… In Part I, Jan Viebig and Thorsten Poddig, the lead authors of this book, describe the basics
of many valuation models, which are linked to key metrics such as cash flow, earnings and …

… all stocks in the US at time t) using other, time-delayed, cross-sectional information (eg,
market equity, momentum, market beta from all stocks in the US at time t-1). Following (Rapach …

Multidivisional and decentralized firms often operate inefficiently. In most cases, central
management's instruments to influence its branches' behavior are limited. Although relative …

… Recent results concerning this task can be found in Kerling/Poddig … For further details see
in addition Poddig [25]. … Thor&en Poddig, born in 1961, studied economics and computer …

… The World-Datastream Market Index is taken as the market return and the 3-month T-Bill rate
is … The World-Datastream Market Index is taken as the market return and the 3-month T-Bill …

… : (1) R i , t = α i + β i , C M K T C M K T + ϵ i where R i , t is the return on an anomaly portfolio
… β i , C M K T are the estimated coefficients of the model. C M K T is the excess return on the …

This paper examines the out-of-sample performance of asset allocation strategies that use
conditional multi-factor models to forecast expected returns and estimate the future variance …

… In June of each year t, we use two independent sorts to allocate stocks in our sample to two
size groups and three BE/ME groups. Big stocks (B) are above the median market equity of …

… P matrix of the optimal weights of P portfolios at time t, t ∈ {1,2,...,F} and rt as the vector of
realized asset returns at time t. The realized, out-of-sample returns on the portfolios at time t are …

We use extreme value theory and copula theory to model multivariate daily return
distributions of hedge fund strategy indexes. Multivariate outliers in time series of hedge fund …