The Intricate Relation Between Return, Market Value and Past Performance of Common Stocks in the United States 1926-2006
The Intricate Relation Between Return, Market Value and Past Performance of Common Stocks in the United States 1926-2006

Author: Glenn N. Pettengill

Publisher:

Published: 2017

Total Pages:

ISBN-13:

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We study the interrelation between the size and winner-loser effects in U.S. stock returns. We use data for the period 1926-2006. The two effects are robust -- also in data gathered after 1980. Small-firm loser portfolios perform particularly well in January but poorly during the 4th quarter of the year. Large-firm winner portfolios do the exact opposite. Surprisingly, small-firm loser portfolios earn high (time-series average) mean returns but low (time-series average) median returns. This observation may be of great consequence for the risk and return characteristics of small-cap and value-based investment strategies.

The Relation Between Market Value, Past Performance and Extreme Returns of Common Stocks in the United States, 1926-2017
The Relation Between Market Value, Past Performance and Extreme Returns of Common Stocks in the United States, 1926-2017

Author: Werner F.M. DeBondt

Publisher:

Published: 2018

Total Pages: 33

ISBN-13:

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We study the interrelation between the size and winner-loser effects in U.S. stock re-turns, including their response to extreme returns. We find that size effect and winner-loser effect are present in data up to 2017. These are related but separate effects. How-ever these effects are due to presence of a small number of extreme return observations in the sample. The size effect and winner-loser effects are non-existent after ex-treme returns are removed from the sample. Our results question the existence of size and winner-loser anomalies in the market efficiency literature.

Dividends and Dividend Policy
Dividends and Dividend Policy

Author: H. Kent Baker

Publisher: John Wiley & Sons

Published: 2009-05-04

Total Pages: 552

ISBN-13: 0470455802

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Dividends And Dividend Policy As part of the Robert W. Kolb Series in Finance, Dividends and Dividend Policy aims to be the essential guide to dividends and their impact on shareholder value. Issues concerning dividends and dividend policy have always posed challenges to both academics and professionals. While all the pieces to the dividend puzzle may not be in place yet, the information found here can help you gain a firm understanding of this dynamic discipline. Comprising twenty-eight chapters—contributed by both top academics and financial experts in the field—this well-rounded resource discusses everything from corporate dividend decisions to the role behavioral finance plays in dividend policy. Along the way, you'll gain valuable insights into the history, trends, and determinants of dividends and dividend policy, and discover the different approaches firms are taking when it comes to dividends. Whether you're a seasoned financial professional or just beginning your journey in the world of finance, having a firm understanding of the issues surrounding dividends and dividend policy is now more important than ever. With this book as your guide, you'll be prepared to make the most informed dividend-related decisions possible—even in the most challenging economic conditions. The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals.

Emerging Financial Markets
Emerging Financial Markets

Author: R. Nandagopal

Publisher: Excel Books India

Published: 2007

Total Pages: 316

ISBN-13: 9788174465832

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Emerging Financial Markets' is organized into three sections namely; *) Financial Markets & Instruments, *) Behavioural Finance , *) Banking . The areas covered are Private Banking, Banking, Mutual Funds, Capital Markets, Fixed Income Securities, Behavioral Finance, Insurance, Derivatives and Risk Management. The topics covered will be of use to researchers, managers and consultants. This book will contribute significantly towards the knowledge base and research.

The Current State of Quantitative Equity Investing
The Current State of Quantitative Equity Investing

Author: Ying L. Becker

Publisher: CFA Institute Research Foundation

Published: 2018-05-10

Total Pages: 75

ISBN-13: 1944960457

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Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.

The Equity Risk Premium
The Equity Risk Premium

Author: William N. Goetzmann

Publisher: Oxford University Press

Published: 2006-11-16

Total Pages: 568

ISBN-13: 0199881979

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What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.

The Efficient Market Theory and Evidence
The Efficient Market Theory and Evidence

Author: Andrew Ang

Publisher: Now Publishers Inc

Published: 2011

Total Pages: 99

ISBN-13: 1601984685

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The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.

A History of the Theory of Investments
A History of the Theory of Investments

Author: Mark Rubinstein

Publisher: John Wiley & Sons

Published: 2011-09-02

Total Pages: 393

ISBN-13: 1118161092

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"This exceptional book provides valuable insights into the evolution of financial economics from the perspective of a major player." -- Robert Litzenberger, Hopkinson Professor Emeritus of Investment Banking, Univ. of Pennsylvania; and retired partner, Goldman Sachs A History of the Theory of Investments is about ideas -- where they come from, how they evolve, and why they are instrumental in preparing the future for new ideas. Author Mark Rubinstein writes history by rewriting history. In unearthing long-forgotten books and journals, he corrects past oversights to assign credit where credit is due and assembles a remarkable history that is unquestionable in its accuracy and unprecedented in its power. Exploring key turning points in the development of investment theory, through the critical prism of award-winning investment theory and asset pricing expert Mark Rubinstein, this groundbreaking resource follows the chronological development of investment theory over centuries, exploring the inner workings of great theoretical breakthroughs while pointing out contributions made by often unsung contributors to some of investment's most influential ideas and models.

Applied Corporate Finance
Applied Corporate Finance

Author: Aswath Damodaran

Publisher: John Wiley & Sons

Published: 2014-10-27

Total Pages: 663

ISBN-13: 1118808932

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Aswath Damodaran, distinguished author, Professor of Finance, and David Margolis, Teaching Fellow at the NYU Stern School of Business, has delivered the newest edition of Applied Corporate Finance. This readable text provides the practical advice students and practitioners need rather than a sole concentration on debate theory, assumptions, or models. Like no other text of its kind, Applied Corporate Finance, 4th Edition applies corporate finance to real companies. It now contains six real-world core companies to study and follow. Business decisions are classified for students into three groups: investment, financing, and dividend decisions.