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Disentangling Equity Return Regularities 101 Rosenberg, B. and W. McKibben. 1973. 'The prediction of systematic and specific risk incommonst&."Journal of Finuncial and Quantitative Analysis 8 (2): 317333. Rosenberg, B., K Reid, and R. Lanstein. 1985. "Persuasive evidence of market inefficiency." Journal of Portfolio Management 11 (3): 9-17. Rosenberg, B. and A. Rudd. 1982. "Factor-related and specific returns of common stocks: Serial correlation and market inefficiency." Journal of Finance 37 (2): 543-554. Rozeff, M. and W. Kinney. 1976. "Capital market seasonality: The case of stock returns." Journal ofFinnnciu1 Economics 3 (4): 379-402. Rudd, A. and H. Clasing. 1982. Modern Portfolio The0 y: The Principles of Investment Management. Homewood, Illinois: Dow Jones-Min. Schultz, P. 1983. "Transaction costs and the small firm effect A comment." Journal of Finunciul Economics 12 (1): 81-88. -. 1985. "Personal income taxes and the January effect: Small firm stock returns before the War Revenue Act of 1917 A note." Journal ofFinunce 40 (1): 333-343. Schwartz, R. and D. Whitcomb. 1977. "Evidence on the presence and causes of serial correlation in market model residuals."Journal of Financial and Quuntitafive Analysis 12 (2): 291-313. Schwert, W. 1983. "Size and stock returns, and other empirical regularities." Journal ofFinancia1 Economics 12 (1): 3-12. Senchack, A. and J. Martin. 1987. "The relative performance of the PSR and PERinvestment strategies." Financial Analysts Journal 43 (2): 46-56. Sharpe, W. 1982. "Factors in NYSE exchange security returns, 1931-1979." Journal of Portfolio Management 8 (4): 5-19. -.1984. "Factor models, CAE", and the AFT." Journal of Portfolio Management 11 (1): 21-25. Shefrin, H.. and M. Statman. 1984. "Explaining investor preference for cash dividends." Journal of Finunciul Economics 13 (18): 253-282. -and- .1985. "The disposition to sell winners too early and ride losers too long: Theory and evidence." Journal @Finance 40 (3): m-790. Singleton, C. and J. Wingender. 1986. "Skewness persistence in common stock returns." Journal of Financial and Quantitative Analysis 21 (3): 335-341. Smirlock, M. and L. Starks. 1986. "Day-of-the-week and intraday effects in stock re turns."Journal ofFinuncia1 Economics 17 (1): 197-210. Snedecor, G. and W. Cochran. 1967. Statistical Methods. 6th ed.. Ames: Iowa State Press. Stoll, H. and R. Whaley. 1983. "Transaction costs and the firm small effect." Journal of Financiul Economics 12 (1): 57-79. Terada, N. and T. Nakamura. 1984. "The size effect and seasonality in Japanese stock returns." Paper presented at the Institute for Quantitative Research in Finance, May. Theil, H. 1971. Principles of Econometrics. New York: John Wdey. Tinic, S., G. Barone-Adesi, and R West. 1987. "Seasonality in Canadian stock prices: A test of the 'tax-loss selliing' hypothesis." Jounial of Financial and Quantitative Analysis 22 (1): 51-63.
102 selecting securities Tinic, S. and R. West. 1986. “Risk, return and equilibrium: A revisit.”JoumlofPoliticnl Economy 94 (1): 126-147. Vasicek, 0.1973. “A note on using cross-sectional information in Bayesian estimates of security betas.” Jouml ofFimnce 28 (5): 1233-1239. Wachtel, S. 1942. “Certain observations in seasonal movements in stock prices.” Journal ofBusiness 15 uuly): 184-193. Warga, A. 1987. “Experimental design in tests of linear factor models.’’ Working Paper, Columbia University Business School, New York, January. [Published in Journal ofBusiness and Economic Stutistics 7 (2): 191-198.1 Zellner, A. 1962. “An efficient method of estimating seemingly unrelated regressionsand testsfor aggregationbias.”Joumlof theAmerican StutisticulAssociution 57 (298): 348-368.
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EQUITY MANAGEMENT.
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EQUITY MANAGEMENT Quantitative Anal
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To Ilene, Lauren, Julie, Sam, and E
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CONTENTS Foreword by Harry M. Marko
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Contents ix Chapter 4 Calendar Anom
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Contents xi Implications 272 High-D
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FOREWORD by Harry M. Markowitz, Nob
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Foreword xv In practice, of course,
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Foreword xvii that an RDM would con
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xix
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INTRODUCTION Life on the Leading Ed
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Life on the Leading Edge 3 tion abo
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Life on the Leading Edge 5 clude th
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Life on the Edge Leading 7 stocks t
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Life on the Leading Edge 9 . Quanti
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Life on the Leading Edge 11 By the
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Life on the Leading Edge 13 ple, st
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Life on the Leading Edge 15 find be
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Life on the Leading Edge 17 equal t
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P A R T ONE Selecting Securities A
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Selectine Securities 21 stocks. Suc
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selecting secunties 23 unmoved by s
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CHAPTER 1 The Complexity of the Sto
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The Complexity of the Stock Market
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The Complexity of the St& Market 31
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The Complexity of the St& Market 37
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The of the Complexity Stock Market
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The Comdexitv of the Stock Market 4
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V 7
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Disentangling Equity Return Regular
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152 selecting securities 1981 and 1
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154 seleding securities Chari,V., R
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156 Selectine securities McNichols,
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160 selecting securities that betwe
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162 selecting securities Handa, Kot
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164 selecting securities risk does
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166 selecting securities returns ac
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168 selecting securities ket return
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~ more 170 Selectine securities tiv
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h h h h W v ) 000000 m N m w r "80q
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~~~ ~ ~~ 174 selecting securities A
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176 selecting securities hibit feed
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178 Seledine securities multivariat
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-2 1982 1983 1984 1985 1986 1987 18
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182 selecting securities rate produ
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184 Seledine Securities 11. Further
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186 Seleaine securities REFERENCES
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188 selecting securities Fama, E. a
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190 selecting securities Miller, E.
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194 Selectine Securities modeling p
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196 selecting securities surement e
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Earnings Estimates, Predictor Speaf
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Earnings Estimates, Predictor Speci
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0 a I "F c2 . 2 0
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216 selecting securities The Return
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U) J U) C Q) U) C S r jo-0 eke I C
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?68% $1-0 I 220
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222 Seleaine Securitiff ings data f
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224 selecting securities 4. The dif
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226 selecting securities 20. Note t
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230 Managing Portfolios have concen
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232 Managing Portfolios portfolios.
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234 Manaeine Portfolios of investme
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236 Managing Portfolios There is, n
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238 Managing Portfolios bound to ig
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240 Managing Portfolios expected to
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242 Managing Portfolios mance attri
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244 Managing Portfolios those inves
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246 Managing Portfolios vide a bigg
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248 Managing Portfolios If the firm
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250 Managing Portfolios REFERENCE J
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252 Managing Portfolios This invest
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254 Managing Portfolios FIGURE S-l
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256 Managing Portfolios manager‘s
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258 Managing Portfolios FIGURE S 4
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260 Managing Portfolios Imposition
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264 Managing Portfolios Recent stud
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High-Definition Style Rotation 267
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0 N
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272 Managing Portfolios TABLE 10-2
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274 Managing Portfolios ing pure re
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276 Managing Portfolios HIGH-DEFINI
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278 Managing Portfolios - FIGURE 10
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280 Managing Portfolios FIGURE 10-S
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282 Managing Portfolios REFERENCES
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284 Expanding Opportunities and “
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286 Expanding Opportunities such as
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290 ExpandingOpprtunities vided sho
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292 Expandingoppo~ties F I G U R E
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294 Expanding Opportunities F I G U
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2% ExpandingOpportunities FIGURE 11
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298 Expanding Opportunities Typical
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300 Expandingopportunities F I G U
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302 Expanding Opportunities news st
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304 ExpandingOpportunities dinate l
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306 ExpandingOpportunities Also, ma
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308 Expanding Opportunities FIGURE
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310 Expanding oppo~ties -and- . 199
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312 ExpandingOpportunities applied
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314 Expanding Opportunities A secur
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316 ExpandingOpportunities in 1987,
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318 Expanding Opportunities the $4.
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320 Expanding Opportunities portfol
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322 Expanding Opportunities managem
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324 Expanding Opportunities The sec
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326 Expanding Opportunities Overall
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328 Expanding Opportunities risen o
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330 Expanding Opportunities lio and
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332 Expanding Opportunities FIGURE
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334 Expanding Opportunities , use o
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The Long and Short on Long-Short 33
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340
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Uptick rules can delay, or in some
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344 Expanding Opportunities expecte
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Nonsymmetrical distributions of sec
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11. We assume a futures margin of 4
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350 Expanding Opportunities see, lo
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352 Expanding Opportunities case, t
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Trading Costs Some other costs of l
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356 Expanding Opportunities We use
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358 Expanding The optimal portfolio
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360 Expanding Opportunities N H = C
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362 Expanding Opportunities . Consi
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364 Expanding Opportunities mark se
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366 Expanding Opportunities not be
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370 Expanding Opportunities securit
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372 Expanding Opportunities maximiz
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374 ExpandingOpportunities uity ret
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376 Expanding Opportunities may be
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378 Expanding Opportunities from se
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hance good performance, but they ca
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382 Name Index Clarke, Roger G., 25
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384 Name Index Levis, M., 174,175,1
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386 Name Index Swanson, H., 183,188
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388 Subject Index Disentangling equ
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390 Subied Index MAE, 170,182 Marke
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392 Subiect Jndex Security analysis
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