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Preface | p. xi |
Acknowledgments | p. xvii |
Conceptual Foundations of Capital Market Anomalies | p. 1 |
Efficient Markets | p. 2 |
Identifying Anomalies in Capital Markets | p. 3 |
Explaining Anomalies | p. 5 |
Anomalies: Weighing the Evidence | p. 10 |
Appendix 1.1: Risk and Expected-Return Models | p. 10 |
References | p. 17 |
The Accrual Anomaly | p. 23 |
What Are Accruals? | p. 24 |
Sloan (1996) in a Nutshell | p. 32 |
Extensions of Sloan (1996) | p. 38 |
Alternative Explanations for the Accrual Anomaly | p. 45 |
Practical Implications | p. 51 |
Appendix 2.1: Estimation and Testing Framework Used in Sloan (1996) | p. 52 |
Appendix 2.2: Details on the Broader Definition of Accruals | p. 54 |
References | p. 59 |
The Analyst Recommendation and Earnings Forecast Anomaly | p. 63 |
Role of Research Analysts | p. 63 |
Investment Recommendations | p. 64 |
Earnings Forecast Revisions | p. 73 |
Determinants of Forecast Revisions | p. 76 |
International Evidence | p. 78 |
Overview of the Investment Performance of Forecast Revisions | p. 79 |
Appendix 3-1: Details of Returns to recommendation Strategies | p. 79 |
References | p. 87 |
Post-Earnings Announcement Drift and related anomalies | p. 91 |
The Basics of the anomaly | p. 92 |
Measuring earnings surprises | p. 99 |
Sources of Post-earnings announcement drift | p. 102 |
Extentions | p. 106 |
Institutional Investors | p. 108 |
Individual Investors | p. 110 |
References | p. 112 |
Fundamental Data Anomalies | p. 117 |
Fundamental Metrics | p. 118 |
Distress Risk | p. 122 |
Capital Investment and Growth Anomalies | p. 123 |
International Evidence | p. 125 |
Conclusion | p. 126 |
References | p. 126 |
Net Stock Anomalies | p. 129 |
Initial Public Offerings | p. 130 |
Seasoned Equity Offerings | p. 132 |
Debt Issuances | p. 133 |
Share Repurchases and Tender Offers | p. 134 |
Dividend Initiation and Omissions | p. 136 |
Private Equity Placement | p. 138 |
Overall Net External Financing | p. 138 |
Mergers and Acquisitions | p. 141 |
International Evidence | p. 142 |
Other Explanations for the Abnormal Returns | p. 143 |
References | p. 144 |
The Insider Trading Anomaly | p. 147 |
Overview of Insider Filings | p. 148 |
Documentation of the Anomaly | p. 148 |
Results for the 1978-2005 Period | p. 150 |
How Consistent Is the Anomaly Year by Year? | p. 152 |
When Are Returns Generated during the 1-Year Holding Periods? | p. 154 |
Returns in Small Cap versus Large Cap | p. 155 |
Does It Work on the Short Side? | p. 156 |
Do Returns Vary by Industry? | p. 160 |
Institutional Investors | p. 162 |
Individual Investors | p. 162 |
Relation to other Anomalies | p. 163 |
International Evidence | p. 164 |
Can Insider Data -Predict-SSP 500 Returns? | p. 165 |
Latest Developments | p. 166 |
Long/Short Strategy for Institutional Investors | p. 167 |
References | p. 170 |
Momentum, The Technical Analysis Anomaly | p. 173 |
History of Technical Analysis and Momentum | p. 176 |
Assessing Momentum and Reversal in Stock Prices | p. 178 |
Early Influential Work on Momentum and Reversals | p. 179 |
Improving Upon Momentum Strategies | p. 184 |
Moving Averages | p. 186 |
52-Week High/Low | p. 187 |
Momentum at Industry Levels | p. 188 |
Momentum and Mutual Funds | p. 189 |
Is Technical Analysis Profitable? | p. 190 |
Institutional Investors | p. 193 |
Explanations for Momentum and Reversals | p. 195 |
International Evidence | p. 198 |
References | p. 200 |
Seasonal Anomalies | p. 205 |
January Effect | p. 206 |
The January Barometer | p. 213 |
Sell-in-May-and-Go-Away | p. 221 |
Holiday Effects | p. 226 |
Day-of-the-Week Effects | p. 231 |
Seasonality Calendars | p. 234 |
Political Effects | p. 237 |
Turn-of-the-Month Effects | p. 248 |
Open/Close Daily Trade on the Open | p. 254 |
Weather: Sun, Rain, Snow, Moon, and the Stars | p. 255 |
Conclusions and Final Remarks | p. 256 |
References | p. 256 |
Size and Value Anomalies | p. 265 |
The Early Days | p. 265 |
Fama-French Three-Factor Model | p. 266 |
Value Anomaly: Risk or Mispricing? | p. 267 |
Alternative Value Indicators | p. 269 |
Time Variation in the Value Premium | p. 270 |
Cross-Sectional Variation in the Value Premium | p. 273 |
Anatomy of the Size Anomaly | p. 275 |
International Evidence | p. 278 |
Value Premium: Evidence from Alternative Asset Classes | p. 279 |
References | p. 281 |
Anomaly-Based Processes for the Individual Investor | p. 285 |
Increasing Returns Using Market Neutral | p. 286 |
Using ETFs to Add a Market Neutral Asset to a Portfolio | p. 291 |
Using Stock Scoring Systems to Outperform Indexes | p. 292 |
Implementation of Anomaly-Based Quant Processes | p. 296 |
End of the Tour | p. 305 |
References | p. 305 |
Use of Anormaly Research by Professiona Investors | p. 307 |
From Academia to Wall Street | p. 307 |
Statistical Arbitrage | p. 308 |
High-Frequency Trading | p. 309 |
Multifactor Models | p. 309 |
Assets in Market Neutral Portfolios | p. 310 |
Assets in Long Portfolios | p. 311 |
United States versus International | p. 313 |
References | p. 314 |
About the Contributors | p. 317 |
Index | p. 323 |
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