Contributor
Lo, Andrew W. (Andrew Wen-Chuan)
Imprint:Cheltenham, UK ; Lyme, NH : Edward Elgar Pub., c1997.
Description2 v. : illus. ; 25 cm.
Note:Vol. 1: - Noise / Fischer Black - Efficient capital markets: a review of theory and empirical work / Eugene F. Fama - On the efficiency of competitive stock markets where trades have diverse information / Sanford Grossman - On the impossibility of informationally efficient markets / Sanford J. Grossman, Joseph E. Stiglitz - Risk aversion and the Martingale property of stock prices / Stephen F. LeRoy - Asset prices in an exchange economy / Robert E. Lucas, Jr. - Proof that properly anticipated prices fluctuate randomly / Paul A. Samuelson - Stock prices: random vs. systematic changes / Paul H. Cootner - Some a posteriori probabilities in stock market action/ Alfred Cowles III, Herbert E. Jones - The bahvior of stock-market prices / Eugene F. Fama - Filter rules and stock-market trading / Eugene F. Fama, Marshall E. Blume - Permanent and temporary components of stock prices / Eugene F. Fama, Kenneth R. French - Stock return variances: the arrival of information and the reaction of traders / Kenneth R. French, Richard Roll - Evidence of predictable behavior of security returns / Narasimhan Jegadeesh - Mean reversion in stock prices? a reappraisal of the empirical evidence / Myung Jig Kim, Charles R. Nelson, Richard Startz - Long-term memory in stock market prices / Andrew W. Lo - Stock market prices do not follow random walks: evidence from a simple specification test / Andrew W. Lo, A. Craig McKinlay - Brownian motion in the stock market / M.F.M. Osborne - Mean reversion in stock prices: evidence and implications / James M. Poterba, Lawrence H. Summers - Temporary components of stock prices: a skeptic's view / Matthew Richardson.
Note:Vol. 2: - The dividend-price ratio and expectations of future dividends and discount factors / John Y. Campbell, Robert J. Shiller - Excess volatility in the financial markets: a reassessment of the empirical evidence / Marjorir A. Flavin - Econometric aspects of the variance-bounds test: a survey / Christian Gilles, Stephen F. LeRoy - The determinants of the variability of stock market prices / Sanford J. Grossman, Robert J. Shiller - Variance bounds tests and stock price valuation models / Allan W. Kleidon - The present-value relation: tests based on implied variance bounds / Stephen F. LeRoy, Richard D. Porter - Dividend variability and variance bounds test for the rationality of stock market prices / Terry A. Marsh, Robert C. Merton - On the current state of the stock market rationality hypothesis / Robert C. Merton - Variance bounds in a simple model of asset pricing / Ronald W. Michener - Do stock prices move too much to be justified by subsequent changes in dividends? / Robert J. Shiller - Dividend innovations and stock price volatility / Kenneth D. West - An empirical evaluation of accounting income numbers / Ray Ball, Philip Brown - Evidence that stock prices do not fully reflect the implications of current earnings for future earnings / Victor L. Bernard, Jacob K. Thomas - On the contrarian investment strategy / K.C. Chan - Measuring abnormal performance: do stocks overreact? / Navin Chopra, Josef Lakonishok, Jay R. Ritter - Does the stock market overreact? / Werner F.M. DeBondt, Richard Thaler - Fads, Martingales, and market efficiency / Bruce N. Lehmann - When are contrarian profits due to stock market overreaction? / Andrew W. Lo, A. Craig MacKinley - The relationship between return and market value of common stocks / Rolf W. Banz - Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis / S. Basu - Survivorship bias in performance studies / Stephen J. Brown, William Goetzmann, Roger G. Ibbotson, Stephen A. Ross - The Value Line enigma (1965-1978): a case study of performance evaluation issues / Thomas E. Copeland, David Mayers - Size-related anomalies and stock return seasonality: further empirical evidence / Donald B. Keim - Are seasonal anomalies real? A 90-year perspective / Josef Lakonishok, Seymour Smidt - Data-snooping biases in tests of financial asset pricing models / Andrew W. Lo, A. Craig MacKinley - Vas ist das? The turn-of-the-year effect and the return premia of small firms / Richard Roll - Orange juice and weather / Richard Roll - Persuasive evidence of market inefficiency / Barr Rosenberg, Kenneth Reid, Ronald Lanstein - Capital market seasonality: the case of stock returns / Michael S. Rozeff, William R. Kinney, Jr.
Bibliography Note:Includes bibliographical references.
Note:Recommended in Resources for College Libraries
