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~ 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)
392 Subiect Jndex Security analysis (Con'd) time-related anomalies, 135-157 (See also Calendar anomalies) value modeling, 103-133 Security Analysis (Graham and Dodd), 2 Sharpe ratio, 281n Short rebate, 298 Short selling, 244,283-285 Theil U, 170,182 (See also Long-short equity Theoretical tracking error, 300,301 investing) 3000-stock universe, 2241 Short squeeze, 305,348n Time-of-day effect, 148-150 Sigma, 56,111 Time-related anomalies (see Simple averaging, 173 Calendar anomalies) Simple extrapolation technique, Time-series techniques, 81-84, 171-173 173-175 Size effect, 27,40,41,159-l91 Trading, 2,13-14,73 Bayesian vector time-series (See also Long-short equity models, 179-182 investing) calendar effects, and, 166-168 Trading-time hypothesis, 15211 default spread, and, 40 Traditional active management, foreign exchange rates, and, 39 44,229,371 other return effects, and, Transfer functions, 175,176 164-166 Trends in analysts' earnings risk measurement, and, 161-163 estimates, 37,38,57,112 risk premiums, and, 163,164 Turn-of-the-month effect, 140,141 simple extrapolation techniques, 2 percent curtain, 252,258 171-173 structural macroeconomic UBTI, 306,317,342343,366n models, 178 Underweighting, 284 time-series techniques, 173-175 Unified model, 235-246 transaction costs, and, 160,161 common evaluation framework, transfer functions, 175,176 240 vector time-series models, economies, 245,246 176-178 engineering bendunark Small-cap stocks, 23,26264,266, ' strategies, 242,243 268-272,274,276277,372374 flexibility, 243-245 Small-capitalization managers, market segmentation/ 230,235 integration, 236-238 Small-firm effect (see Size effect) performance measurement, 241, Spearman rank correlation, 224x1 Specialization, 236,237 Specification problem (see Predictor specification) Statistical arbitrage, 304 Stein-James estimators, 73 Structural macroeconomic models, 178 Style rotation, 263-282 S W , 89n Survivorship bias, 60,165 Swaps, 373-376 Tax-loss measures, 38,39,112,137, 138,167,168 242 Univariate forecasting techniques, 40,110 Unrelated business taxable income (UBTI), 306,317,342343, 366n
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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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~~~ ~ ~~ 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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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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308 Expanding Opportunities FIGURE
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310 Expanding oppo~ties -and- . 199
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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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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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Page 403 and 404: 382 Name Index Clarke, Roger G., 25
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