> For the complete documentation index, see [llms.txt](https://laurence-wilse-samson.gitbook.io/textbooks/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://laurence-wilse-samson.gitbook.io/textbooks/financial-economics-claims-prices-holders/back-matter/index.md).

# Index

Terms the chapters set in bold — the book's own convention for a term being introduced — located by chapter and section. Every key term is indexed; anything else has to appear in bold in at least two chapters, which is what separates a term from a paragraph lead-in. Key terms are marked **bold**. A Markdown manuscript has no pages, so the locator is the section; a print edition would substitute page numbers. Generated by `code/build_backmatter.py`; do not edit by hand.

## A

* A constraint binding — 1.2, 27.5
* A flow — 1.2, 27.5
* A model becoming convention — 1.2, 27.5
* **Abnormal return** — Ch 7, 7.7
* **Active share** — Ch 17, 17.8
* **Adverse selection component** — Ch 11, 11.6
* **Adverse selection (in issuance)** — Ch 23, 23.7
* **Affine term structure model** — Ch 9, 9.5
* **Agency cost** — Ch 24, 24.4
* **Agency guarantee** — Ch 13, 13.5
* All cross-border positions — 1.5, 2.5
* **Amihud's ILLIQ** — Ch 11, 11.4, 11.6
* **Announcement return** — Ch 22, 22.8
* **Arbitrage** — Ch 3, 3.7
* **Arbitrage pricing theory (APT)** — Ch 6, 6.8
* **Asset location** — Ch 14, 14.5, 14.6
* **Asset partitioning** — Ch 21, 21.7
* **Asset specificity** — Ch 21, 21.7
* **Attachment and detachment points** — Ch 10, 10.9
* **Authorized participant (AP)** — Ch 17, 17.8

## B

* **Backtesting** — Ch 26, 26.3, 26.7
* **Balance sheet** — Ch 2, 2.5
* **Balance-sheet capacity** — Ch 19, 19.6, 20.2
* **Bank-dependent firm** — Ch 25, 25.6
* **Barnesian** — Ch 7, 7.7
* **Basis risk** — Ch 26, 26.7
* **Basis trade** — Ch 9, 9.5
* **Batch auction** — Ch 11, 11.6
* **Berk-Green equilibrium** — Ch 17, 17.8
* **Beta** — Ch 4, 4.9, 22.1
* **Betting against beta (BAB)** — Ch 4, 4.9
* **Bid-ask spread** — Ch 11, 11.6
* **Black-Scholes formula** — Ch 8, 8.6
* **Blockholder** — Ch 24, 24.4
* **Bookbuilding** — Ch 12, 12.9
* **Book-to-market ratio** — Ch 6, 6.8
* **Breakeven inflation** — Ch 9, 9.5

## C

* **Call / put** — Ch 8, 8.6
* **Campbell-Shiller identity** — Ch 7, 7.7
* **Cap rate** — Ch 13, 13.5
* **CAPE** — Ch 7, 7.4, 7.7
* **Capital market line** — Ch 4, 4.9
* **CARA-normal** — Ch 7, 7.7
* Career risk — 7.5, 15.5
* **Carried interest (carry)** — Ch 18, 18.6
* **Carry** — Ch 6, 6.8
* **Cash-and-carry** — Ch 3, 3.7
* **Catastrophe bond** — Ch 16, 16.6
* **CDS-bond basis** — Ch 10, 10.5, 10.9
* Chapter 11 — 8.6, 26.7
* Chapter 11 §11.5 — 6.4, 6.8, 7.7
* Chapter 13 — 8.6, 26.7
* Chapter 16 — 3.7, 7.7
* Chapter 16 §16.5 — 7.5, 7.7, 26.7
* Chapter 19 — 6.4, 7.7
* Chapter 19 §19.5 — 3.7, 26.7
* Chapter 20 — 3.7, 8.6
* Chapter 26 — 7.7, 8.6
* Chapter 7 §7.6 — 8.6, 26.7
* Chapter 8 — 7.7, 26.7
* **Characteristics-based demand** — Ch 20, 20.6
* claim — 1.1, 2.2
* **Claim** — Ch 1, 1.5, Ch 2, 2.5
* **Clientele** — Ch 23, 23.7
* **Clientele effect (in liquidity)** — Ch 11, 11.6
* **CLO (collateralized loan obligation)** — Ch 25, 25.6
* **Coefficient of relative risk aversion** — Ch 5, 5.7
* **Coherent risk measure** — Ch 26, 26.7
* **Collateral channel** — Ch 27, 27.6
* **Committed capital** — Ch 18, 18.6
* **Common ownership** — Ch 17, 17.8, 24.4
* **Complete market** — Ch 3, 3.7
* **Constraint** — Ch 1, 1.5
* **Consumption-based model** — Ch 5, 5.7
* **Contango / backwardation** — Ch 8, 8.6
* Contested — 6.4, 7.4, 15.7, 17.8, 18.6, 19.5, 20.5, 27.2
* **Convenience yield** — Ch 9, 9.5
* **★ convention** — Ch 1, 1.5
* **Conversion / reversal** — Ch 8, 8.6
* **Convexity** — Ch 9, 9.1, 9.5
* **Convexity hedging** — Ch 13, 13.5
* **Cost of carry** — Ch 8, 8.6
* **Cost-of-capital channel** — Ch 27, 27.6
* **Counterperformative** — Ch 7, 7.7
* **Covenant** — Ch 24, 24.4
* **Cov-lite** — Ch 24, 24.1, 24.4
* **Creation/redemption** — Ch 17, 17.8
* **Credit spread** — Ch 10, 10.9
* **Credit spread puzzle** — Ch 10, 10.9
* **Credit supply shock** — Ch 25, 25.6
* **Credit triangle** — Ch 10, 10.9
* **Crowding** — Ch 6, 6.8
* **Cumulative abnormal return** — Ch 7, 7.7

## D

* **Dealer** — Ch 19, 19.6
* **Decomposition problem** — Ch 9, 9.5
* **Default correlation** — Ch 10, 10.9
* **Default effect** — Ch 14, 14.6
* **Default rules** — Ch 21, 21.7
* **Default-adjusted short rate** — Ch 10, 10.9
* **Delegated monitoring** — Ch 19, 19.6
* **Delta hedge** — Ch 26, 26.7
* **Demand elasticity (**$$\zeta$$**)** — Ch 20, 20.6
* **Demand system** — Ch 20, 20.6
* **Demand-based option pricing** — Ch 8, 8.6
* **Denominator effect** — Ch 18, 18.6
* **Direct listing** — Ch 12, 12.9
* **Disposition effect** — Ch 15, 15.7
* **Distance to default** — Ch 10, 10.9
* **Distress costs** — Ch 23, 23.7
* **Distributional Financial Accounts (DFA)** — 2.5, Ch 14, 14.6
* **Diversification** — Ch 4, 4.9
* **Dollar factor** — Ch 6, 6.8
* **Dominance** — Ch 3, 3.7
* **Double sort** — Ch 6, 6.8
* **Dry powder** — Ch 18, 18.6

## E

* **Early-exercise premium** — Ch 8, 8.6
* **Effective spread** — Ch 11, 11.6
* **Efficient frontier** — Ch 4, 4.9
* **Efficiently inefficient markets** — Ch 7, 7.7
* **Elasticity of intertemporal substitution** — Ch 5, 5.7
* **Epstein-Zin (recursive) preferences** — Ch 5, 5.7
* **Equity premium puzzle** — Ch 5, 5.7
* **Equivalent martingale measure** — Ch 8, 8.6
* **Errors-in-variables problem** — Ch 6, 6.8
* Established — 6.4, 7.4, 15.7, 17.8, 18.6, 19.5, 20.5
* **Event study** — Ch 7, 7.7
* **Excess volatility** — Ch 7, 7.4, 7.7
* **Expectations hypothesis** — Ch 9, 9.5
* **Expected shortfall (ES)** — Ch 26, 26.7
* **External finance premium** — Ch 27, 27.6
* **Extrapolative expectations** — Ch 15, 15.7

## F

* **Factor capacity** — Ch 6, 6.8
* **Factor structure** — Ch 6, 6.8
* **Factor zoo** — Ch 6, 6.8
* **Factor-mimicking portfolio** — Ch 6, 6.8
* **Fallen angel** — Ch 10, 10.9
* Fama/French 3 Factors — 4.9, 6.8, 8.6, 26.7
* **Fama-MacBeth regression** — Ch 6, 6.8
* **Financial accelerator** — Ch 27, 27.6
* **Financial Accounts of the United States (Z.1)** — Ch 2
* **Financial deepening** — Ch 27, 27.6
* **Financing wall** — Ch 25, 25.6
* **Fire sale** — Ch 16, 16.6
* **Flight to liquidity** — Ch 11, 11.5, 11.6
* **Float adjustment** — Ch 17, 17.8
* **Flow** — Ch 20, 20.6
* **Flow versus stock** — Ch 2, 2.5
* **Flow-performance relationship** — Ch 16, 16.6
* **Forward contract** — Ch 8, 8.6
* **Forward rate** — Ch 9, 9.5
* **Fraud on the market** — Ch 24, 24.4
* **Free cash flow** — Ch 24, 24.2, 24.4
* **Full-insurance efficiency** — Ch 27, 27.6
* **Functional efficiency** — Ch 27, 27.6
* **Fundamental pricing equation** — Ch 3, 3.7
* **Fundamental transformation** — Ch 21, 21.7
* **Fundamental-valuation efficiency** — Ch 27, 27.6
* **Futures contract** — Ch 8, 8.6

## G

* **Gap-filling** — Ch 23, 23.7
* **General partner (GP) / limited partner (LP)** — Ch 18
* **Global minimum-variance portfolio** — Ch 4, 4.9
* **Governance structure** — Ch 21, 21.7
* **Greenium** — Ch 6, 6.8
* **Greenshoe (over-allotment option)** — Ch 12, 12.9
* **Grossman-Stiglitz paradox** — Ch 7, 7.7

## H

* **Habit formation** — Ch 5, 5.7
* **Hansen-Jagannathan bound** — Ch 5, 5.7
* **Hedge** — Ch 26, 26.7
* **Hedge ratio (delta)** — Ch 3, 3.7
* **Held to maturity (HTM)** — Ch 13, 13.5
* **Hierarchy of money and credit** — Ch 16, 16.6
* **Holder** — Ch 1, 1.5
* **Holder section** — Ch 1, 1.5
* **Hold-up** — Ch 21, 21.7
* **Home bias** — Ch 4, 4.9, Ch 14, 14.6
* **Homemade leverage** — Ch 23, 23.1, 23.7
* **Hubris hypothesis** — Ch 22, 22.8
* **Human capital** — Ch 14, 14.6
* **Hurdle (preferred return)** — Ch 18, 18.6
* **Hurdle rate** — Ch 22, 22.8

## I

* **Idiosyncratic (diversifiable) risk** — Ch 4, 4.9
* **Immediacy** — Ch 11, 11.1, 11.6
* **Implied volatility** — Ch 8, 8.4, 8.6
* **Inclusion effect** — Ch 12, 12.9, Ch 17, 17.8
* **Incomplete contract** — Ch 21, 21.7
* **Incurrence covenant** — Ch 24, 24.4
* **Inelastic markets hypothesis** — Ch 20, 20.6
* **Information set** — Ch 7, 7.7
* **Information-arbitrage efficiency** — Ch 27, 27.6
* **Initial public offering (IPO)** — Ch 12, 12.9
* **Institutional investor** — Ch 16, 16.6
* **Instrument** — Ch 2, 2.5
* **Intermediary capital ratio** — Ch 19, 19.6
* **Intermediary SDF** — Ch 19, 19.6
* **Intermediation** — Ch 2, 2.5
* **Internal funds** — Ch 25, 25.6
* internal rate of return — 18.2, 22.1
* **Internal rate of return (IRR)** — Ch 18, 18.6, Ch 22, 22.8
* **Investment CAPM** — Ch 22, 22.8
* **Investment universe** — Ch 20, 20.6
* **IPCA** — Ch 6, 6.8

## J

* **Jensen's alpha** — Ch 4, 4.9
* **Joint-hypothesis problem** — Ch 7, 7.7

## K

* **Kyle's lambda** — Ch 11, 11.3, 11.6

## L

* **Latent demand** — Ch 20, 20.6
* **Law of one price (LOOP)** — Ch 3, 3.7
* **Leverage cycle** — Ch 16, 16.6
* **Leverage factor** — Ch 19, 19.6
* **Leveraged loan** — Ch 25, 25.6
* **Liability-driven investment (LDI)** — Ch 16, 16.2, 16.6
* **Limited participation** — Ch 5, 5.7
* **Limits to arbitrage** — Ch 15, 15.7
* Liquidity — 10.4, 14.5
* **Liquidity beta** — Ch 11, 11.6
* **Liquidity premium** — Ch 11, 11.6
* **Liquidity spiral** — Ch 11, 11.6
* **Liquidity transformation** — Ch 19, 19.6
* **Listing gap** — Ch 12, 12.9
* **Lockup** — Ch 12, 12.9
* **Long-run risk** — Ch 5, 5.7
* **Loss aversion** — Ch 15, 15.1, 15.7
* **Loss given default (LGD)** — Ch 10, 10.9

## M

* **Macaulay duration** — Ch 9, 9.1, 9.5
* **Maintenance covenant** — Ch 24, 24.4
* **Make-or-buy** — Ch 21, 21.7
* **Margin spiral** — Ch 16, 16.6
* **Marginal holder** — Ch 5, 5.7
* **Marginal investor** — Ch 3, 3.7
* **Market clearing** — Ch 20, 20.6
* **Market depth** — Ch 11, 11.6
* **Market maker** — Ch 11, 11.6
* **Market portfolio** — Ch 4, 4.9
* **Market timing** — Ch 23, 23.7
* **Mental accounting** — 14.5, Ch 15, 15.2, 15.7
* **Merger wave** — Ch 22, 22.8
* **Model risk** — Ch 26, 26.5, 26.7
* **Model validation** — Ch 26, 26.7
* **Modified duration** — Ch 9, 9.1, 9.5
* **Modigliani-Miller irrelevance** — Ch 23, 23.7
* **Multiple** — Ch 22, 22.8
* **Multiple-testing hurdle** — Ch 6, 6.8

## N

* **NAV smoothing** — Ch 18, 18.6
* **Negative convexity** — Ch 9, 9.5, Ch 13, 13.5
* **Net convenience yield** — Ch 8, 8.6
* **Net equity issuance** — Ch 12, 12.9
* **Net order flow** — Ch 11, 11.6
* **Net present value (NPV)** — Ch 22, 22.8
* News — 1.2, 27.5
* **Nexus of contracts** — Ch 21, 21.7
* **Noise (supply) shock** — Ch 7, 7.7
* **Noise-trader risk** — 7.5, Ch 15, 15.7
* **Nonpecuniary demand** — Ch 16, 16.6
* not — 3.2, 20.3

## O

* **Option-adjusted spread** — Ch 13, 13.5
* **Out-of-sample** $$R^2$$ — Ch 6, 6.8

## P

* **Par curve** — Ch 9, 9.5
* **Participation puzzle** — Ch 14, 14.6
* **Passive investing** — Ch 17, 17.8
* **Payout smoothing** — Ch 23, 23.7
* **Pay-performance sensitivity** — Ch 24, 24.4
* **Pecking order** — Ch 23, 23.7
* percent — 14.6, 15.7, 16.6, 17.8, 18.6
* performance-based arbitrage — 15.5, 18.4
* **Performativity** — Ch 7, 7.7
* persistence — 18.2, 23.4
* **Poison pill (shareholder rights plan)** — Ch 22, 22.8
* **Portfolio sort** — Ch 6, 6.8
* **Portfolio weight** — Ch 4, 4.9
* **Post-earnings-announcement drift** — Ch 7, 7.3, 7.7
* **Post-publication decay** — Ch 6, 6.8
* **Power law** — Ch 18, 18.6
* **Power utility (CRRA)** — Ch 5, 5.7
* **Preferred habitat** — Ch 9, 9.5
* **Prepayment** — Ch 13, 13.5
* **Present value** — Ch 3, 3.7
* **Price informativeness** — Ch 7, 7.7
* **Price multiplier (**$$\mathcal{M}$$**)** — Ch 20, 20.6
* **Private credit** — Ch 25, 25.1, 25.6
* Problem 1 — 3.7, 4.9, 5.7, 6.8, 7.7, 8.6, 9.5, 10.9, 12.9, 13.5, 14.6, 15.7, 16.6, 17.8, 18.6, 19.6, 20.6, 21.7, 22.8, 23.7, 24.4, 25.6, 26.7
* Problem 2 — 3.7, 4.9, 6.8, 11.6, 14.6, 16.6, 17.8, 18.6, 19.6, 20.6, 21.7, 26.7
* Problem 3 — 7.7, 8.6, 10.9, 11.6, 13.5, 15.7, 25.6
* Problem 4 — 5.7, 23.7, 24.4
* Problem 5 — 9.5, 12.9
* **Procyclicality** — Ch 26, 26.7
* **Prospect theory** — Ch 15, 15.7
* **Proxy contest** — Ch 24, 24.4
* **Public market equivalent (PME)** — Ch 18, 18.6
* **Put-call parity** — Ch 8, 8.1, 8.6

## Q

* **Qualified default investment alternative (QDIA)** — Ch 14, 14.6

## R

* **Rare disasters** — Ch 5, 5.7
* **Rational expectations equilibrium** — Ch 7, 7.7
* **Reach for yield** — Ch 16, 16.6
* **Real option** — Ch 22, 22.8
* **Realized spread** — Ch 11, 11.6
* **Reduced-form (intensity) model** — Ch 10, 10.9
* **REIT** — Ch 13, 13.5
* **Relationship lending** — Ch 25, 25.2, 25.6
* **Replicating portfolio** — Ch 3, 3.7, Ch 8, 8.6
* **Repo (repurchase agreement)** — Ch 19, 19.6
* **Residual control rights** — Ch 21, 21.3, 21.7
* **Residual sector** — Ch 2, 2.5
* **Rights issue** — Ch 12, 12.9
* **Risk-based capital (RBC)** — Ch 16, 16.6
* **Risk-free rate puzzle** — Ch 5, 5.7
* **Risk-neutral default probability** — Ch 10, 10.9
* **Risk-neutral probability** — Ch 3, 3.7, Ch 8, 8.6
* **Rolling stack** — Ch 26, 26.7
* **Roll's critique** — Ch 4, 4.9
* **Roll's estimator** — Ch 11, 11.6
* **Run equilibrium** — Ch 19, 19.6

## S

* **Safe asset** — Ch 9, 9.5
* **S-curve** — Ch 13, 13.3, 13.5
* **Seasoned equity offering (SEO)** — Ch 12, 12.9
* **Secondaries** — Ch 18, 18.6
* **Sector** — Ch 2, 2.5
* **Security market line (SML)** — Ch 4, 4.9
* **Self-financing** — Ch 8, 8.6
* **Seniority** — Ch 2, 2.5
* **Sentiment** — Ch 15, 15.4, 15.7
* **Separating equilibrium** — Ch 24, 24.4
* **Sequential service constraint** — Ch 19, 19.6
* **Share repurchase (buyback)** — Ch 12, 12.9
* **Sharpe ratio** — Ch 4, 4.3, 4.9
* **SMB, HML, UMD, RMW, CMA** — Ch 6, 6.8
* **Special purpose acquisition company (SPAC)** — Ch 12, 12.9
* **Stambaugh bias** — Ch 7, 7.7
* **State price (Arrow-Debreu price)** — Ch 3, 3.7
* **Stewardship** — Ch 17, 17.8
* **Stochastic discount factor (**$$m$$**)** — Ch 1, 1.5
* **Stochastic discount factor (SDF)** — Ch 3, 3.7
* **Stress test** — Ch 26, 26.7
* **Strike price** — Ch 8, 8.6
* **Structural model** — Ch 10, 10.9
* **Stub quote** — Ch 11, 11.6
* **Stub value** — Ch 3, 3.7
* **Subadditivity** — Ch 26, 26.7
* **Surplus consumption ratio** — Ch 5, 5.7
* **Syndicated loan** — Ch 25, 25.6
* **Systematic risk** — Ch 4, 4.9

## T

* **Tangency portfolio** — Ch 4, 4.9
* **Target-date fund** — Ch 14, 14.6
* **Tax shield** — Ch 23, 23.7
* **Tax-equivalent yield** — Ch 10, 10.9
* **TBA** — Ch 13, 13.5
* **Term premium** — Ch 9, 9.5
* **Terminal value** — Ch 22, 22.8
* The constrained dealer — 19.5, 20.1
* **The Greeks** — Ch 8, 8.6
* The wealthy household — 19.5, 20.1
* **Theory of storage** — Ch 8, 8.6
* This book — 10.9, 12.9, 13.5, 21.7, 22.8, 23.7, 24.4, 25.6, 27.6
* **Tightness, depth, resiliency** — Ch 11, 11.6
* **Tobin's Q** — Ch 22, 22.4, 22.8
* Total — 3.3, 8.1, 8.6, 9.4, 13.5, 16.3, 18.1, 18.2, 18.6
* **Trade credit** — Ch 25, 25.3, 25.6
* **Trade-off theory** — Ch 23, 23.7
* **Transaction cost** — Ch 21, 21.7
* **Transaction lending** — Ch 25, 25.2, 25.6
* **Two-fund separation** — Ch 4, 4.9

## U

* **Underlying** — Ch 8, 8.6
* **Underpricing** — Ch 12, 12.9
* **Universal owner** — Ch 24, 24.4

## V

* **Value at risk (VaR)** — Ch 26, 26.7
* **Voice and exit** — Ch 24, 24.4
* **Volatility smile / skew** — Ch 8, 8.6
* **Volatility targeting** — Ch 26, 26.7

## W

* **Weak, semi-strong, strong form efficiency** — Ch 7, 7.7
* **Wealth channel** — Ch 27, 27.6
* **Weighted average cost of capital (WACC)** — Ch 22
* **Well-diversified portfolio** — Ch 6, 6.8
* Widely accepted — 6.4, 15.7, 17.8, 18.6, 19.5, 20.5
* **Willingness to pay** — Ch 10, 10.9
* **Winner's curse** — Ch 12, 12.9
* Within this book — 14.6, 15.7

## Y

* **Yield to maturity** — Ch 9, 9.5

## Z

* **Zero curve** — Ch 9, 9.5
* **Zero-beta portfolio** — Ch 4, 4.9

***

377 entries across 27 chapters, of which 339 are key terms.