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.Stock. Returns. after. Presidential. Elections. This analysis is based on monthly return data for the 70-year period from January 1928 to December 1997. ... Since March 1957, the Index has consisted of 500 large stocks weighted by market value (price times number of shares ... 4.00 -4.00 DSaamp;PBSrrdlCcp Ncverrtw Jcnudry May JJy Septerrber NcvAlrrCer Figure How does Clinton Stand up to History 205.
|Title||:||Security Market Imperfections in Worldwide Equity Markets|
|Author||:||Donald B. Keim, William T. Ziemba|
|Publisher||:||Cambridge University Press - 2000-03-13|