McGraw-Hill

viii
Contents
Chapter 2
Disentangling Equity Return Regularities: New Insights and
Investment Opportunities 47
Previous Research 48
Return Regularities We Consider 55
Methodology 59
The Results on Return Regularities 61
P/E and Size Eflects 62
Yield, Neglect, Price, and Risk 65
Trends and Reversals 67
Some Implications 72
January versus Rest-of-Year Returns 73
Autocorrelation of Return Regularities 77
Return Regularities and Their Macroeconomic Linkages .81
Conclusion 85
Chapter 3
On the Value of 'Value' 103
Value and Equity Attributes 104
Market Psychology, Value, and Equity Attributes 105
The Importance of Equity Attributes 108
'Examining the DDM 110
Methodology 110
Stability of Equity Attributes 113
Expected Returns 114
Nafve Expected Returns 116
Pure Expected Returns 117
Actual Returns 118
Power of the DDM 120
Power of Equity Attributes 120
Forecasting DDM Returns 121
Conclusion 123