Handbook of Equity Style Management, 3rd Edition

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Edition: 3rd
Format: eBook
Pub. Date: 2003-04-01
Publisher(s): WILEY
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Summary

A fully updated guide to equity style management Pioneered by Nobel laureate William Sharpe, equity style management is derived from a correlation analysis of various equity style categories, such as value, growth, small cap, large cap and foreign stocks. In the Third Edition of The Handbook of Equity Style Management, twenty contributors from industry and academia help readers understand various equity style management issues, including equity style indices, different approaches to equity style measurement, foreign stock investing, tactical style management, behavioral aspects of equity style, and equity style benchmarks for manager selection and performance attribution. This updated edition gives readers the rationale behind equity style management, and shows how new strategies can be used to manage risk and improve returns. T. Daniel Coggin, PhD (Charlotte, NC), is an investment management consultant who has coauthored three books and numerous articles on investment management. Frank J. Fabozzi, PhD, CFA (New Hope, PA), is Editor of The Journal of Portfolio Management and author or editor of over 100 books on finance and investing.

Table of Contents

About the Editors ix
Preface xi
Overview of the Book xiii
Contributing Authors xv
Style Analysis: Asset Allocation and Performance Evaluation
1(46)
Arik Ben Dor
Ravi Jagannathan
The Many Elements of Equity Style: Quantitative Management of Core, Growth, and Value Strategies
47(28)
Robert D. Arnott
Christopher G. Luck
Models of Equity Style Information
75(34)
Robert C. Radcliffe
Style Analysis: A Ten-Year Retrospective and Commentary
109(22)
R. Stephen Hardy
More Depth and Breadth than the Style Box: The Morningstar Lens
131(28)
Paul D. Kaplan
James A. Knowles
Don Phillips
Using Portfolio Holdings to Improve the Search for Skill
159(12)
Ronald J. Surz
Are Growth and Value Dead?: A New Framework for Equity Investment Styles
171(24)
Lawrence S. Speidell
John Graves
The Style of Investor Expectations
195(24)
Hersh Shefrin
Meir Statman
The Effects of Imprecision and Bias on the Abilities of Growth and Value Managers to Outperform their Respective Benchmarks
219(10)
Robert A. Haugen
Style Return Differentials: Illusions, Risk Premiums, or Investment Opportunities
229(30)
Richard Roll
The Persistence of Equity Style Performance: Evidence from Mutual Fund Data
259(14)
Ronald N. Kahn
Andrew Rudd
How the Technology Bubble of 1999--2000 Disrupted Equity Style Investing
273(20)
Kari Bayer Pinkernell
Richard Bernstein
Multistyle Equity Investment Models
293(22)
Parvez Ahmed
John G. Gallo
Larry J. Lockwood
Sudhir Nanda
A Comparison of Fixed versus Flexible Market Capitalization Style Allocations: Don't Be Boxed in by Size
315(18)
Marc R Reinganum
A Plan Sponsor Perspective on Equity Style Management
333(26)
Keith Cardoza
An Analysis of U.S. and Non-U.S. Equity Style Index Methodologies
359(48)
H. David Shea
Country-Level Equity Style Timing
407(12)
Clifford Asness
Robert Krail
John Liew
Value Investing and the January Effect: Some More International Evidence
419(16)
Bala Arshanapalli
T. Daniel Coggin
William Nelson
Exploring the Mathematical Basis of Returns-Based Style Analysis
435(20)
Thomas Becker
Trading (and Investing) in ``Style'' Using Futures and Exchange-Traded Funds
455(28)
Joanne M. Hill
Index 483

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