October 2011
Beginner
576 pages
16h 32m
English
Content preview from Equity Valuation and Portfolio ManagementBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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QUESTIONS
- List and define the typical risks of an investment strategy.
- What areas of finance use factor models?
- Explain some of the major data issues encountered when working with financial data.
- How are financial data organized?
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- What are outliers?
- Why do outliers occur in financial data?
1 Benjamin Graham and David Dodd, Security Analysis (New York: McGraw-Hill, 1962).
2 Benjamin Graham, The Intelligent Investor (1949; reprint New York: Harper & Row, 1973).
3 Peter L. Bernstein, Capital Ideas: The Improbable Origins of Modern Wall Street (New York: The Free Press, 1992).
4 Eugene F. Fama and Kenneth R. French, “Dividend Yields and Expected Stock Returns,” Journal of Financial Economics 22, no. 1 (1988): 3–25.
5 Jose Menchero and Vijay Poduri, “Custom Factor Attribution,” Financial Analysts Journal 62, no. 2 (2008): 81–92.
6 Thomson MarketQA, http://thomsonreuters.com/products_services/financial/financial_products/quantitative_analysis/quantitative_analytics.
7 Factset Research Systems, http://www.factset.com.
8 Compustat Xpressfeed, http://www.compustat.com.
9 See Nicholas Barberis and Richard Thaler, “A Survey of Behavioral Finance”, in Handbook of the Economics of Finance, edited by George M. Constantinides, M. Harris, and Rene M. Stulz (Amsterdam: Elsevier Science, 2003).
10 For a discussion of the sources of model misspecification and remedies, see Frank J. Fabozzi, Sergio Focardi, and Petter N. Kolm, Quantitative Equity Investing (Hoboken, NJ: John Wiley & Sons, 2010). ...
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