When shares are traded infrequently, beta estimates are often severely biased. This paper
reviews the problems introduced by infrequent trading, and presents a method for …

THE STRUCTURE OF THE theory of international finance largely mirrors that of domestic
financial theory. Starting from a micro-theory of individual portfolio choice one obtains, via …

WHEN I STUDIED MICROECONOMICS forty years ago, I was first taught how optimizing
firms and consumers would behave, and then taught the nature of the economic equilibrium …

This paper discusses the event study methodology, beginning with FFJR (1969), including
hypothesis testing, the use of different benchmarks for the normal rate of return, the power of …

In 1952, Harry Markowitz published" Portfolio Selection," a paper which revolutionized
modern investment theory and practice. The paper proposed that, in selecting investments …

In this paper a combined capital asset pricing model and option pricing model is considered
and then applied to the derivation of equity's value and its systematic risk. In the first section …

This paper presents a theory for pricing options on options, or compound options. The
method can be generalized to value many corporate liabilities. The compound call option …

THE ALLOCATIVE EFFICIENCY of capital markets depends on the extent to which capital
asset prices fully reflect information that affects their value. A limited number of empirical …

THIS PAPER SUGGESTS methods for evaluating investment performance. The topic is not
new. Important work has been done by Sharpe [21, 22], Treynor [23], and Jensen [13, 14] …

Navigate equity investments and asset valuation with confidence Equity Asset Valuation,
Fourth Edition blends theory and practice to paint an accurate, informative picture of the …