By Cheng-Few Lee
This study annual e-book intends to collect funding research and portfolio thought and their implementation to portfolio administration. It seeks theoretical and empirical study manuscripts with prime quality within the quarter of funding and portfolio research. The contents will include unique study on: the foundations of portfolio administration of equities and fixed-income securities. The evaluate of portfolios (or mutual cash) of universal shares, bonds, overseas resources, and strategies. The dynamic strategy of portfolio administration. innovations of foreign investments and portfolio administration. The functions of worthy and critical analytical options equivalent to arithmetic, econometrics, statistics, and pcs within the box of funding and portfolio administration. Theoretical study regarding concepts and futures. moreover, it additionally comprises articles that current and think about new and demanding accounting, monetary, and financial info for handling and comparing portfolios of dicy resources.
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Extra resources for Advances in Investment Analysis and Portfolio Management, Volume 8, Volume 8
Lintner, J. (1975). Inﬂation and Security Return. Journal of Finance, 30, 259–280. Marshall, D. A. (1992). Inﬂation and Asset Returns in a Monetary Economy. Journal of Finance, 47, 1315–1342. , & Tayalor, M. P. (1993). The Monetary Approach to the Exchange Rate. IMF Staff Papers, 40, 89–107. Osterwald-Lenum, M. (1992). A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics. Oxford Bulletin of Economics and Statistics, 50, 361–377. Pantula, S.
As noted by Manaster and Rendleman (1982, p. 1044), “In the long run, the trading vehicle that provides the greatest liquidity, the lowest trading costs, and the least restrictions is likely to play the predominant role in the market’s determination of equilibrium values of the underlying stocks”. To date, most research on derivatives has focused on futures and options due to their trading success and subsequent data availability. Although many stylized facts have been generated about these two basic derivatives, much less is known about the information role of newer instruments such as PDRs.
Journal of Financial and Quantitative Analysis, 23, 161–174. , & Vorst, T. C. F. (1994). The Binominal Model and the Greeks. Journal of Derivatives, Spring, 45–49. Ritchken, P. (1995). On Pricing Barrier Options. Journal of Derivatives, Winter, 19–28. , & Reiner, E. Exotic Options, Working Paper, University of California at Berkeley. Tian, Y. (1993). A Modiﬁed Lattice Approach to Option Pricing. Journal of Futures Markets, 13, 563–577. This Page Intentionally Left Blank THE INFORMATION ROLE OF PORTFOLIO DEPOSITORY RECEIPTS Paul Brockman and Yiuman Tse ABSTRACT The purpose of this paper is to investigate the information role of portfolio depository receipts (PDRs) by using the common factor models of Gonzalo and Granger (1995) and King et al.