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Security Market Imperfections in Worldwide Equity Markets

Security Market Imperfections in Worldwide Equity Markets

$192.00

Part of Publications of the Newton Institute

William T. Ziemba, Donald B. Keim, Gabriel Hawawini, S. P. Kothari, Jay Shanken, Werner F. M. DeBondt, Jonathan B. Berk, Elroy Dimson, Paul Marsh, Stephen R. Foerster, Donald G. Booth, Chris R. Hensel, Carolina Minio-Paluello, Mark Grinblatt, George Athanassakos, Elio Canestrelli, Gulnur Muradoglu, Teppo Martikainen, Sandeep A. Patel, Seng-Kee Koh, Kie Ann Wong, Luis R. Comolli, Sandra L. Schwartz, Alonso Cervera
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  • Date Published: April 2000
  • availability: Available
  • format: Hardback
  • isbn: 9780521571388

$ 192.00
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  • 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.

    • The most complete and current account of work in this area
    • Combines empirical results with theoretical models
    • Comprehensive coverage of the subject from leading academics and investment researchers
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    Product details

    • Date Published: April 2000
    • format: Hardback
    • isbn: 9780521571388
    • length: 560 pages
    • dimensions: 236 x 160 x 39 mm
    • weight: 1.01kg
    • contains: 125 b/w illus. 79 tables
    • availability: Available
  • Table of Contents

    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.

  • Editors

    Donald B. Keim, Wharton School, University of Pennsylvania

    William T. Ziemba, University of British Columbia, Vancouver

    Contributors

    William T. Ziemba, Donald B. Keim, Gabriel Hawawini, S. P. Kothari, Jay Shanken, Werner F. M. DeBondt, Jonathan B. Berk, Elroy Dimson, Paul Marsh, Stephen R. Foerster, Donald G. Booth, Chris R. Hensel, Carolina Minio-Paluello, Mark Grinblatt, George Athanassakos, Elio Canestrelli, Gulnur Muradoglu, Teppo Martikainen, Sandeep A. Patel, Seng-Kee Koh, Kie Ann Wong, Luis R. Comolli, Sandra L. Schwartz, Alonso Cervera

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