August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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Elsevier UK Index-H8321 jobcode: FEF 28-6-2007 2:27p.m. Page:286 Trimsize:165
×234MM
Basal Fonts:Sabon Margins:Top:36pt Gutter:15mm Font Size:10/12 Text Width:135mm Depth:47 Lines
286 Index
Schwert, G. W., 7
Scowcroft, A., 25, 26, 111
Scruggs, J., 7
Seasonal effects, 7
reversal, 5
Second-order cone programming (SOCP),
181, 182
Sector sorts, 78–9
Selection bias, 8
September 11 2001 terrorist attack, 196, 199
Serial dependence, 3
Shanken, J., 6
Sharpe ratio, 204
Sharpe, W. F., 2, 7
Shiller, R., 6
Size-sorted portfolios, 199–201
Smile effect, 152, 153
Smith, T. E., 254
Sort, See Portfolio sort
Spurious regression, 9–10
Stambaugh, R. F., 6, 7, 9, ...
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