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15 of 17 people found the following review helpful
4.0 out of 5 stars Comprehensive Coverage of Quantitative Equity Models
Fabozzi, the guy who churned out a dozen fixed income books, has turned his attention to equity models. With two coauthors, his Financial Modeling of the Equity Market book is a comprehensive treatise on quantitative methodologies employed in equity investment and trading. Densely packed with mathematical and statistical formulae, this book is an excellent reference...
Published on September 26, 2006 by Gadgester

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2 of 3 people found the following review helpful
2.0 out of 5 stars Good reference, poor introduction
If you're already familiar with much of the material, it's probably a good reference book in that it covers many topics relevant to the field. However, there is very little flow in moving from chapter to chapter, and unnecessary repetition that only confuses someone looking for an introduction. I recommend Vidyamurthy's book on Pairs Trading as a much better...
Published on July 3, 2009 by User42


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15 of 17 people found the following review helpful
4.0 out of 5 stars Comprehensive Coverage of Quantitative Equity Models, September 26, 2006
This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Hardcover)
Fabozzi, the guy who churned out a dozen fixed income books, has turned his attention to equity models. With two coauthors, his Financial Modeling of the Equity Market book is a comprehensive treatise on quantitative methodologies employed in equity investment and trading. Densely packed with mathematical and statistical formulae, this book is an excellent reference guide for those desiring to learn and understand equity models. The reason I didn't give it 5 stars is, like other Fabozzi books, this is heavy on the "trees" but light on the "forest," i.e., it gives you lots of equations and details but does not provide a good overview as to the why. In a sense, its audience is the technocrats, not the thinkers. It's good for the financial engineers, not the financial innovators. Still, the vast majority of us on Wall Street, yours truly included, are technical people who don't have a vision, so for us mere mortals, this is a one-stop-shop book on quant equity models.
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3 of 3 people found the following review helpful
5.0 out of 5 stars great book for modeling, August 9, 2007
This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Hardcover)
this is a good introductory book for quantitative developers. Many of the recent research and application of the financial engineering idea has rendered some famous books not as up-to-date as needed.

The financial modeling has a lot of different methods and directions, this book definitly did not cover all those new developments. But it is almost impossible to do that, instead, it does covers a lot interesting ground. And I find almost few other books overlap with this one so far, so even on cost per coverage basis, it is a good buy.

Also check out the other book written by this trio, "Robust Portfolio Optimization and Management".
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6 of 8 people found the following review helpful
5.0 out of 5 stars Really good reference book, July 29, 2006
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NNBB (Atlanta, GA) - See all my reviews
This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Hardcover)
It is the book I'd like to keep on my shelf. Very comprehensive and up-to-date, though a little bit condensed. It starts from portfolio theory and covers forefront techniques and practical issues of equity market modeling. Could be better if there are more examples of model applications.
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2 of 3 people found the following review helpful
2.0 out of 5 stars Good reference, poor introduction, July 3, 2009
By 
User42 (Chicago, IL USA) - See all my reviews
This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Hardcover)
If you're already familiar with much of the material, it's probably a good reference book in that it covers many topics relevant to the field. However, there is very little flow in moving from chapter to chapter, and unnecessary repetition that only confuses someone looking for an introduction. I recommend Vidyamurthy's book on Pairs Trading as a much better introduction to quantitative equity analysis.
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4.0 out of 5 stars Good but uneven, September 27, 2008
By 
Robert Keyfitz (Washington, D.C.) - See all my reviews
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This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Hardcover)
For someone who knows a little about this area and wants to know more, buy this book. It's reasonably up to date and accessible and in only[!] 600 pages covers a lot of must-know material. It offers a good balance of theoretical and rigorous on the one hand and practical and applicable on the other. I'd have no hesitation in recommending it despite some annoying flaws. Think of it like a quirky but well intentioned professor who sometimes confuses you but equally often gives you a dazzling insight and usually gets you to the point where you can figure out what you need to know. If not, it has voluminous references to the literature which are particularly useful.

A quality publisher like Wiley surely could have done a better job of editing. The book weaves in and out through a series of mathematical and econometric topics which don't hold together very well. (In general the mathematical chapters are better than the econometric ones.) There are too many typos and grammatical mistakes and at least one error (in the derivation of the Black-Litterman model) though I suspect there are many more. Nevertheless, I've probably spent more time with this book than any other on my shelf and I know a lot more because of it.
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1 of 3 people found the following review helpful
4.0 out of 5 stars Excellent choice of covered topics, okay presentation, January 18, 2008
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This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Hardcover)
This book will be a valuable tool to quants, risk managers, portfolio managers, strategists / forecasters. It covers a comprehensive range of topics, from generation of forecasts to modeling risk to optimizing portfolios to accounting for transaction costs.

This breadth turns into a bit of a weakness as the depth and detail of coverage is often inconsistent and uneven across the topics; technical details required to understand and implement some of the more interesting models are omitted on many occasions. However, the authors usually do give references to original work, so if needed the details can be recovered at the cost of extra time reading through academic papers.

My biggest gripe (and the reason why I give this book four stars and not five) is insufficient coordination between the authors. Some of the topics appear multiple times in different chapters of the book and are discussed twice from a different perspective. E.g. VAR models are introduced in chapter 12, where authors discuss their closed-form solutions. Then in chapter 15 VAR models are introduced again; this time the book discusses estimation of regression coefficients. ARDL and dynamic factor models are not only introduced twice in different chapters, but are in fact defined materially differently - apparently as a result of respective chapters having been written by different authors without sufficient coordination.

Finally, the book unfortunately has many typos, some more obvious and some less so, meaning that before model estimation formulas appearing in the book can be used for practical purposes they may need to be cross-verified from an independent source or by retracing their derivation.

Despite the drawbacks, I believe this is a timely, quite valuable book. Highly recommended.
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6 of 13 people found the following review helpful
5.0 out of 5 stars Very good book, June 9, 2006
By 
Nguyen Anh (Brussels, Belgium) - See all my reviews
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This review is from: Financial Modeling of the Equity Market: From CAPM to Cointegration (Hardcover)
This is one of the most complete book that I can find on the quantitative equity management.

It integrates very well both academia with real case.

Worth reading for anyone wishing having a good knowledge of equity markets.
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Financial Modeling of the Equity Market: From CAPM to Cointegration
Financial Modeling of the Equity Market: From CAPM to Cointegration by Frank J. Fabozzi (Hardcover - January 3, 2006)
$99.95 $70.88
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