Security Market Imperfections in Worldwide Equity Markets

Security Market Imperfections in Worldwide Equity Markets
Author: Donald B. Keim
Publisher: Cambridge University Press
Total Pages: 576
Release: 2000-03-13
Genre: Business & Economics
ISBN: 9780521571388

Download Security Market Imperfections in Worldwide Equity Markets Book in PDF, Epub and Kindle

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.

The Internationalization of Equity Markets

The Internationalization of Equity Markets
Author: Jeffrey A. Frankel
Publisher:
Total Pages: 36
Release: 2010
Genre:
ISBN:

Download The Internationalization of Equity Markets Book in PDF, Epub and Kindle

This introduction to a forthcoming NBER volume on 'The Internationalization of Equity Markets' argues that the existing finance literature has in some respects not kept pace with world trends. Most empirical studies fail to take due account of the diversity of assets offered by countries around the world, the diversity of locales in which investors live, and the diversity of institutional peculiarities that characterize the markets in which assets and investors are brought together. Four of the papers in the volume are econometric studies of asset pricing and home-country bias in internationally integrated equity markets. The other four examine such issues as emerging markets, country funds, trading volume, location, taxes, controls, and other imperfections in international markets.

Regulating Competition in Stock Markets

Regulating Competition in Stock Markets
Author: Lawrence R. Klein
Publisher: John Wiley & Sons
Total Pages: 403
Release: 2012-04-25
Genre: Business & Economics
ISBN: 1118236866

Download Regulating Competition in Stock Markets Book in PDF, Epub and Kindle

A guide to curbing monopoly power in stock markets Engaging and informative, Regulating Competition in Stock Markets skillfully analyzes the impact of the recent global financial crisis on health and happiness, and uses this opportunity to put regulatory systems in perspective. Happiness is lost because of emotional and physical health deterioration resulting from the crisis. Therefore, the authors conclude that financial crisis prevention should be the focus of public policy. This book is the most comprehensive study so far on potential risks to the stock market, especially various forms of market manipulation that lead to mania and eventual crisis. Based on litigation cases from international stock markets, and borrowing multidisciplinary findings in the fields of finance, economics, accounting, media studies, criminology, legal studies, psychology, and medicine, this book is the first to provide thorough micro-level regulatory proposals rooted in financial reality. By focusing on securities trading, they apply antitrust measures to limiting monopolistic power that is used for the manipulation of investors' perception and monopolistic profit. These proposals are quantifiable, adjustable, inexpensive, and can be easily implemented by any securities regulating agency for real-time oversight and daily operations. The recommendations found here are intended to improve the fairness and transparency of the financial markets, thereby perfecting the market competition, protecting investors, stabilizing the market, and preventing crises Explores how avoiding crises can to contribute to a more scientific, health aware, and civilized economic and social development Written by a team of authors who have extensive experience in this dynamic field, including Nobel Laureate Lawrence R. Klein Since the founding of the first, organized stock exchange in Amsterdam 400 years ago, no systematic economic research results on stock markets have been implemented in stock market regulation around the world. Regulating Competition in Stock Markets aims to fill this void.

The Internationalization of Equity Markets

The Internationalization of Equity Markets
Author: Jeffrey A. Frankel
Publisher: University of Chicago Press
Total Pages: 428
Release: 2008-04-15
Genre: Business & Economics
ISBN: 0226260216

Download The Internationalization of Equity Markets Book in PDF, Epub and Kindle

This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.

Great Investment Ideas

Great Investment Ideas
Author: William T Ziemba
Publisher: World Scientific Publishing Company
Total Pages: 297
Release: 2016-09-08
Genre: Electronic books
ISBN: 9813144386

Download Great Investment Ideas Book in PDF, Epub and Kindle

Great Investment Ideas is a collection of articles published in the Journal of Portfolio Management from 1993 to 2015. The book contains useful ideas for investment management and trading and discusses the methods, results and evaluation of great investors. It also covers important topics such as the effect of errors in means, variances and co-variances in portfolio selection problems, stock market crashes and stock market anomalies, portfolio theory and practice, evaluation theory, etc. This book is a must-have publication for investors and financial experts, researchers and graduate students in finance.

Financial Market Bubbles and Crashes, Second Edition

Financial Market Bubbles and Crashes, Second Edition
Author: Harold L. Vogel
Publisher: Springer
Total Pages: 477
Release: 2018-08-16
Genre: Business & Economics
ISBN: 3319715283

Download Financial Market Bubbles and Crashes, Second Edition Book in PDF, Epub and Kindle

Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.

Calendar Anomalies and Arbitrage

Calendar Anomalies and Arbitrage
Author: W. T. Ziemba
Publisher: World Scientific
Total Pages: 607
Release: 2012
Genre: Business & Economics
ISBN: 9814405469

Download Calendar Anomalies and Arbitrage Book in PDF, Epub and Kindle

This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month, January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating on the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include the presidential election and factor models based on fundamental anomalies. The ideas have been used successfully by the author in personal and managed accounts and hedge funds.

Beyond the Random Walk

Beyond the Random Walk
Author: Vijay Singal
Publisher: Financial Management Association Survey and Synthesis Series
Total Pages: 369
Release: 2006
Genre: Business & Economics
ISBN: 0195304225

Download Beyond the Random Walk Book in PDF, Epub and Kindle

In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Singal points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. Here he discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit.