Name Index 383 Handa, F., 87,97,162,188 Hannan, E.,184,188 Harlow, W., 127,129 Harris, L.,53,54,97,142,148,149, 150,154,183,188 Haugen, R., 152,154 Hausch, D., 126,130 Hawawini, G., 139,152,154,155 Hawkins, E., 57,97 Hawthorne, F., 47,97 Henn, R., 94 Hess, P., 152,154,183,188 Hirsch, Y., 135,141,142,147,153, 155 Hoffman, G. Wright, 290,309 Hogarth, R., 105,130,131,132 Howe, J., 127,130 Hsiao, C., 184,188 Hsieh, D.,90,95,176,184,187 Huber, P. J., 224,227 Huberts, L. C., 327,348 Husic, F., 56,94 Iman, R. L., 224,227 Jacobs, Bruce I., 29,32,33,40,44, 45,54,73,86,97,108,110,117, 118,121,123,124,125,126,127, 130,136,138,151,155,159,166, 168,169,183,184,185,188,224, 227,236,239,240,243,244,245, 249,250,268,276,281,282,292, 293,309,319,320,354,363,367, 371,378,379,380 Jaffe, J., 152,155 Jagannathan, R., 92,95,139,154, 167,187 Jain, P., 153,155 James, W., 91,98 Jenkins, G., 92,95,174,175,183, 185,186.189 Joh, G., 153,155 Jones, C., 51,88,98,100,127,131, 132,151,155,168,189 Jones, Robert C., 86,96,128,131, 236,246 Joy, O., 86,98 Judge, G., 89,98 Kahn, N., 138,153 Kahn, Ronald N., 246,252,261 Kahneman, D., 98,109,131 Kalman, R., 177,189 Kandel, S., 87,96,162,188 Kato, K., 86,98,139,155 Kawaller, I. G., 347,348 Keim, D, 50,51,52,54,85,87,90, 92,98,127,130,137,142,143,144, 152,155,166,183,188 Kerrigan, T.,57,98 Keynes, John Maynard, 14,108, 131 Kinney, W., 88,101,137,156,166, 190 Kleidon, A., 86,87,89,90,94,160, 161,187 Klemkosky, R., 57,98 Kling, J., 179,189 Kmenta, J., 62,89,98,281,282 Koch, T. W., 347,348 Kolb, R., 147,155 Korajczyk, R., 85,95,163,187 Kothari, S., 87,97,162,188 Krase, Scott, 251,252,261 Krask, Mitchell C., 193 Kraus, A., 57,98 Kuh, E., 226,227 Kuhn, Thomas, 26,45 Kwan, Clarence C. Y., 365 Lakonishok, J., 50,51,81,87,88,89, 90,95,136,137,140, 142,144,145, 146,147,151,155 Lanstein, R., 54,60,62,66,88,91, 101,108,131 Latane, H., 51,88,98,100,127,131, 132 Lehmann, B., 85,99,163,189 Leiiweber, D. J., 320 Lerman, Z., 87,99 Leroy, A. M., 224,227 Levi, M. D., 144,146,155,226,227
384 Name Index Levis, M., 174,175,189 Levy, H., 87,99,126,131 Levy, Kenneth N., 29,32,33,40,44, 45,108,110,117,118,121,123, 124,127,128,130,136,138,151, 155,159,166,168,169,183,184, 185,188,224,227,236,239,240, 243,244,245,249,250,268,276, 281,282,292,293,309,319,320, 363,367,371,378,379,380 Litterman, R., 178,179,185,187, 189 Litzenberger, R., 57,87,89,98,99 Ljung, G., 93,99,174,189 Lo, A., 92,99,174,189 Maberly, E., 152,154 MacBeth, J., 88,89,96 MacKinlay, C., 92,99,174,189 Maddala, G. S., 89,99,226,227 Makhija, A., 152,154 Makridakis, S., 184, 189 Malkiel, B., 57,96 Marathe,V., 54,90,99,100,108, 132 ’ Markowitz, Harry M., 345,356,367 Marsh, T., 86,87,89,90,94,160, 161,187 Martin, C., 185,189 Martin, J., 52,57,87,98,101 Martin, S., 144,154 Mayers, D.,85,95 Mayshar, J., 87,99 McElreath, R., 89,99 McEnally, R., 88,99 McGee, V., 184,189 McGwire, Mark, 6 McInish, T., 150,157 McKibben, W., 93,101 McNees, S., 185,189 McNichols, M., 141,156 McWilliams, J., 86,99 Meese, R., 126,130 Mencken, H. L., 15 Mendelson, H., 87,93,150,153, 161,183,186 Merrill, A., 135,156 Merton, R., 86,87,99,109,131,163, 164,189 Michaud, R., 105,127,128,131, 319,320,347,348 Michel, P.,139,154 Miller, Edward M., 109,131,152, 156,183,190,292,293,310,327, 348,366,367 Miller, M., 87,99,104,131 Miller, P.,86,99 Modest, D.,85,99,163,189 Modigliani, F., 104,106,131 Morgan, A., 92,99,174,190 Morgan, I., 92,99,174,190 Nakamura, T., 86,101 Newbold, P., 185,188 Nicholson, F., 86,100 . Niederhoffer, V.,126,131 OBrien, J., 107,131 OHanlon, J., 126,131 Ofer, A., 92,95,139,154,167,187 Ogden, J., 141,156 Ohlson, J., 127,131 Olsen, C., 51,96 Ord, K., 150,157 Ovadia, A., 50,97,137,154 Padberg, Manfred W., 366 Pagels, Heinz, 45 Palm, F., 185,191 Pearce, D.,88, 98,151,155,168,189 Peavy, J., 49,52,87,97,100 Penman,S., 54,100,109,127,131, 141,145,156 Peterson, D.,152,156 Peterson, P., 53,57,58,94 Pfleiderer, P., 153 Phillips-Patrick, F., 152,156 Pierce, D., 174,187 Pinegar, M., 138,153 Plott, C., 126,131 Poterba, J., 107,132 Protopapadakis, A., 143,154
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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 Stock Market
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The Complexity of the St& Market 31
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The Complexity of the Stock Market
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The Complexity of the Stock Market
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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 Complexity of the Stock Market
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The Comdexitv of the Stock Market 4
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The Complexity of the Stock Market
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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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64 selecting securities aged 59 bas
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74 selecting securities Table 2-2 d
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Disentangling Equity Return Regular
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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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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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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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130 selecting securities Einhom, S.
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132 Selectine securities Poterba, J
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136 selecting securities The availa
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138 selecting securities subsequent
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140 selecting securities FIGURE 4-1
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142 Selectine securities FIGURE 4-2
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144 selecting securities others usi
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146 Selectine Securities FIGURE 4-3
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l48 SelectirlE securities a market
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150 . selecringsecurities There is
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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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~ 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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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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186 Seleaine securities REFERENCES
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188 selecting securities Fama, E. a
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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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230 Managing Portfolios have concen
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