Expected returns : an investor's guide to harvesting market rewards / Antti Ilmanen.
By: Ilmanen, Antti.Material type: BookSeries: Wiley finance series: Publisher: Chichester, West Sussex, U.K. : Wiley, ©2011Description: 1 online resource (xxi, 570 pages) : illustrations.Content type: text Media type: computer Carrier type: online resourceISBN: 9781118467190; 1118467191; 9781119991748; 1119991749; 9781119990772; 1119990777.Subject(s): Investments | Rate of return | BUSINESS & ECONOMICS -- Investments & Securities -- General | Investments | Rate of returnGenre/Form: Electronic books.Additional physical formats: Print version:: Expected returns.DDC classification: 332.6 Online resources: Wiley Online Library
Series title from book jacket.
Includes bibliographical references (pages 527-550) and index.
"Beginning with comprehensive introduction and overview, Expected Returns goes on to analyze the historical record, give a roadmap of terminology, explore rational and behavioral theories, and look at alternative interpretations for return predictability. A series of case studies provide detailed analysis of assets (equity, bond and credit risk premia, as well as alternative asset classes), dynamic strategy styles (value, carry, momentum, volatility) and underlying risk factors (growth, inflation, liquidity and tail risks), before moving back to broader themes, including time-varying expected returns, and seasonal, cyclical and secular return patterns."--Dust jacket p. .
Print version record.
Title Page; Copyright Page; Foreword; Dedication; Acknowledgments; Abbreviations and acronyms; Disclaimer; Part I -- Overview, historical returns, and academic theories; Chapter 1 -- Introduction; 1.1 HISTORICAL PERFORMANCE; 1.2 FINANCIAL AND BEHAVIORAL THEORIES: A BRIEF HISTORY OF IDEAS; 1.3 FORWARD-LOOKING INDICATORS; 1.4 VIEW-BASED EXPECTED RETURNS; 1.5 GENERAL COMMENTS ABOUT THE BOOK; 1.6 NOTES; Chapter 2 -- Whetting the appetite: Historical averages and forward-looking returns; 2.1 HISTORICAL PERFORMANCE SINCE 1990; 2.2 SAMPLE-SPECIFIC RESULTS: DEALING WITH THE PITFALLS.