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Preface ix
I Statistical Methodologies 1
1 Preliminaries 3
1.1 Sample 3
1.2 Winsorization and Truncation 5
1.3 Newey and West (1987) Adjustment 6
1.4 Summary 8
2 Summary Statistics 11
2.1 Implementation 11
2.1.1 Periodic Cross-Sectional Summary Statistics 12
2.1.2 Average Cross-Sectional Summary Statistics 14
2.2 Presentation and Interpretation 15
2.3 Summary 17
3 Correlation 19
3.1 Implementation 20
3.1.1 Periodic Cross-Sectional Correlations 20
3.1.2 Average Cross-Sectional Correlations 21
3.2 Interpreting Correlations 21
3.3 Presenting Correlations 25
3.4 Summary 25
4 Persistence Analysis 29
4.1 Implementation 29
4.1.1 Periodic Cross-Sectional Persistence 30
4.1.2 Average Cross-Sectional Persistence 31
4.2 Interpreting Persistence 31
4.3 Presenting Persistence 35
4.4 Summary 36
5 Portfolio Analysis 39
5.1 Univariate Portfolio Analysis 40
5.1.1 Breakpoints 40
5.1.2 Portfolio Formation 44
5.1.3 Average Portfolio Values 45
5.1.4 Summarizing the Results 48
5.1.5 Interpreting the Results 51
5.1.6 Presenting the Results 52
5.1.7 Analyzing Returns 55
5.2 Bivariate Independent-Sort Analysis 59
5.2.1 Breakpoints 60
5.2.2 Portfolio Formation 63
5.2.3 Average Portfolio Values 64
5.2.4 Summarizing the Results 68
5.2.5 Interpreting the Results 68
5.2.6 Presenting the Results 72
5.3 Bivariate Dependent-Sort Analysis 77
5.3.1 Breakpoints 78
5.3.2 Portfolio Formation 80
5.3.3 Average Portfolio Values 80
5.3.4 Summarizing the Results 83
5.3.5 Interpreting the Results 86
5.3.6 Presenting the Results 86
5.4 Independent versus Dependent Sort 90
5.5 Trivariate-Sort Analysis 93
5.6 Summary 93
6 Fama and MacBeth Regression Analysis 97
6.1 Implementation 97
6.1.1 Periodic Cross-Sectional Regressions 98
6.1.2 Average Cross-Sectional Regression Results 99
6.2 Interpreting FM Regressions 103
6.3 Presenting FM Regressions 105
6.4 Summary 107
II The Cross-Section of Stock Returns 111
7 The CRSP Sample and Market Factor 113
7.1 The U.S.
7.1.1 The CRSP U.S-based Common Stock Sample 114
7.1.2 Composition of the CRSP Sample 115
7.2 Stock Returns and Excess Returns 121
7.2.1 CRSP Sample (1963-2012) 124
7.3 The Market Factor 126
7.4 The CAPM Risk Model 130
7.5 Summary 131
8 Beta 135
8.1 Calculating Beta 136
8.2 Summary Statistics 138
8.3 Correlations 140
8.4 Persistence 142
8.5 Beta and Stock Returns 144
8.5.1 Portfolio Analysis 145
8.5.2 Fama-MacBeth Regression Analysis 150
8.6 Summary 153
9 The Size Effect 157
9.1 Calculating Market Capitalization 158
9.2 Summary Statistics 161
9.3 Correlations 163
9.4 Persistence 164
9.5 Size and Stock Returns 165
9.5.1 Univariate Portfolio Analysis 166
9.5.2 Bivariate Portfolio Analysis 171
9.5.3 Fama-MacBeth Regression Analysis 179
9.6 The Size Factor 182
9.7 Summary
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Empirical asset pricing : the cross section of stock returns by Turan G. Bali. ISBN 9781118589472. Published by John Wiley & Sons, Inc. in 2016. Publication and catalogue information, links to buy online and reader comments.