Empirical asset pricing : the cross section of stock returns

Intro -- Title Page -- Copyright -- Table of Contents -- Dedication -- Preface -- References -- Part I: Statistical Methodologies -- Chapter 1: Preliminaries -- 1.1 Sample -- 1.2 Winsorization and Truncation -- 1.3 Newey and West (1987) Adjustment -- 1.4 Summary -- References -- Chapter 2: Summary Statistics -- 2.1 Implementation -- 2.2 Presentation and Interpretation -- 2.3 Summary -- Chapter 3: Correlation -- 3.1 Implementation -- 3.2 Interpreting Correlations -- 3.3 Presenting Correlations -- 3.4 Summary -- References -- Chapter 4: Persistence Analysis -- 4.1 Implementation -- 4.2 Interpreting Persistence -- 4.3 Presenting Persistence -- 4.4 Summary -- References -- Chapter 5: Portfolio Analysis -- 5.1 Univariate Portfolio Analysis -- 5.2 Bivariate Independent-Sort Analysis -- 5.3 Bivariate Dependent-Sort Analysis -- 5.4 Independent Versus Dependent Sort -- 5.5 Trivariate-Sort Analysis -- 5.6 Summary -- References -- Chapter 6: Fama and Macbeth Regression Analysis -- 6.1 Implementation -- 6.2 Interpreting FM Regressions -- 6.3 Presenting FM Regressions -- 6.4 Summary -- References -- Part II: The Cross Section of Stock Returns -- Chapter 7: The Crsp Sample and Market Factor -- 7.1 The U.S. Stock Market -- 7.2 Stock Returns and Excess Returns -- 7.3 The Market Factor -- 7.4 The Capm Risk Model -- 7.5 Summary -- References -- Chapter 8: Beta -- 8.1 Estimating Beta -- 8.2 Summary Statistics -- 8.3 Correlations -- 8.4 Persistence -- 8.5 Beta and Stock Returns -- 8.6 Summary -- References -- Chapter 9: The Size Effect -- 9.1 Calculating Market Capitalization -- 9.2 Summary Statistics -- 9.3 Correlations -- 9.4 Persistence -- 9.5 Size and Stock Returns -- 9.6 The Size Factor -- 9.7 Summary -- References -- Chapter 10: The Value Premium -- 10.1 Calculating Book-to-Market Ratio -- 10.2 Summary Statistics -- 10.3 Correlations -- 10.4 Persistence.