Chap013 Empirical Evidence on Security Returns 《投资学》博迪 第九版 英文培训资料.pptVIP

CHAPTER 13;Overview of Investigation;Overview of Investigation;The Index Model and the Single-Factor APT;Tests of the CAPM;Measurement Error in Beta;Table 13.1 Summary of Fama and MacBeth;Summary of CAPM Tests;Human Capital and Cyclical Variationsin Asset Betas;Table 13.2 Evaluation of Various CAPM Specifications;Table 13.3 Determinants of Stockholdings;Tests of the Multifactor Model;Tests of the Multifactor Model;Study Structure Results;Fama-French Three Factor Model;Interpretation of Three-Factor Model;Risk-Based Interpretations;Figure 13.1 Difference in Return to Factor Portfolios;Figure 13.2 HML Beta in Different Economic States;Behavioral Explanations for Value Premium;Figure 13.3 The Book-to-Market Ratio;Figure 13.4 Value minus Glamour Returns Surrounding Earnings Announcements;Momentum: A Fourth Factor;Liquidity and Asset Pricing;Liquidity and Asset Pricing;Liquidity and Efficient Market Anomalies;Equity Premium Puzzle;Consumption Growth and Market Rates of Return;Consumption Growth and Market Rates of Return;Table 13.6 Annual Excess Returns and Consumption Betas;Figure 13.6 Cross-Section of Stock Returns: Fama-French 25 Portfolios, 1954-2003;Expected versus Realized Returns;Survivorship Bias;Liquidity and the Equity Premium Puzzle;Behavioral Explanations of the Equity Premium Puzzle