McGraw-Hill

More documents

Recommendations

Info

Disentangling Equity Rehun Regularities 53 B 0 X 2-1 Concluded PRICEEARNINGS RATIO AND NEGLECT Dowen, R. and S. Bauman. 1984. “A test of the relative importance of popularity and price-eamings ratio in determining abnormal returns.” Journal ofthe Midwest Finance Association 13 (1): 34-47. YIELD AND LOW PRICE Elton, E., M. Gruber, and J. Rentzler. 1981. “A simple examination of the empirical relationship between dividend yields and deviations from the CAPM.” New York University Working Paper #240, August. DAY OF THE WEEK AND TIME OF THE DAY Harris, L. 1986a. “A transaction data study of weekly and intradaily patterns in stock returns.“ Journal of Financial Economics 16 (1): 99-117. .1986&.”How to profit from intradaily stock returns.” Journal of Portfolio Management 12 (2): 61-64. Smirlock, M. and L. Starks. 1986. ”Day-of-the-week and intraday effects in stock returns.” Journal of Financial Economics 17 (1): 197-210. EARNINGS SURPRISE AND TRENDS IN ANALYSTS’ EARNINGS ESTIMATES Amott, R. 1985. “The use and misuse of consensus earnings.” Journal of Portfolio Management 11 (3): 18-27. Benesh, G. and P. Peterson. 1986. “On the relation between earnings changes, analysts’ forecasts and stock price fluctuations.” Financial Analysts Journal 42 (6): 29-39. RESIDUAL RISK AND JANUARY Gultekin, M. and B. Gultekin. 1987. ”Stock returns and the tests of the AFT.” Journal ofFinance 42 (5): 1213-1224. Tinic, S. and R. West. 1986. ’’Risk, return and equilibrium: A revisit.” Journal ofPolitical Economy 94 (1): 126-147.
54 selecting securities In addition to studies of equity return interrelationships in the U.S. stock market, a small but growing body of literature has considered foreign stock market anomaly interrelationships? International studies are especially useful for gaining perspective on the January/size connection, because tax laws (hence optimal trading strategies) vary widely across counties. Some major multifactor studies of the U.S. equity market consider multiple factors (such as industry affiliation or financial 'leverage) that have strong cross-sectional explanatory power for returns within a month! Some of.these factors may also be anomalous in that they have provided accumulating payoffs over time. The first of these models, developed by BARRA over a decade 'ago, is widely used in the investment community [see Rosenberg and Marathe (1976) and Rudd and Clasing (1982)]? Two other multifactor models by Sharpe (1982) and Reid (1982) study a much longer time span, but lack data on accountingbased factors such as P/E.6 We present a comprehensive analysis of equity return regularities in the spirit of these multifactor studies. Because our analysis is based on monthly returns, we do not consider "faster" time-related anomalies, such as time-of-the-day, day-of-the-week, and week-of-the-month effects, despite evidence of their interrelationships with anomalies we do consider [see Jacobs and Levy (1988 and l989)]. Prior research has indicated, for example, that: (1) much of the size effect occurs on Fridays [Keim (19891, (2) much of the size effect occurs in first the few trading days of January [Keim (1983a) and Roll (1983b)], and (3) time-of-day and day-of-the-week effects interact [Hams (1986a and 1986b) and Smirlock and Starks (1986)l. Some recent emphjcal work'ties several seemingly unrelated anomalies to the human disposition to delay announcing bad news [Penman (19891. This tendency may partially account for three anomalies: 1. The day-of-the-week effect may relate to management's disposition to delay reporting bad news until after the market closes, especially over the weekend. This bunching of negative news would help explain weak Friday-to- Monday returns.
Page 2 and 3:
EQUITY MANAGEMENT.
Page 4 and 5:
EQUITY MANAGEMENT Quantitative Anal
Page 6 and 7:
To Ilene, Lauren, Julie, Sam, and E
Page 8 and 9:
CONTENTS Foreword by Harry M. Marko
Page 10 and 11:
Contents ix Chapter 4 Calendar Anom
Page 12 and 13:
Contents xi Implications 272 High-D
Page 14 and 15:
FOREWORD by Harry M. Markowitz, Nob
Page 16 and 17:
Foreword xv In practice, of course,
Page 18 and 19:
Foreword xvii that an RDM would con
Page 20 and 21:
xix
Page 22 and 23:
INTRODUCTION Life on the Leading Ed
Page 24 and 25: Life on the Leading Edge 3 tion abo
Page 26 and 27: Life on the Leading Edge 5 clude th
Page 28 and 29: Life on the Edge Leading 7 stocks t
Page 30 and 31: Life on the Leading Edge 9 . Quanti
Page 32 and 33: Life on the Leading Edge 11 By the
Page 34 and 35: Life on the Leading Edge 13 ple, st
Page 36 and 37: Life on the Leading Edge 15 find be
Page 38 and 39: Life on the Leading Edge 17 equal t
Page 40 and 41: P A R T ONE Selecting Securities A
Page 42 and 43: Selectine Securities 21 stocks. Suc
Page 44 and 45: selecting secunties 23 unmoved by s
Page 46 and 47: CHAPTER 1 The Complexity of the Sto
Page 48 and 49: The Complexity of the Stock Market
Page 52 and 53: The Complexity of the St& Market 31
Page 58 and 59: The Complexity of the St& Market 37
Page 60 and 61: The of the Complexity Stock Market
Page 64 and 65: The Comdexitv of the Stock Market 4
Page 68 and 69: V 7
Page 70 and 71: Disentangling Equity Return Regular
Page 72 and 73: Disentangling Equity Rehun Regulari
Page 85 and 86: 64 selecting securities aged 59 bas
Page 87 and 88: 66 selecting Securities FIGURE 2-2
Page 89 and 90: 68 selecting securities FIGURE 2-3
Page 91 and 92: 70 selecting securities tic of 17.8
Page 93 and 94: 72 selecting securities Some Implic
Page 95 and 96: 74 selecting securities Table 2-2 d
Page 100: I l
Page 103 and 104: 82 Seleaine Securities these time-s
Page 105 and 106: 84 selecting securities of 9.7. The
Page 107 and 108: 86 selecting securities 2. There ar
Page 109 and 110: and deferring gains [as per Constan
Page 111 and 112: 90 selecting securities 35. For exa
Page 113 and 114: 92 selecting securities 49. Before
Page 115 and 116: 94 selecting securities Ball, R. 19
Page 117 and 118: 96 selecting securities Iowa, Ames.
Page 119 and 120: 98 Seleaine securities James, W. an
Page 121 and 122: 100 selecting securities Nicholson,
Page 123 and 124: 102 selecting securities Tinic, S.
Page 125 and 126:
104 selecting securities VALUE AND
Page 127 and 128:
106 selecting securities Street Jou
Page 129 and 130:
108 Selectine Securities This is no
Page 131 and 132:
110 selecting securities plaining s
Page 133 and 134:
112
Page 135 and 136:
114 selecting securities transient
Page 137 and 138:
116 selecting securities Na'ive Exp
Page 139 and 140:
118 selecting securities (1988c)l.
Page 141 and 142:
l20 selecting securities average of
Page 143 and 144:
122 selecting securities FIGURE 3-1
Page 145 and 146:
124 selecting securities We have de
Page 147 and 148:
126 selecting securities movements
Page 149 and 150:
l28 selecting securities 34. Pensio
Page 151 and 152:
130 selecting securities Einhom, S.
Page 153 and 154:
132 Selectine securities Poterba, J
Page 155 and 156:
This Page Intentionally Left Blank
Page 157 and 158:
136 selecting securities The availa
Page 159 and 160:
138 selecting securities subsequent
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,
Page 179 and 180:
Page 181 and 182:
160 selecting securities that betwe
Page 183 and 184:
162 selecting securities Handa, Kot
Page 185 and 186:
164 selecting securities risk does
Page 187 and 188:
166 selecting securities returns ac
Page 189 and 190:
168 selecting securities ket return
Page 191 and 192:
~ more 170 Selectine securities tiv
Page 193 and 194:
h h h h W v ) 000000 m N m w r "80q
Page 195 and 196:
~~~ ~ ~~ 174 selecting securities A
Page 197 and 198:
176 selecting securities hibit feed
Page 199 and 200:
178 Seledine securities multivariat
Page 201 and 202:
-2 1982 1983 1984 1985 1986 1987 18
Page 203 and 204:
182 selecting securities rate produ
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.
Page 213 and 214:
Page 215 and 216:
194 Selectine Securities modeling p
Page 217 and 218:
196 selecting securities surement e
Page 220:
Earnings Estimates, Predictor Speaf
Page 224 and 225:
Earnings Estimates, Predictor Speci
Page 226 and 227:
Page 228 and 229:
Page 230 and 231:
Page 232 and 233:
0 a I "F c2 . 2 0
Page 234:
Page 237 and 238:
216 selecting securities The Return
Page 239 and 240:
U) J U) C Q) U) C S r jo-0 eke I C
Page 241 and 242:
?68% $1-0 I 220
Page 243 and 244:
222 Seleaine Securitiff ings data f
Page 245 and 246:
224 selecting securities 4. The dif
Page 247 and 248:
226 selecting securities 20. Note t
Page 249 and 250:
Page 251 and 252:
230 Managing Portfolios have concen
Page 253 and 254:
232 Managing Portfolios portfolios.
Page 255 and 256:
234 Manaeine Portfolios of investme
Page 257 and 258:
236 Managing Portfolios There is, n
Page 259 and 260:
238 Managing Portfolios bound to ig
Page 261 and 262:
240 Managing Portfolios expected to
Page 263 and 264:
242 Managing Portfolios mance attri
Page 265 and 266:
244 Managing Portfolios those inves
Page 267 and 268:
246 Managing Portfolios vide a bigg
Page 269 and 270:
248 Managing Portfolios If the firm
Page 271 and 272:
250 Managing Portfolios REFERENCE J
Page 273 and 274:
252 Managing Portfolios This invest
Page 275 and 276:
254 Managing Portfolios FIGURE S-l
Page 277 and 278:
256 Managing Portfolios manager‘s
Page 279 and 280:
258 Managing Portfolios FIGURE S 4
Page 281 and 282:
260 Managing Portfolios Imposition
Page 283 and 284:
Page 285 and 286:
264 Managing Portfolios Recent stud
Page 288 and 289:
High-Definition Style Rotation 267
Page 290 and 291:
0 N
Page 293 and 294:
272 Managing Portfolios TABLE 10-2
Page 295 and 296:
274 Managing Portfolios ing pure re
Page 297 and 298:
276 Managing Portfolios HIGH-DEFINI
Page 299 and 300:
278 Managing Portfolios - FIGURE 10
Page 301 and 302:
280 Managing Portfolios FIGURE 10-S
Page 303 and 304:
282 Managing Portfolios REFERENCES
Page 305 and 306:
284 Expanding Opportunities and “
Page 307 and 308:
286 Expanding Opportunities such as
Page 309 and 310:
Page 311 and 312:
290 ExpandingOpprtunities vided sho
Page 313 and 314:
292 Expandingoppo~ties F I G U R E
Page 315 and 316:
294 Expanding Opportunities F I G U
Page 317 and 318:
2% ExpandingOpportunities FIGURE 11
Page 319 and 320:
298 Expanding Opportunities Typical
Page 321 and 322:
300 Expandingopportunities F I G U
Page 323 and 324:
302 Expanding Opportunities news st
Page 325 and 326:
304 ExpandingOpportunities dinate l
Page 327 and 328:
306 ExpandingOpportunities Also, ma
Page 329 and 330:
308 Expanding Opportunities FIGURE
Page 331 and 332:
310 Expanding oppo~ties -and- . 199
Page 333 and 334:
312 ExpandingOpportunities applied
Page 335 and 336:
314 Expanding Opportunities A secur
Page 337 and 338:
316 ExpandingOpportunities in 1987,
Page 339 and 340:
318 Expanding Opportunities the $4.
Page 341 and 342:
320 Expanding Opportunities portfol
Page 343 and 344:
322 Expanding Opportunities managem
Page 345 and 346:
324 Expanding Opportunities The sec
Page 347 and 348:
326 Expanding Opportunities Overall
Page 349 and 350:
328 Expanding Opportunities risen o
Page 351 and 352:
330 Expanding Opportunities lio and
Page 353 and 354:
332 Expanding Opportunities FIGURE
Page 355 and 356:
334 Expanding Opportunities , use o
Page 358:
The Long and Short on Long-Short 33
Page 361 and 362:
340
Page 363 and 364:
Uptick rules can delay, or in some
Page 365 and 366:
344 Expanding Opportunities expecte
Page 367 and 368:
Nonsymmetrical distributions of sec
Page 369 and 370:
11. We assume a futures margin of 4
Page 371 and 372:
350 Expanding Opportunities see, lo
Page 373 and 374:
352 Expanding Opportunities case, t
Page 375 and 376:
Trading Costs Some other costs of l
Page 377 and 378:
356 Expanding Opportunities We use
Page 379 and 380:
358 Expanding The optimal portfolio
Page 381 and 382:
360 Expanding Opportunities N H = C
Page 383 and 384:
362 Expanding Opportunities . Consi
Page 385 and 386:
364 Expanding Opportunities mark se
Page 387 and 388:
366 Expanding Opportunities not be
Page 389 and 390:
Page 391 and 392:
370 Expanding Opportunities securit
Page 393 and 394:
372 Expanding Opportunities maximiz
Page 395 and 396:
374 ExpandingOpportunities uity ret
Page 397 and 398:
376 Expanding Opportunities may be
Page 399 and 400:
378 Expanding Opportunities from se
Page 401 and 402:
hance good performance, but they ca
Page 403 and 404:
382 Name Index Clarke, Roger G., 25
Page 405 and 406:
384 Name Index Levis, M., 174,175,1
Page 407 and 408:
386 Name Index Swanson, H., 183,188
Page 409 and 410:
388 Subject Index Disentangling equ
Page 411 and 412:
390 Subied Index MAE, 170,182 Marke
Page 413 and 414:
392 Subiect Jndex Security analysis
Page 415 and 416:
show all

McGraw-Hill

Create successful ePaper yourself

Delete template?

Save as template?