOR ANALYSIS -- An Illustration of Factor Analysis -- PCA AND FACTOR ANALYSIS COMPARED -- KEY POINTS -- REFERENCES -- Multifactor Equity Risk Models and Their Applications -- MOTIVATION -- EQUITY RISK FACTOR MODELS.. - Maximum Likelihood Estimates.. - Model Estimation -- Types of Factors -- Idiosyncratic Risk -- APPLICATIONS OF EQUITY RISK MODELS -- Portfolio Construction -- Analyzing Portfolio Risk Using Multifactor Models -- Performance Attribution -- Factor-Based Scenario Analysis -- KEY POINTS -- NOTES -- REFERENCES -- Factor-Based Equity Portfolio Construction and Analysis -- FACTOR-BASED TRADING -- DEVELOPING FACTOR-BASED TRADING STRATEGIES -- Basic Framework and Building Blocks -- RISK TO TRADING STRATEGIES -- DESIRABLE PROPERTIES OF FACTORS -- SOURCES FOR FACTORS -- BUILDING FACTORS FROM COMPANY CHARACTERISTICS -- WORKING WITH DATA -- Data Integrity -- Potential Biases from Data -- Dealing with Common Data Issues -- Methods to Adjust Factors -- Outlier Detection and Management -- ANALYSIS OF FACTOR DATA -- Example 1: EBITDA/EV -- Example 2: Revisions -- Example 3: Share Repurchase -- KEY POINTS -- NOTES -- REFERENCES -- Cross-Sectional Factor-Based Models and Trading Strategies -- CROSS-SECTIONAL METHODS FOR EVALUATION OF FACTOR PREMIUMS -- Portfolio Sorts -- FACTOR MODELS -- Econometric Considerations for Cross-Sectional Factor Models -- Fama-MacBeth Regression -- Information Coefficients -- Factor Portfolios -- PERFORMANCE EVALUATION OF FACTORS -- MODEL CONSTRUCTION METHODOLOGIES FOR A FACTOR-BASED TRADING STRATEGY -- The Data Driven Approach -- The Factor Model Approach -- The Heuristic Approach -- The Optimization Approach -- Importance of Model Construction and Factor Choice -- BACKTESTING -- Understanding In-Sample and Out-of-Sample Methodologies -- A Comment on the Interaction between Factor-Based Strategies and Risk Models -- BACKTESTING OUR FACTOR TRADING STRATEGY -- KEY POINTS -- APPENDIX: THE COMPUSTAT POINT-IN-TIME, IBES CONSENSUS DATABASES AND FACTOR DEFINITIONS -- Value Factors -- Quality Factors -- Growth -- Momentum -- Summary Statistics -- NOTES -- REFERENCES.. - Number of Comparable Firms -- Basis for Selecting Comparable Firms -- Geography and Clientele -- Sector and Industry Characteristics -- Technology and Intraindustry Diversity -- Bimodal and Multimodal Patterns -- Choice of Valuation Multiples -- Choice of Numerator: Market Cap versus Firm Value -- Industry-Specific Multiples -- HYPOTHETICAL EXAMPLE -- Analysis of the Hypothetical Example -- Other Potential Issues -- KEY POINTS -- NOTES -- REFERENCES -- Equity Analysis in a Complex Market -- AN INTEGRATED APPROACH TO A SEGMENTED MARKET -- A Coherent Framework -- DISENTANGLING -- Noise Reduction -- Return Revelation -- Predictive Power -- Additional Complexities -- CONSTRUCTING, TRADING, AND EVALUATING PORTFOLIOS -- PROFITING FROM COMPLEXITY -- KEY POINTS -- NOTES -- REFERENCES -- Equity Portfolio Selection Models in Practice -- PORTFOLIO CONSTRAINTS COMMONLY USED IN PRACTICE -- Long-Only (No-Short-Selling) Constraints -- Holding Constraints -- Turnover Constraints -- Risk Factor Constraints -- Cardinality Constraints -- Minimum Holding and Transaction Size Constraints -- Round Lot Constraints -- BENCHMARK EXPOSURE AND TRACKING ERROR MINIMIZATION -- Standard Definition of Tracking Error -- Alternative Ways of Defining Tracking Error -- Actual Versus Predicted Tracking Error -- INCORPORATING TRANSACTION COSTS -- Linear Transaction Costs -- Piecewise-Linear Transaction Costs -- Quadratic Transaction Costs -- Fixed Transaction Costs -- INCORPORATING TAXES -- MULTIACCOUNT OPTIMIZATION -- ROBUST PARAMETER ESTIMATION -- PORTFOLIO RESAMPLING -- ROBUST PORTFOLIO OPTIMIZATION -- KEY POINTS -- NOTES -- REFERENCES -- Basics of Quantitative Equity Investing -- EQUITY INVESTING -- FUNDAMENTAL VS. QUANTITATIVE INVESTOR -- THE QUANTITATIVE STOCK SELECTION MODEL -- THE OVERALL QUANTITATIVE INVESTMENT PROCESS -- RESEARCH.. - The Fundamentals of Fundamental Factor Models -- FUNDAMENTAL ANALYSIS AND THE BARRA FUNDAMENTAL FACTOR MODEL -- CRITICAL INSIGHTS FROM THE BARRA FUNDAMENTAL FACTOR MODEL -- RISK DECOMPOSITION -- Performance Attribution -- KEY POINTS -- NOTES -- REFERENCES -- Multifactor Equity Risk Models and Their Applications -- MODEL DESCRIPTION AND ESTIMATION -- RISK DECOMPOSITION -- Total Risk Decomposition -- Systematic-Residual Risk Decomposition -- Active Risk Decomposition -- Active Systematic-Active Residual Risk Decomposition -- Summary of Risk Decomposition -- APPLICATIONS IN PORTFOLIO CONSTRUCTION AND RISK CONTROL -- Risk Control against a Stock Market Index -- Tilting a Portfolio -- KEY POINTS -- NOTES -- REFERENCES -- Multifactor Fixed Income Risk Models and Their Applications -- APPROACHES USED TO ANALYZE RISK -- Market Structure and Exposure Contributions -- Adding Volatility and Correlations into the Analysis -- A Detailed Risk Report -- APPLICATIONS OF RISK MODELING -- Portfolio Construction and Risk Budgeting -- Portfolio Rebalancing -- Scenario Analysis -- KEY POINTS -- NOTES -- REFERENCES -- Financial Econometrics -- Scope and Methods of Financial Econometrics -- THE DATA GENERATING PROCESS -- FINANCIAL ECONOMETRICS AT WORK -- Implications of Empirical Series with Only One Realization -- Determining the Model -- TIME HORIZON OF MODELS -- Model Risk and Model Robustness -- Performance Measurement of Models -- APPLICATIONS -- Portfolio Construction and Optimization -- Risk Management -- Asset-Liability Management -- KEY POINTS -- REFERENCES -- Regression Analysis: Theory and Estimation -- THE CONCEPT OF DEPENDENCE -- REGRESSIONS AND LINEAR MODELS -- Case Where All Regressors Are Random Variables -- Linear Models and Linear Regressions -- Case Where Regressors Are Deterministic Variables -- ESTIMATION OF LINEAR REGRESSIONS.
|
| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9781118539682
|
| ISBN(galt) |
