McGraw-Hill

~
Subject Index 391
Predictor specification (Con’d)
alternative specifications for
return modeling, 204-209
analyst coverage, and, 212-221
effect of measurement error on
regression coefficients, 222,223
measurement error, and,
194-209
missing data values, and,
209-212
Price/book ratio, 104
Price/casMow ratio. 104
-, ~~-
Pricejearnings ratio, 27,31,55,
111,272
Prime broker, 297,306,341
Principal packages, 342
Procedural Rationality, 109,139
Prospect Theory, 109,139
Proxying, 30,31
Psychology, 22
(See also Market psychology)
Pure returns, 21,22,29-31,35,62,
110,239,27&272,274
(See also Disentangling equity
’ return regularities)
Q statistic, 174
Quantitative management, 9,10,
19,231,236,371-372
Quintiling procedures, 29
Random systems, 25
Random walk, 3,19,20,41,79
Relative strength, 112
Residual reversal, 58,112
.Residual risk, 56,251-261
Residual risk tolerance, 260
Responsibility effect, 164
Retrospective inclusion bias, 165
Return effects:
beta, 56,57
book/price, 56
calendar anomalies, 135-157
(See also Calendar anomalies)
casMow/price, 56
co-skewness, 57
Return effects (Con’d)
dividend yield, 55
earnings controversy, 57
earnings surprise, 58
earnings torpedo, 58
January effect, 59,136-140
low P/E, 55
low price, 56
neglect, 56
relative strength, 58
residual reversal, 58
return reversal effect, 30
sales/price, 56
sigma, 56
small size, 55 (See also Size
effect)
trends in analysts’ earnings
estimates, 57
(See also Disentangling equity
return regularities)
Return modeling, 35
Return-predictor relationships, 2,
23
Return reversal effect, 30,159
Risk constraints, 251-261
Risk modeling, 34
RMSE, 170,182
Robust regressions, 224n
Root-mean-squared error
170,182
(RMSE),
Sales/price, 56,111
Screening procedures, 29
Security analysis, 19-227
disentangling equity return
regularities, 47-102
(See also Disentangling equity
return regularities)
dividend discount model
(DDM), 103-133
market complexity, 25-45
(See also Market complexity)
problems in predictor
specification, 193-227
(See also Predictor
specification)