McGraw-Hill

More documents

Recommendations

Info

On the Value of “Value” 133 Verrecchia, R. 1979. “On the theory of market information efficiency.” Journal ofAccounting and Economics 1 (1): 7-90. Williams, J.1938. TheTheory ofInvestment Value. Cambridge: Cambridge University Press. Zacks, L. 1979. ”EPS forecasts-accuracy is not enou&.“ Financial Analysts Journal 35 (2): 53-55.
This Page Intentionally Left Blank
Page 2 and 3:
EQUITY MANAGEMENT.
Page 4 and 5:
EQUITY MANAGEMENT Quantitative Anal
Page 6 and 7:
To Ilene, Lauren, Julie, Sam, and E
Page 8 and 9:
CONTENTS Foreword by Harry M. Marko
Page 10 and 11:
Contents ix Chapter 4 Calendar Anom
Page 12 and 13:
Contents xi Implications 272 High-D
Page 14 and 15:
FOREWORD by Harry M. Markowitz, Nob
Page 16 and 17:
Foreword xv In practice, of course,
Page 18 and 19:
Foreword xvii that an RDM would con
Page 20 and 21:
xix
Page 22 and 23:
INTRODUCTION Life on the Leading Ed
Page 24 and 25:
Life on the Leading Edge 3 tion abo
Page 26 and 27:
Life on the Leading Edge 5 clude th
Page 28 and 29:
Life on the Edge Leading 7 stocks t
Page 30 and 31:
Life on the Leading Edge 9 . Quanti
Page 32 and 33:
Life on the Leading Edge 11 By the
Page 34 and 35:
Life on the Leading Edge 13 ple, st
Page 36 and 37:
Life on the Leading Edge 15 find be
Page 38 and 39:
Life on the Leading Edge 17 equal t
Page 40 and 41:
P A R T ONE Selecting Securities A
Page 42 and 43:
Selectine Securities 21 stocks. Suc
Page 44 and 45:
selecting secunties 23 unmoved by s
Page 46 and 47:
CHAPTER 1 The Complexity of the Sto
Page 48 and 49:
The Complexity of the Stock Market
Page 50 and 51:
Page 52 and 53:
The Complexity of the St& Market 31
Page 54 and 55:
Page 56 and 57:
Page 58 and 59:
The Complexity of the St& Market 37
Page 60 and 61:
The of the Complexity Stock Market
Page 62 and 63:
Page 64 and 65:
The Comdexitv of the Stock Market 4
Page 66 and 67:
Page 68 and 69:
V 7
Page 70 and 71:
Disentangling Equity Return Regular
Page 72 and 73:
Disentangling Equity Rehun Regulari
Page 74 and 75:
Disentangling Equity Rehun Regulari
Page 76 and 77:
Page 78 and 79:
Page 80 and 81:
Page 82 and 83:
Page 85 and 86:
64 selecting securities aged 59 bas
Page 87 and 88:
66 selecting Securities FIGURE 2-2
Page 89 and 90:
68 selecting securities FIGURE 2-3
Page 91 and 92:
70 selecting securities tic of 17.8
Page 93 and 94:
72 selecting securities Some Implic
Page 95 and 96:
74 selecting securities Table 2-2 d
Page 98 and 99:
Page 100:
I l
Page 103 and 104: 82 Seleaine Securities these time-s
Page 105 and 106: 84 selecting securities of 9.7. The
Page 107 and 108: 86 selecting securities 2. There ar
Page 109 and 110: and deferring gains [as per Constan
Page 111 and 112: 90 selecting securities 35. For exa
Page 113 and 114: 92 selecting securities 49. Before
Page 115 and 116: 94 selecting securities Ball, R. 19
Page 117 and 118: 96 selecting securities Iowa, Ames.
Page 119 and 120: 98 Seleaine securities James, W. an
Page 121 and 122: 100 selecting securities Nicholson,
Page 123 and 124: 102 selecting securities Tinic, S.
Page 125 and 126: 104 selecting securities VALUE AND
Page 127 and 128: 106 selecting securities Street Jou
Page 129 and 130: 108 Selectine Securities This is no
Page 131 and 132: 110 selecting securities plaining s
Page 133 and 134: 112
Page 135 and 136: 114 selecting securities transient
Page 137 and 138: 116 selecting securities Na'ive Exp
Page 139 and 140: 118 selecting securities (1988c)l.
Page 141 and 142: l20 selecting securities average of
Page 143 and 144: 122 selecting securities FIGURE 3-1
Page 145 and 146: 124 selecting securities We have de
Page 147 and 148: 126 selecting securities movements
Page 149 and 150: l28 selecting securities 34. Pensio
Page 151 and 152: 130 selecting securities Einhom, S.
Page 153: 132 Selectine securities Poterba, J
Page 157 and 158: 136 selecting securities The availa
Page 159 and 160: 138 selecting securities subsequent
Page 161 and 162: 140 selecting securities FIGURE 4-1
Page 163 and 164: 142 Selectine securities FIGURE 4-2
Page 165 and 166: 144 selecting securities others usi
Page 167 and 168: 146 Selectine Securities FIGURE 4-3
Page 169 and 170: l48 SelectirlE securities a market
Page 171 and 172: 150 . selecringsecurities There is
Page 173 and 174: 152 selecting securities 1981 and 1
Page 175 and 176: 154 seleding securities Chari,V., R
Page 177 and 178: 156 Selectine securities McNichols,
Page 179 and 180: This Page Intentionally Left Blank
Page 181 and 182: 160 selecting securities that betwe
Page 183 and 184: 162 selecting securities Handa, Kot
Page 185 and 186: 164 selecting securities risk does
Page 187 and 188: 166 selecting securities returns ac
Page 189 and 190: 168 selecting securities ket return
Page 191 and 192: ~ more 170 Selectine securities tiv
Page 193 and 194: h h h h W v ) 000000 m N m w r "80q
Page 195 and 196: ~~~ ~ ~~ 174 selecting securities A
Page 197 and 198: 176 selecting securities hibit feed
Page 199 and 200: 178 Seledine securities multivariat
Page 201 and 202: -2 1982 1983 1984 1985 1986 1987 18
Page 203 and 204: 182 selecting securities rate produ
Page 205 and 206:
184 Seledine Securities 11. Further
Page 207 and 208:
186 Seleaine securities REFERENCES
Page 209 and 210:
188 selecting securities Fama, E. a
Page 211 and 212:
190 selecting securities Miller, E.
Page 213 and 214:
Page 215 and 216:
194 Selectine Securities modeling p
Page 217 and 218:
196 selecting securities surement e
Page 220:
Earnings Estimates, Predictor Speaf
Page 224 and 225:
Earnings Estimates, Predictor Speci
Page 226 and 227:
Page 228 and 229:
Page 230 and 231:
Page 232 and 233:
0 a I "F c2 . 2 0
Page 234:
Page 237 and 238:
216 selecting securities The Return
Page 239 and 240:
U) J U) C Q) U) C S r jo-0 eke I C
Page 241 and 242:
?68% $1-0 I 220
Page 243 and 244:
222 Seleaine Securitiff ings data f
Page 245 and 246:
224 selecting securities 4. The dif
Page 247 and 248:
226 selecting securities 20. Note t
Page 249 and 250:
Page 251 and 252:
230 Managing Portfolios have concen
Page 253 and 254:
232 Managing Portfolios portfolios.
Page 255 and 256:
234 Manaeine Portfolios of investme
Page 257 and 258:
236 Managing Portfolios There is, n
Page 259 and 260:
238 Managing Portfolios bound to ig
Page 261 and 262:
240 Managing Portfolios expected to
Page 263 and 264:
242 Managing Portfolios mance attri
Page 265 and 266:
244 Managing Portfolios those inves
Page 267 and 268:
246 Managing Portfolios vide a bigg
Page 269 and 270:
248 Managing Portfolios If the firm
Page 271 and 272:
250 Managing Portfolios REFERENCE J
Page 273 and 274:
252 Managing Portfolios This invest
Page 275 and 276:
254 Managing Portfolios FIGURE S-l
Page 277 and 278:
256 Managing Portfolios manager‘s
Page 279 and 280:
258 Managing Portfolios FIGURE S 4
Page 281 and 282:
260 Managing Portfolios Imposition
Page 283 and 284:
Page 285 and 286:
264 Managing Portfolios Recent stud
Page 288 and 289:
High-Definition Style Rotation 267
Page 290 and 291:
0 N
Page 293 and 294:
272 Managing Portfolios TABLE 10-2
Page 295 and 296:
274 Managing Portfolios ing pure re
Page 297 and 298:
276 Managing Portfolios HIGH-DEFINI
Page 299 and 300:
278 Managing Portfolios - FIGURE 10
Page 301 and 302:
280 Managing Portfolios FIGURE 10-S
Page 303 and 304:
282 Managing Portfolios REFERENCES
Page 305 and 306:
284 Expanding Opportunities and “
Page 307 and 308:
286 Expanding Opportunities such as
Page 309 and 310:
Page 311 and 312:
290 ExpandingOpprtunities vided sho
Page 313 and 314:
292 Expandingoppo~ties F I G U R E
Page 315 and 316:
294 Expanding Opportunities F I G U
Page 317 and 318:
2% ExpandingOpportunities FIGURE 11
Page 319 and 320:
298 Expanding Opportunities Typical
Page 321 and 322:
300 Expandingopportunities F I G U
Page 323 and 324:
302 Expanding Opportunities news st
Page 325 and 326:
304 ExpandingOpportunities dinate l
Page 327 and 328:
306 ExpandingOpportunities Also, ma
Page 329 and 330:
308 Expanding Opportunities FIGURE
Page 331 and 332:
310 Expanding oppo~ties -and- . 199
Page 333 and 334:
312 ExpandingOpportunities applied
Page 335 and 336:
314 Expanding Opportunities A secur
Page 337 and 338:
316 ExpandingOpportunities in 1987,
Page 339 and 340:
318 Expanding Opportunities the $4.
Page 341 and 342:
320 Expanding Opportunities portfol
Page 343 and 344:
322 Expanding Opportunities managem
Page 345 and 346:
324 Expanding Opportunities The sec
Page 347 and 348:
326 Expanding Opportunities Overall
Page 349 and 350:
328 Expanding Opportunities risen o
Page 351 and 352:
330 Expanding Opportunities lio and
Page 353 and 354:
332 Expanding Opportunities FIGURE
Page 355 and 356:
334 Expanding Opportunities , use o
Page 358:
The Long and Short on Long-Short 33
Page 361 and 362:
340
Page 363 and 364:
Uptick rules can delay, or in some
Page 365 and 366:
344 Expanding Opportunities expecte
Page 367 and 368:
Nonsymmetrical distributions of sec
Page 369 and 370:
11. We assume a futures margin of 4
Page 371 and 372:
350 Expanding Opportunities see, lo
Page 373 and 374:
352 Expanding Opportunities case, t
Page 375 and 376:
Trading Costs Some other costs of l
Page 377 and 378:
356 Expanding Opportunities We use
Page 379 and 380:
358 Expanding The optimal portfolio
Page 381 and 382:
360 Expanding Opportunities N H = C
Page 383 and 384:
362 Expanding Opportunities . Consi
Page 385 and 386:
364 Expanding Opportunities mark se
Page 387 and 388:
366 Expanding Opportunities not be
Page 389 and 390:
Page 391 and 392:
370 Expanding Opportunities securit
Page 393 and 394:
372 Expanding Opportunities maximiz
Page 395 and 396:
374 ExpandingOpportunities uity ret
Page 397 and 398:
376 Expanding Opportunities may be
Page 399 and 400:
378 Expanding Opportunities from se
Page 401 and 402:
hance good performance, but they ca
Page 403 and 404:
382 Name Index Clarke, Roger G., 25
Page 405 and 406:
384 Name Index Levis, M., 174,175,1
Page 407 and 408:
386 Name Index Swanson, H., 183,188
Page 409 and 410:
388 Subject Index Disentangling equ
Page 411 and 412:
390 Subied Index MAE, 170,182 Marke
Page 413 and 414:
392 Subiect Jndex Security analysis
Page 415 and 416:
show all

McGraw-Hill

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?