全球智库信息集成服务系统(G2TT): The Valuation of Security Analysis

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w1958
来源ID	Working Paper 1958
	The Valuation of Security Analysis
	Alex Kane; Alan J. Marcus
发表日期	1986-06-01
出版年	1986
语种	英语
摘要	Active portfolio management is commonly partitioned into two types of activities: market timing, which requires forecasts of broad-based market movements, and security analysis, which requires the selection of individual stocks that are perceived to be underpriced by the market. Merton (1981) has provided an inciteful and easily-implemented means to place a value on market timing skills. In contrast, while a normative theory of stock selection was outlined long ago in Treynor and Black's (1973) work, no convenient means of valuing potential selection ability has yet been devised. We present a framework in which the value of a security analyst can be computed. We also treat market timing ability in this framework, and therefore can compare the relative values of each type of investment analysts. We find that stock selection is potentially extremely valuable, but that its value depends critically on the forecast interval, on the correlation structure of residual stock returns, and on the ability to engage in short sales. Finally, we show how to modify the value of selection for the important case in which analysts' forecasts of stocks' alphas are subject to error.
主题	Financial Economics ; Macroeconomics
URL	https://www.nber.org/papers/w1958
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/559209
推荐引用方式 GB/T 7714	Alex Kane,Alan J. Marcus. The Valuation of Security Analysis. 1986.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w1958.pdf（358KB）	智库出版物		限制开放	CC BY-NC-SA	浏览