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182 selecting securities rate produces forecast changes of about -6 basis points 1 month ahead, -2 basis points 2,3, and 4 months ahead, and +l basis point 5 and 6 months ahead. The response to a shock in long government rates is negligible. The response to a Treasury bill shock is negative, ' ranging between 0 and -4 basis points. The response to a shock in the S&P 500 is -5 basis points 1 month ahead and negligible thereafter. A shock in the inflation rate lowers the forecast return by 8 basis points 1 month ahead and 6 basis points 2 months out. A shock in industrial production raises the forecast return by 9 basis points 1 month ahead. The negative impact on returns to small size of an unexpected increase in BAA corporate interest rates and the positive impact of an unexpected increase in industrial production are consistent with the fragdity of smaller firms. The negative response to an unexpectedly positive S&P 500 return, however, suggests that more is at work than risk considerations alone. The negative response to an crease in Treasury bill rates is consistent with the greater capital constraints on smaller firms. Also, smaller stocks fare less well during periods of unexpected inflation. APPENDIX The following criteria were used to assess the accuracy of the various forecasting methods: mean error (ME), defined as mean absolute error (MAE), root-mean-squared error and Theil U, defined as 6:" C(A,+, - / n in which A, equals the actual value at time t, F, equals the forecast value for time t, and n equals the number of observations.
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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
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106 selecting securities Street Jou
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108 Selectine Securities This is no
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110 selecting securities plaining s
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112
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114 selecting securities transient
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116 selecting securities Na'ive Exp
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118 selecting securities (1988c)l.
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l20 selecting securities average of
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122 selecting securities FIGURE 3-1
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124 selecting securities We have de
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126 selecting securities movements
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l28 selecting securities 34. Pensio
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Page 153 and 154: 132 Selectine securities Poterba, J
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Page 157 and 158: 136 selecting securities The availa
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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,
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Page 185 and 186: 164 selecting securities risk does
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Page 191 and 192: ~ more 170 Selectine securities tiv
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Page 199 and 200: 178 Seledine securities multivariat
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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 217 and 218: 196 selecting securities surement e
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Page 243 and 244: 222 Seleaine Securitiff ings data f
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Page 251 and 252: 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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