Security Market Imperfections in World Wide Equity Markets

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Security Market Imperfections in World Wide Equity Markets

By: Donald Keim

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Product code: 12388
ISBN: 0521571383
560 pages
Format: Hb
Published by: Cambridge University Press, 2000, 1st edition

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Security Market Imperfections in World Wide Equity Markets - front page cover image

Description of Security Market Imperfections in World Wide Equity Markets

The study of security market imperfections, namely the predictability of equity stock returns, is one of the fundamental research areas in financial modelling. These anomalies, which are not consistent with existing theories, concern the relation between stock returns and variables, such as firm size and earnings-to-price ratios, and seasonal effects, such as January and turn-of-the-month. This book provides the most complete and current account of work in the area.
Leading academics and investment researchers have combined to produce a comprehensive coverage of the subject, including both cross-sectional and time series analyses, as well as discussing the measurement of risk and prediction models that have been used by institutional investors. The studies cover many worldwide markets including the US, Japan, Asia, and Europe. The book will be invaluable for courses in financial engineering, investment and portfolio management, and as a reference for investment professionals seeking an up-to-date source on return predictability.

Security Market Imperfections in World Wide Equity Markets - Chapter headings

1. Introduction
Part I. An Overview of Cross-Sectional Patterns in Stock Returns
2. The cross-section of common stock returns
3. Beta and book to market
4. The psychology of over-reaction and under-reaction in world equity markets
5. A view of the current status of the size anomaly
6. The demise of size Elroy Dimson and Paul Marsh
7. Direct evidence of 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. Is there still a January effect?
9. Anticipation in the January effect in the US futures markets 10. How does Clinton stand up to history? US investment returns and presidential party affiliations
11. A long term examination of the turn-of-the-month effect in the S&P500
12. The closed-end fund puzzle Carolina Minio-Paluello
13. Stock splits and ex-date returns for Nasdaq stocks: the effects of investor trading and bid-ask spreads
Part III. International Evidence
14. Canadian security market anomalies
15. Seasonal anomalies in the Italian stock market
16. Efficiency and anomalies in the Turkish stock market
17. Efficiency and anomalies in the Finnish stock market
18. Characteristics-based premia in emerging markets: sector-neutrality, cycles, and cross-market correlations
19. Anomalies in Asian emerging stock markets
20. Japanese security market regularities,
21. Predicting returns on the Tokyo Stock Exchange
22. High stock returns before holidays: international evidence and additional tests.