Handbook of the Economics of Finance

INDEX

A

ABCP. See Asset-backed commercial paper

ABS. See Asset backed security

Absolute Return Tracker (ART), 1119–1120

ACF. See Autocorrelation function

Active bond funds, 1034

index types, 1034

performance, 1034

performance net of timing ability, 1035

regression model, 1035–1036

six-index model, 1035

variables, 1034–1035

Active equity funds, 1022

measurement model generation, 1024

Bayesian analysis, 1032

conditional models, 1030

definitive statement, 1033–1034

using holdings data, 1028–1029

index funds, 1033

index model evaluation, 1033

multi-index benchmarks estimation, 1024–1028

portfolio holdings, 1033

sensitivity estimation, 1033

stochastic discount factors, 1032

time varying betas, 1029–1030

performance measurement models

capital asset ...