Book description
A detailed look at equity valuation and portfolio management
Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities.
In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities.
Discusses both fundamental and new techniques for valuation and strategies
Fabozzi and Markowitz are experts in the fields of investment management and economics
Includes end of chapter bullet point summaries, key chapter take-aways, and study questions
Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.
The ebook version does not provide access to the companion files.
Table of contents
- Cover Page
- Title Page
- Copyright
- Contents
- Preface
- About the Editors
- Contributing Authors
- CHAPTER 1: An Introduction to Quantitative Equity Investing
- CHAPTER 2: Equity Analysis Using Traditional and Value-Based Metrics
- CHAPTER 3: A Franchise Factor Approach to Modeling P/E Orbits
- CHAPTER 4: Relative Valuation Methods for Equity Analysis
- CHAPTER 5: Valuation over the Cycle and the Distribution of Returns *
- CHAPTER 6: An Architecture for Equity Portfolio Management
- CHAPTER 7: Equity Analysis in a Complex Market
- CHAPTER 8: Survey Studies of the Use of Quantitative Equity Management
- CHAPTER 9: Implementable Quantitative Equity Research *
- CHAPTER 10: Tracking Error and Common Stock Portfolio Management
- CHAPTER 11: Factor-Based Equity Portfolio Construction and Analysis
-
CHAPTER 12: Cross-Sectional Factor-Based Models and Trading Strategies
- CROSS-SECTIONAL METHODS FOR EVALUATION OF FACTOR PREMIUMS
- FACTOR MODELS
- PERFORMANCE EVALUATION OF FACTORS
- MODEL CONSTRUCTION METHODOLOGIES FOR A FACTOR-BASED TRADING STRATEGY
- BACKTESTING
- BACKTESTING OUR FACTOR TRADING STRATEGY
- KEY POINTS
- APPENDIX: THE COMPUSTAT POINT-IN-TIME, IBES CONSENSUS DATABASES AND FACTOR DEFINITIONS
- QUESTIONS
- CHAPTER 13: Multifactor Equity Risk Models and Their Applications *
- CHAPTER 14: Dynamic Factor Approaches to Equity Portfolio Management
- CHAPTER 15: A Factor Competition Approach to Stock Selection
- CHAPTER 16: Avoiding Unintended Country Bets in Global Equity Portfolios *
- CHAPTER 17: Modeling Market Impact Costs
- CHAPTER 18: Equity Portfolio Selection in Practice
- CHAPTER 19: Portfolio Construction and Extreme Risk
-
CHAPTER 20: Working with High-Frequency Data
- WHAT IS HIGH-FREQUENCY DATA?
- HOW IS HIGH-FREQUENCY DATA RECORDED?
- PROPERTIES OF HIGH-FREQUENCY DATA
- HIGH-FREQUENCY DATA ARE VOLUMINOUS
- HIGH-FREQUENCY DATA ARE SUBJECT TO BID-ASK BOUNCE
- HIGH-FREQUENCY DATA ARE IRREGULARLY SPACED IN TIME
- EQUITY CORRELATIONS DECAY AT HIGH FREQUENCIES
- KEY POINTS
- QUESTIONS
- CHAPTER 21: Statistical Arbitrage
- About the Web Site
- Index
Product information
- Title: Equity Valuation and Portfolio Management
- Author(s):
- Release date: October 2011
- Publisher(s): Wiley
- ISBN: 9780470929919
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