Stock market anomaliesAuthor: Dimson, Elroy Publisher: Cambridge University Press (CUP) 1988.Language: EnglishDescription: 295 p. ; 24 cm.ISBN: 0521341043Type of document: BookBibliography/Index: Includes bibliographical references
|Item type||Current location||Collection||Call number||Status||Date due||Barcode||Item holds|
|Europe Campus Main Collection||
HG4551 .S86 1988
Includes bibliographical references
Stock Market Anomalies Contents List of contributors Foreword Richard Stapleton page vii xiii I Stock market anomalies: an overview 1 Introduction John Bowers and Elroy Dimson 2 Stock market regularities: a synthesis of the evidence and explanations Donald B. Keim 3 16 II Seasonalities in daily returns 3 Weekend effects in stock market returns: an overview Maurice Levi 43 4 Weekend effects in stock market returns: international evidence L. Condoyanni, J. O'Hanlon and C.W.R. Ward 52 5 Weekly variation in the Federal funds market: the weekend game and other effects Anthony Saunders'and Thomas Urich 64 6 Daily seasonals in equity and fixed-interest returns: Australian evidence and tests of plausible hypotheses Ray Ball and John Bowers 74 7 Intra-day stock return patterns Lawrence Harris 91 8 Evidence on intra-month seasonality in stock returns Robert A: Ariel 109 vi Contents III The small firm, turn-of-the-year and other anomalies 9 Comments on stock return seasonality George M. Constantinides 10 Stock return seasonality and the tests of asset pricing models: Canadian evidence 123 Seha M. Tinic and Giovanni Barone-Adesi 11 Two tests of the tax-loss selling hypothesis 129 Willem Max van den Bergh, Roberto E. Wessels and Roel T. Wijmenga 12 Size related anomalies and trading activity of UK institutional investors 147 Mario Levis 13 Discussion of 'Size related anomalies and trading activity of UK institutional investors' 155 Theo Vermaelen 14 Equilibrium asset pricing models and the firm size effect 176 179 Nai-fu Chen 15 The pricing of equity on the London Stock Exchange: seasonality and size premium Albert Corhay, Gabriel Hawawini and Pierre Michel 197 IV The impact of stock market regularities on empirical research 16 The size effect and event studies: a discussion Josef Lakonishok 17 The impact of the small firm effect on event studies 215 220 Elroy Dimson and Paul Marsh 18 Performance measurement and performance attribution in less than efficient markets: a case study Stan Beckers 19 A comparison of single and multifactor portfolio performance methodologies 240 Nai-fu Chen, Thomas E. Copeland and David Mayers 20 Divergence of earnings expectations: the effect on stock market response to earnings signals 254 Dan Givoly and Josef Lakonishok Index 272 290
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