著者紹介

内容

目次

Contributors; Preface William T. Ziemba; 1. Security marketimperfections: an overview Donald B. Keim and William T. Ziemba; Part I. AnOverview of Cross-Sectional Patterns in Stock Returns: 2. The cross-sectionof common stock returns: a review of the evidence and some new findingsGabriel Hawawini and Donald B. Keim; 3. Beta and book to market: is the glasshalf full or half empty? S. P. Kothari and Jay Shanken; 4. The psychology ofover-reaction and under-reaction in world equity markets Werner F. M.DeBondt; 5. A view of the current status of the size anomaly Jonathan B.Berk; 6. The demise of size Elroy Dimson and Paul Marsh; 7. Direct evidenceof non-trading of NYSE and AMEX stocks Stephen R. Foerster and Donald B.Keim; Part II. Seasonal Patterns in Stock Returns and Other Puzzles: 8. Isthere still a January effect? Donald G. Booth and Donald B. Keim; 9.Anticipation in the January effect in the US futures markets Chris R. Henseland William T. Ziemba; 10. How does Clinton stand up to history? USinvestment returns and presidential party affiliations Chris R. Hensel andWilliam T. Ziemba; 11. A long term examination of the turn-of-the-montheffect in the S&P500 Chris R. Hensel, Gordon A. Sick and William T. Ziemba;12. The closed-end fund puzzle Carolina Minio-Paluello; 13. Stock splits andex-date returns for Nasdaq stocks: the effects of investor trading andbid-ask spreads Mark Grinblatt and Donald B. Keim; Part III. InternationalEvidence: 14. Canadian security market anomalies George Athanassakos andStephen Foerster; 15. Seasonal anomalies in the Italian stock market,1973-1993 Elio Canestrelli and William T. Ziemba; 16. Efficiency andanomalies in the Turkish stock market Gulnur Muradoglu; 17. Efficiency andanomalies in the Finnish stock market Teppo Martikainen; 18.Characteristics-based premia in emerging markets: sector-neutrality, cycles,and cross-market correlations Sandeep A. Patel; 19. Anomalies in Asianemerging stock markets Seng-Kee Koh and Kie Ann Wong; 20. Japanese securitymarket regularities, 1990-1994 Luis R. Comolli and William T. Ziemba; 21.Predicting returns on the Tokyo Stock Exchange Sandra L. Schwartz and WilliamT. Ziemba; 22. High stock returns before holidays: international evidence andadditional tests Alonso Cervera and Donald B. Keim.