Security Market Imperfections in Worldwide Equity Markets
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Security Market Imperfections in Worldwide Equity Markets by Donald B Keim
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.
"Security Market Imperfections in World Wide Equity Markets encompasses the full range of controversy published in scholarly journals over almost 20 years" Financial Analysts Journal
Ziemba, William T.: - William T. Ziemba is professor of management science at the University of British Columbia, Vancouver, Canada. He is an expert in operations research and portfolio management and has served as consultant to the Canadian government on lotteries and pari-mutuel betting systems. Donald B. Hausch has a doctorate in managerial economics and decision sciences from Northwestern University, and is currently teaching in the School of Business at the University of Wisconsin, Madison.
| SKU | Unavailable |
| ISBN 13 | 9780521571388 |
| ISBN 10 | 0521571383 |
| Title | Security Market Imperfections in Worldwide Equity Markets |
| Author | Donald B Keim |
| Series | Publications Of The Newton Institute |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Cambridge University Press |
| Year published | 2000-03-13 |
| Number of pages | 560 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |