Index

Accounting methods, earnings and, 482, 484

Accrued interest, 549550

Active bond functions, measuring performance of, 682

Active bond management, 570572

Active bond selection using modern portfolio theory, 572578

Active ETFs, 658

Active management, 718719

Active short-term bond management, 283

Active strategies, 722723

Actively managed mutual funds, performance of, 682

Active-passive approach, 390392

Agarwal, Vikas, 687, 687n21

Aggregate asset allocation, 206211

Aggregate interest rate forecasting, 570571

Aggregate performance, of all mutual funds, 663

Agrawal, A., 437

Aharony, Joseph, 437

Akerlof, George A., 503

Albin, Peter, 434

Algorithmic processes, 33

Alpha estimation, 137, 213214, 677678, 681682, 684685, 709710

Alpha funds, 642

Alternative security types, return characteristics of, 1920

American calls, 592, 598

American Stock Exchange index (AMEX), 22

Amihud, Yakov, 429

Analysts forecasts, 494495

Anchoring and adjustment, 502

Ang, Andrew, 211, 279, 279n19, 280n20, 378n13, 392395, 414nn56, 416n6, 431, 431n26

Announcement of share price, effects of, 431432

Arbitrage pricing theory (APT), 330, 364407

attributes of securities, specifying, 373374

and CAPM, 381382

characteristics, 369

credit risk factor, 392

description, 364369

equity risk premium, 396

estimating, 369380

factors and characteristics, simultaneous determination of, 371372

foreign exchange [FX] carry, 393

GDP factor, 395

inflation factor, 395

liquidity factor, 394395

momentum factor, ...

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