Bali, Engle, and Murray have produced a highly accessible
introduction to the techniques and evidence of modern empirical
asset pricing. This book should be read and absorbed by every
serious student of the field, academic and professional. Eugene
Fama, Robert R. McCormick Distinguished Service Professor of
Finance, University of Chicago and 2013 Nobel Laureate in Economic
Sciences The empirical analysis of the cross-section of stock
returns is a monumental achievement of half a century of finance
research. Both the established facts and the methods used to
discover them have subtle complexities that can mislead casual
observers and novice researchers. Bali, Engle, and Murray s clear
and careful guide to these issues provides a firm foundation for
future discoveries. John Campbell, Morton L. and Carole S. Olshan
Professor of Economics, Harvard University Bali, Engle, and Murray
provide clear and accessible descriptions of many of the most
important empirical techniques and results in asset pricing.
Kenneth R. French, Roth Family Distinguished Professor of Finance,
Tuck School of Business, Dartmouth College 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, and easy-to-understand language, the book is a valuable
resource for any introductory PhD class in empirical asset pricing.
Lubos Pastor, Charles P. McQuaid Professor of Finance, University
of Chicago Empirical Asset Pricing: The Cross Section of Stock
Returns is a comprehensive overview of the most important findings
of empirical asset pricing research. The book begins with thorough
expositions of the most prevalent econometric techniques with
in-depth discussions of the implementation and interpretation of
results illustrated through detailed examples. The second half of
the book applies these techniques to demonstrate the most salient
patterns observed in stock returns. The phenomena documented form
the basis for a range of investment strategies as well as the
foundations of contemporary empirical asset pricing research.
Empirical Asset Pricing: The Cross Section of Stock Returns also
includes: * Discussions on the driving forces behind the patterns
observed in the stock market * An extensive set of results that
serve as a reference for practitioners and academics alike *
Numerous references to both contemporary and foundational research
articles Empirical Asset Pricing: The Cross Section of Stock
Returns is an ideal textbook for graduate-level courses in asset
pricing and portfolio management. The book is also an indispensable
reference for researchers and practitioners in finance and
economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor
of Finance in the McDonough School of Business at Georgetown
University. The recipient of the 2014 Jack Treynor prize, he is the
coauthor of Mathematical Methods for Finance: Tools for Asset and
Risk Management, also published by Wiley. Robert F. Engle, PhD, is
the Michael Armellino Professor of Finance in the Stern School of
Business at New York University. He is the 2003 Nobel Laureate in
Economic Sciences, Director of the New York University Stern
Volatility Institute, and co-founding President of the Society for
Financial Econometrics. Scott Murray, PhD, is an Assistant
Professor in the Department of Finance in the J. Mack Robinson
College of Business at Georgia State University. He is the
recipient of the 2014 Jack Treynor prize.
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