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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, 180, 186, 194, 196
Stein, C., 179
Stein estimator, 132
Stein, J., 5
Stochastic volatility models, 151–3
restricted (deterministic) models, 153
Strategy aggression, 221–2, 224–6
Strike-dependent volatility function, 153
Subrahmanyam, A., 191, 194
Swaminathan, B., 192, 194, 208
Symmetric distributions, 75–6
Taffler, R., 192, 205
Tax loss selling, 5
Thaler, R., 5
Thompson, S., 11
Timmermann, A., 152
Titman, S., 4, 11
Total investment constraint, 66–7
Trading volume, 192, 194
Transaction costs, 221
transaction cost limits, 69–70
Tversky, A., 276
Uncertainty, 177
See also Ambiguity aversion
Utility-maximization, 182
Valuation ratios, 6–7
Value at risk (VaR) threshold risk measure, 113,
141, 161
Value premium, 191–2, 193, 205–8, 209–10,
211, 212
Viceira, L., 7
Victoria-Feser, M. P., 178–9
Volatility, 117, 131–2, 134, 151
Bayesian analysis, 121–2
dispersion, 91
estimation, 151–2
forecast horizon volatility, 235–6
forecasting and, 141, 151–3
implied volatility, 125, 141, 152, 153, 157–8
modelling, 117–19, 151–3
restricted stochastic (deterministic) volatility
models, 153
strike-dependent volatility function, 153
Volatility risk-premium, 152
Wang, J., 195
Whaley, R., 153
Winkelmann, K., 28, 31
Wolf, M., 179
Yield spreads, 7
Yule, G., 9
Zarowin, P., 5
Zhang, L., 193, 205, 209

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