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Handbook of the Economics of Finance by Rene M. Stulz, Milton Harris, George M. Constantinides

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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 ...

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