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Name Index 385 Quenouille, M., 176,190 RainviUe, H., 58,100 Ramaswamy, K., 87,89,99 Ratcliffe, J., 89,100 Reder, M., 105,130,131,132 Regan, P. J., 327,348 Reid, K., 54,60,62,65,66,68,70, 86,90,91,93,100,101 Reilly, F., 144,157 Reinganum, M., 49,50,85,87,90, 92,100,160,161,162,163,164, 167,190 Rendleman, R., 51,88,98,100,127, 131,132 Renshaw, E., 126,132 Rentzler, J., 53,96 Rissanen, J., 184,188 Ritter, J., 138,156 Rodriguez, R., 147,155 Rogalski, R., 50,51,100,147,152, 156,167,190 Roll, R., 50,54,87,93,100,126,130, 137,143,156,160,161,162,167, 184,187,190 Rosenberg, B., 54, 60,62,66,70,78, 86,88,91,93,94,100,101,108, 132 Ross, S., 163,184,187,190 Rousseeuw, P. J., 224,227 ' Rozeff, M., 49,51,74,88,90,95, 101,137,156,165,166,183,187, 190 Rubinstein, M., 126,130 Rudd, A., 54,70,78,86,88,94,101, 118,132 Runkle, D.,184, 190 Russell, T., 132 Samuelson, Paul, 124,131 Savage, J., 86'95 Schallheim, J., 86,98,139,155 Schneeweis, T., 152,156 Schneider, Margaret Grant, 309 Scholes, M., 87,88,94,99 Schramm, Sabine, 252,261 Schultz,P., 50,87,101,161,168, 190 Schwartz, R., 88,101 Schwert, G., 83,101,160,191 Senchack, A., 52,87,101 Seyhun, H., 167,191 Shangkuan,.P., 86,96,125,130 Shapiro, A., 51,81,89,90,98 Shapiro, E., 124,130 Sharpe, William F., 54,68,72,86, 90,93,101,103,125,127,132,260, 261,263,264,267,276,282,290, 310,319,344,348,356,367,370, 380 Shefrin, H., 77,87,88,101,109,126, 132,152,156,164,168,191 Shevlin, T., 51,96 Shiller, R., 106,125,126,127,132, 185,191 Simon, Herbert, 43,45,109,124, 132 Sims, C., 184,.185,187,191 Singer, B. D.,263,282,370,380 Singleton, C., 88,101 Smidt, S., 50,88,98,136,137,140, 142,145,147,151,155 Smirlock, M., 53,54,101,149,152, 156 Smith, R., 87,94,162,186 Snedecor, G., 89,90,101 Sorensen, E., 132 Stambaugh, R., 50,87,89,90,94, 96,98,142,144,152,155,160,162, 183,186,188,189 Starer, David, 349,363,366,367, 379,380 Stark, L., 53,54,101,149,152,156 Statman,Meir, 77,87,88,101,109, 126,132,152,156,164,168,191, 251,252,261 Stein, C., 91,98 Stoll, H., 87,101,160,191 Strang, Gilbert, 366,367 Strebel, P.,49,52,57,93,95,126, 129,164,183,186,187 Summers, L., 106,107,132
386 Name Index Swanson, H., 183,188 Terada, N.,86,101 Thaler, R., 88,96,106,109,126,127, 129, i31. . Theil, H., 60,101,170,191,226,227 Tinic, S., 50,51,53,57,86,88,90, 92,100,101,102,138,151,152, 156,167,168,190,191 Treynor, J., 107,132 Trittin, Dennis, 246 Tukey, J. W., 224,227 Tversky, A., 98,109,131 Umstead, D., 175,191 Vasicek, O., 57,102 Venkatesh, F'., 161,187 Verrecchia, R., 125,133 VonGermeten, J., 125,129 Wachtel, S., 88,102,135,156 Wagner, W., 97 Ward, C., 126,131 Warga, A., 89,102 Wasley, C., 87,97,162,188 Weigelt, K., 107,126,129 Welsch, R. E., 226,227 West, R., 51,53,57,86,88,90,92, 101,102,151,152,156,168,191 Westerfield, R., 57,88,97,152,155 Whaley, R., 87,101,160,191 Wheelwright, S., 184,189 Whitcomb, D., 88,101 White, James A., 309,310 Whitford, D., 144,157 Widmann, E.,86,99 Wiggins, D., 89,99 Williams, John, 104,133 Williams, Terry, 309,310 Williamson, D., 132 Wilson, J., 88,98,151,155,168,189 Wingender, J., 88,101 Wood, R., 150,157 Yellen, J., 126,129 Zacks, L., 108,133 Zellner, A., 59,102,185,191 Ziemba, W., 126,130
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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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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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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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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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Page 391 and 392: 370 Expanding Opportunities securit
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Page 397 and 398: 376 Expanding Opportunities may be
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Page 403 and 404: 382 Name Index Clarke, Roger G., 25
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Page 409 and 410: 388 Subject Index Disentangling equ
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Page 413 and 414: 392 Subiect Jndex Security analysis
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