Security Market Imperfections in Worldwide Equity Markets
Security Market Imperfections in Worldwide Equity Markets
William T. Ziemba, University of British Columbia, Vancouver
£165.00
GBPThe 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
Product details
April 2000Hardback
9780521571388
560 pages
236 × 160 × 39 mm
1.01kg
125 b/w illus. 79 tables
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.
