The return generating models in global finance
by Arun J. Prakash
The market model, introduced over thirty years ago, is one of the most studied and utilized return generating models in finance. Over three decades it has withstood rigorous testing and, with refinements over the years, remains the standard of reference today, being applied to almost all existing global investment opportunities.
The resulting literature is prolific, and the aim of this book is to consolidate the most important literature on the market model, focusing especially on recent research involving issues related to the model. The market model is analysed in detail and its characteristics discussed, criticisms presented and possible shortcomings tested.
The book also presents a guide to the various applications of the model, as well as a discussion of other types of model, their forecasting power and their relationship with the market model.
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The return generating models in global finance
1999, Pergamon
in English
- 1st ed.
0080430589 9780080430584
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Includes bibliographical references and indexes.
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