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calendar Anomalies 157 Whitford, D. and F. Reilly. 1985. ”What makes stock prices move?” Journal ofPortf0- lio Management 11 (2):23-30. Wood, R, T. McInish, and K. Ord. 1985. ”An investigation of transactions data for NYSE stocks.” Journal ofFimnce 40 (3): 723-739.
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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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Disentangling Equity Rehun Regulari
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Disentangling Equity Rehun Regulari
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64 selecting securities aged 59 bas
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66 selecting Securities FIGURE 2-2
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68 selecting securities FIGURE 2-3
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70 selecting securities tic of 17.8
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72 selecting securities Some Implic
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74 selecting securities Table 2-2 d
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I l
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82 Seleaine Securities these time-s
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84 selecting securities of 9.7. The
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86 selecting securities 2. There ar
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and deferring gains [as per Constan
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90 selecting securities 35. For exa
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92 selecting securities 49. Before
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94 selecting securities Ball, R. 19
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96 selecting securities Iowa, Ames.
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98 Seleaine securities James, W. an
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100 selecting securities Nicholson,
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102 selecting securities Tinic, S.
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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
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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 and 154: 132 Selectine securities Poterba, J
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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: 156 Selectine securities McNichols,
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
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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.
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Page 215 and 216: 194 Selectine Securities modeling p
Page 217 and 218: 196 selecting securities surement e
Page 220: 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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