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Equity Valuation and Portfolio Management

ISBN: 978-1-118-15655-1
544 pages
September 2011
Equity Valuation and Portfolio Management (1118156552) cover image


A detailed look at equity valuation and portfolio management

Equity valuation is a method of valuing stock prices using fundamental analysis to determine the worth of the business and discover investment opportunities.

In Equity Valuation and Portfolio Management Frank J. Fabozzi and Harry M. Markowitz explain the process of equity valuation, provide the necessary mathematical background, and discuss classic and new portfolio strategies for investment managers. Divided into two comprehensive parts, this reliable resource focuses on valuation and portfolio strategies related to equities.

  • Discusses both fundamental and new techniques for valuation and strategies
  • Fabozzi and Markowitz are experts in the fields of investment management and economics
  • Includes end of chapter bullet point summaries, key chapter take-aways, and study questions

Filled with in-depth insights and practical advice, Equity Valuation and Portfolio Management will put you in a better position to excel at this challenging endeavor.

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Table of Contents

Preface xiii

About the Editors xxiii

Contributing Authors xxv

CHAPTER 1: An Introduction to Quantitative Equity Investing 1
Paul Bukowski

CHAPTER 2: Equity Analysis Using Traditional and Value-Based Metrics 25
James L. Grant and Frank J. Fabozzi

CHAPTER 3: A Franchise Factor Approach to Modeling P/E Orbits 71
Stanley Kogelman and Martin L. Leibowitz

CHAPTER 4: Relative Valuation Methods for Equity Analysis 105
Glen A. Larsen Jr., Frank J. Fabozzi, and Chris Gowlland

CHAPTER 5: Valuation over the Cycle and the Distribution of Returns 125
Anders Ersbak Bang Nielsen and Peter C. Oppenheimer

CHAPTER 6: An Architecture for Equity Portfolio Management 147
Bruce I. Jacobs and Kenneth N. Levy

CHAPTER 7: Equity Analysis in a Complex Market 171
Bruce I. Jacobs and Kenneth N. Levy

CHAPTER 8: Survey Studies of the Use of Quantitative Equity Management 189
Frank J. Fabozzi, Sergio M. Focardi, and Caroline L. Jonas

CHAPTER 9: Implementable Quantitative Equity Research 231
Frank J. Fabozzi, Sergio M. Focardi, and K. C. Ma

CHAPTER 10: Tracking Error and Common Stock Portfolio Management 251
Raman Vardharaj, Frank J. Fabozzi, and Frank J. Jones

CHAPTER 11: Factor-Based Equity Portfolio Construction and Analysis 265
Petter N. Kolm, Joseph A. Cerniglia, and Frank J. Fabozzi

CHAPTER 12: Cross-Sectional Factor-Based Models and Trading Strategies 291
Joseph A. Cerniglia, Petter N. Kolm, and Frank J. Fabozzi

CHAPTER 13: Multifactor Equity Risk Models and Their Applications 339
Anthony Lazanas, António Baldaque da Silva, Arne D. Staal, and Cenk Ural

CHAPTER 14: Dynamic Factor Approaches to Equity Portfolio Management 373
Dorsey D. Farr

CHAPTER 15: A Factor Competition Approach to Stock Selection 397
Joseph Mezrich and Junbo Feng

CHAPTER 16: Avoiding Unintended Country Bets in Global Equity Portfolios 413
Michele Aghassi, Cliff Asness, Oktay Kurbanov, and Lars N. Nielsen

CHAPTER 17: Modeling Market Impact Costs 425
Petter N. Kolm and Frank J. Fabozzi

CHAPTER 18: Equity Portfolio Selection in Practice 441
Dessislava A. Pachamanova and Frank J. Fabozzi

CHAPTER 19: Portfolio Construction and Extreme Risk 483
Jennifer Bender, Jyh-Huei Lee, and Dan Stefek

CHAPTER 20: Working with High-Frequency Data 497
Irene Aldridge

CHAPTER 21: Statistical Arbitrage 521
Brian J. Jacobsen

About the Website 535

Index 537

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Author Information

Frank J. Fabozzi, PhD, CFA, is Professor of Finance at EDHEC Business School and a member of the EDHEC-Risk Institute. Prior to joining EDHEC in August 2011, he held various professorial positions in finance at the Yale School of Management from 1994 to 2011 and was a visiting professor of finance and accounting at the MIT Sloan School of Management from 1986 to 1992. He is also Editor of the Journal of Portfolio Management.

Harry M. Markowitz, PhD, is a consultant in the area of finance. In 1990, he was awarded the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel for his groundbreaking work in portfolio theory. In 1989, he received the John von Neumann Theory Prize of the Institute for Operations Research and the Management Sciences for his work in portfolio theory and other applications of mathematics and computers to business practice.

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