Equity Valuation and Portfolio Management

Preface xiii
<p>About the Editors xxiii</p>
<p>Contributing Authors xxv</p>
<p>CHAPTER 1: An Introduction to Quantitative Equity Investing 1<br /> Paul Bukowski</p>
<p>CHAPTER 2: Equity Analysis Using Traditional and Value–Based Metrics 25<br /> James L. Grant and Frank J. Fabozzi</p>
<p>CHAPTER 3: A Franchise Factor Approach to Modeling P/E Orbits 71<br /> Stanley Kogelman and Martin L. Leibowitz</p>
<p>CHAPTER 4: Relative Valuation Methods for Equity Analysis 105<br /> Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland</p>
<p>CHAPTER 5: Valuation over the Cycle and the Distribution of Returns 125<br /> Anders Ersbak Bang Nielsen and Peter C. Oppenheimer</p>
<p>CHAPTER 6: An Architecture for Equity Portfolio Management 147<br /> Bruce I. Jacobs and Kenneth N. Levy</p>
<p>CHAPTER 7: Equity Analysis in a Complex Market 171<br /> Bruce I. Jacobs and Kenneth N. Levy</p>
<p>CHAPTER 8: Survey Studies of the Use of Quantitative Equity Management 189<br /> Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas</p>
<p>CHAPTER 9: Implementable Quantitative Equity Research 231<br /> Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma</p>
<p>CHAPTER 10: Tracking Error and Common Stock Portfolio Management 251<br /> Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones</p>
<p>CHAPTER 11: Factor–Based Equity Portfolio Construction and Analysis 265<br /> Petter N. Kolm, Joseph A. Cerniglia, and Frank J. Fabozzi</p>
<p>CHAPTER 12: Cross–Sectional Factor–Based Models and Trading Strategies 291<br /> Joseph A. Cerniglia, Petter N. Kolm, and Frank J. Fabozzi</p>
<p>CHAPTER 13: Multifactor Equity Risk Models and Their Applications 339<br /> Anthony Lazanas, Ant&oacute;nio Baldaque da Silva, Arne D. Staal, and Cenk Ural</p>
<p>CHAPTER 14: Dynamic Factor Approaches to Equity Portfolio Management 373<br /> Dorsey D. Farr</p>
<p>CHAPTER 15: A Factor Competition Approach to Stock Selection 397<br /> Joseph Mezrich and Junbo Feng</p>
<p>CHAPTER 16: Avoiding Unintended Country Bets in Global Equity Portfolios 413<br /> Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen</p>
<p>CHAPTER 17: Modeling Market Impact Costs 425<br /> Petter N. Kolm and Frank J. Fabozzi</p>
<p>CHAPTER 18: Equity Portfolio Selection in Practice 441<br /> Dessislava A. Pachamanova and Frank J. Fabozzi</p>
<p>CHAPTER 19: Portfolio Construction and Extreme Risk 483<br /> Jennifer Bender, Jyh–Huei Lee, and Dan Stefek</p>
<p>CHAPTER 20: Working with High–Frequency Data 497<br /> Irene Aldridge</p>
<p>CHAPTER 21: Statistical Arbitrage 521<br /> Brian J. Jacobsen</p>
<p>About the Website 535</p>
<p>Index 537</p>