Security Market Imperfections in Worldwide Equity Markets: 9 (Publications of the Newton Institute, Series Number 9)

Cambridge University Press, 4/6/2000
EAN 9780521571388, ISBN10: 0521571383

Hardcover, 560 pages, 23.6 x 16 x 3.8 cm
Language: English

The study of security market imperfections, namely the predictability of equity stock returns, is one of the fundamental research areas in financial modelling. These anomalies, which are not consistent with existing theories, concern the relation between stock returns and variables, such as firm size and earnings-to-price ratios, and seasonal effects, such as January and turn-of-the-month. This book provides the most complete and current account of work in the area. Leading academics and investment researchers have combined to produce a comprehensive coverage of the subject, including both cross-sectional and time series analyses, as well as discussing the measurement of risk and prediction models that have been used by institutional investors. The studies cover many worldwide markets including the US, Japan, Asia, and Europe. The book will be invaluable for courses in financial engineering, investment and portfolio management, and as a reference for investment professionals seeking an up-to-date source on return predictability.

Contributors
Preface William T. Ziemba
1. Security market imperfections
an overview Donald B. Keim and William T. Ziemba
Part I. An Overview of Cross-Sectional Patterns in Stock Returns
2. The cross-section of common stock returns
a review of the evidence and some new findings Gabriel Hawawini and Donald B. Keim
3. Beta and book to market
is the glass half full or half empty? S. P. Kothari and Jay Shanken
4. The psychology of over-reaction and under-reaction in world equity markets Werner F. M. DeBondt
5. A view of the current status of the size anomaly Jonathan B. Berk
6. The demise of size Elroy Dimson and Paul Marsh
7. Direct evidence of non-trading of NYSE and AMEX stocks Stephen R. Foerster and Donald B. Keim
Part II. Seasonal Patterns in Stock Returns and Other Puzzles
8. Is there still a January effect? Donald G. Booth and Donald B. Keim
9. Anticipation in the January effect in the US futures markets Chris R. Hensel and William T. Ziemba
10. How does Clinton stand up to history? US investment returns and presidential party affiliations Chris R. Hensel and William T. Ziemba
11. A long term examination of the turn-of-the-month effect in the S&P500 Chris R. Hensel, Gordon A. Sick and William T. Ziemba
12. The closed-end fund puzzle Carolina Minio-Paluello
13. Stock splits and ex-date returns for Nasdaq stocks
the effects of investor trading and bid-ask spreads Mark Grinblatt and Donald B. Keim
Part III. International Evidence
14. Canadian security market anomalies George Athanassakos and Stephen Foerster
15. Seasonal anomalies in the Italian stock market, 1973–1993 Elio Canestrelli and William T. Ziemba
16. Efficiency and anomalies in the Turkish stock market Gulnur Muradoglu
17. Efficiency and anomalies in the Finnish stock market Teppo Martikainen
18. Characteristics-based premia in emerging markets
sector-neutrality, cycles, and cross-market correlations Sandeep A. Patel
19. Anomalies in Asian emerging stock markets Seng-Kee Koh and Kie Ann Wong
20. Japanese security market regularities, 1990–1994 Luis R. Comolli and William T. Ziemba
21. Predicting returns on the Tokyo Stock Exchange Sandra L. Schwartz and William T. Ziemba
22. High stock returns before holidays
international evidence and additional tests Alonso Cervera and Donald B. Keim.

"Security Market Imperfections in World Wide Equity Markets encompasses the full range of controversy published in scholarly journals over almost 20 years." Financial Analysts Journal