Introduction to Financial Forecasting in Investment Analysis

Online-Ressource (XI, 236 p. 20 illus., 10 illus. in color, digital)

Description based upon print version of record

Introduction to FinancialForecasting in Investment Analysis; Preface; An Introduction to Financial Forecasting in Investment Analysis; Contents; Chapter 1: Forecasting: Its Purpose and Accuracy; Forecast Rationality; Absolute and Relative Forecast Accuracy; Appendix; Exponential Smoothing; References; Chapter 2: Regression Analysis and Forecasting Models; Examples of Financial Economic Data; Autocorrelation; Multiple Regression; The Conference Board Composite Index of Leading Economic Indicators and Real US GDP Growth: A Regression Example; Summary; Appendix; Leading Index Components

ReferencesChapter 3: An Introduction to Time Series Modeling and Forecasting; Basic Statistical Properties of Economic Series; The Autoregressive and Moving Average Processes; ARMA Model Identification in Practice; Modeling Real GDP: An Example; Leading Economic Indicators and Real GDP Analysis: The Statistical Evidence, 1970-2002; US and G7 Post-sample Real GDP Forecasting Analysis; Summary; References; Chapter 4: Regression Analysis and Multicollinearity: Two Case Studies; The First Example: Combining GNP Forecasts; The Second Example: Modeling the Returns of the US Equities

Summary and ConclusionsReferences; Chapter 5: Transfer Function Modeling and Granger Causality Testing; Testing for Causality: The Ashley et al. (1980) Test; Quarterly Mergers, 1992-2011: Automatic Time Series Modeling and an Application of the Ashley et al. (1980) Test; Causality Testing: An Alternative Approach by Chen and Lee; Causality Analysis of Quarterly Mergers, 1992-2011: An Application of the Chen and Lee Test; Money Supply and Stock Prices, 1967-2011; References; Chapter 6: A Case Study of Portfolio Construction Using the USER Data and the Barra Aegis System

The BARRA Model: The Primary Institutional Risk ModelStock Selection Modeling; Efficient Portfolio Construction Using the Barra Aegis System; DMC Model III Calculation; Conclusions; References; Chapter 7: More Markowitz Efficient Portfolios Featuring the USER Data and an Extension to Global Data and Investment Universes; Constructing Efficient Portfolios; Extensions to the Traditional Mean-Variance Model; Portfolio Construction, Management, and Analysis: An Introduction to Tracking Error at Risk

Portfolio Construction, Management, and Analysis: An Introduction to Systematic Tracking Error OptimizationMarkowitz Restored: The Alpha Alignment Factor Approach; An Global Expected Returns Model: Why Everyone Should Diversify Globally, 1998-2009; Global Investing in the World of Business, 1999-2011; Conclusions; References; References; Chapter 8: Forecasting World Stock Returns and Improved Asset Allocation; Summary and Conclusions; References; Chapter 9: Summary and Conclusions; Index;

Chapter 1: Why do we forecast? -- Chapter 2: Regression Analysis and Forecasting Models -- Chapter 3: An Introduction to Time Series Modeling and Forecasting -- Chapter 4: Regression Analysis and Multicollinearity: Two Case Studies -- Chapter 5: Multiple Time Series Analysis and Causality Testing -- Chapter 6: A Case Study of Portfolio Construction using the USER Data and the Barra Aegis System -- Chapter 7: More Efficient Portfolios Featuring the USER Data and an Extension to Global Data and Investment Universes -- Chapter 8: Forecasting World Stock Returns and Improved Asset Allocation -- Chapter 9: Summary and Conclusions.

10.1007/978-1-4614-5239-3 [DOI]

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