Portfolio and Investment Analysis with SAS

Chapter 4: Robust Regression and Stock Selection in Global Equity Markets

4.1 Introduction and Efficient Markets

4.2 Fundamental Variables for Stock Selection Modeling

Level I Testing

Level II Testing

4.3 Fundamental Variables and Regression-Based Expected Returns Modeling

Background

REG8 Model

REG9 Model

REG10 Model

4.4 Why Apply Robust Regression?

4.5 SAS Robust Regression Estimations

Information Coefficients

4.6 SAS PROC ROBUSTREG with M, S, and MM Estimations

4.7 SAS Robust Regression with the Optimal Influence Function

4.8 Summary and Conclusions

 

4.1 Introduction and Efficient Markets

In this chapter we build several models of stock selection. We apply many robust regression techniques to select stocks in various global stock universes. ...