Chapter 15 Anomalies and market efficiency

Handbook of the Economics of Finance

Volumn 1, Issue SUPPL. PART B, 2003, Pages 939-974

  Schwert, G William ^a  

^a UNIVERSITY OF ROCHESTER   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 66449085905     PISSN: 15740102     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1574-0102(03)01024-0     Document Type: Review

References (107)

1. Abreu D., and Brunnermeier M.K. Synchronization risk and delayed arbitrage. Journal of Financial Economics 66 (2002) 341-360
2. Amihud Y., and Mendelson H. Asset pricing and the bid-ask spread. Journal of Financial Economics 17 (1986) 223-249
3. Asquith P. Merger bids, uncertainty, and stockholder returns. Journal of Financial Economics 11 (1983) 51-83
4. Baker M., and Wurgler J. The equity share in new issues and aggregate stock returns. Journal of Finance 55 (2000) 2219-2257
5. Ball R. Anomalies in relationships between securities' yields and yield-surrogates. Journal of Financial Economics 6 (1978) 103-126
6. Ball R., Kothari S.P., and Shanken J. Problems in measuring portfolio performance: an application to contrarian investment strategies. Journal of Financial Economics 38 (1995) 79-107
7. Banz R. The relationship between return and market value of common stock. Journal of Financial Economics 9 (1981) 3-18
8. Barber B.M., and Lyon J.D. Detecting long-run abnormal stock returns: empirical power and specification of test statistics. Journal of Financial Economics 43 (1997) 341-372
9. Barber B.M., and Odean T. Trading is hazardous to your wealth: the common stock investment performance of individual investors. Journal of Finance 55 (2000) 773-806
10. Barber B.M., and Odean T. Boys will be boys: gender, overconfidence, and common stock investment. Quarterly Journal of Economics 116 (2001) 261-292
11. Barberis N., and Shleifer A. Style investing. Journal of Financial Economics 68 (2003) 161-199
12. Barberis N., Shleifer A., and Vishny R. A Model of investor sentiment. Journal of Financial Economics 49 (1998) 307-343
13. Basu S. Investment performance of common stocks in relation to their price-earning ratios: a test of the efficient market hypothesis. Journal of Finance 32 (1977) 663-682
14. Basu S. The relationship between earnings' yield, market value and return for NYSE common stocks: further evidence. Journal of Financial Economics 12 (1983) 129-156
15. Black F. Random walk and portfolio management. Financial Analyst Journal 27 (1971) 16-22
16. Booth D.G., and Keim D.B. Is there still a January effect?. In: Keim D.B., and Ziemba W.T. (Eds). Security Market Imperfections in Worldwide Equity Markets (2000), Cambridge University Press, Cambridge 169-178
17. Brav A., and Gompers P.A. Myth or reality? The long-run underperformance of initial public offerings: evidence from venture and nonventure capital-backed companies. Journal of Finance 52 (1997) 1791-1821
18. Brav A., Geczy C., and Gompers P.A. Is the abnormal return following equity issuances anomalous?. Journal of Financial Economics 56 (2000) 209-249
19. Brealey R.A., and Myers S.C. Principles of Corporate Finance. 6th Edition (2000), McGraw-Hill, New York
20. Brennan M.J., and Subrahmanyam A. Market microstructure and asset pricing: on the compensation for illiquidity in stock returns. Journal of Financial Economics 41 (1996) 441-464
21. Brennan M.J., Chordia T., and Subrahmanyam A. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics 49 (1998) 345-373
22. Brown S.J., Goetzmann W., Ibbotson R.G., and Ross S.A. Survivorship bias in performance studies. Review of Financial Studies 5 (1992) 679-698
23. Campbell J.Y. Stock returns and the term structure. Journal of Financial Economics 18 (1987) 373-400
24. Campbell J.Y., and Shiller R.J. Valuation ratios and the long-run stock market outlook. Journal of Portfolio Management 24 (1998) 11-26
25. Carhart M.M. On the persistence in mutual fund performance. Journal of Finance 52 (1997) 57-82
26. Chen J., Hong H., and Stein J.C. Breadth of ownership and stock returns. Journal of Financial Economics 66 (2002) 171-205
27. Cohen R.B., Gompers P.A., and Vuolteenaho T. Who underreacts to cash-flow news? Evidence from trading between individuals and institutions. Journal of Financial Economics 66 (2002) 409-462
28. Cowles A. Can stock market forecasters forecast?. Econometrica 1 (1933) 309-324
29. Cowles A. Common Stock Indexes. Cowles Commission Monograph 3 (1939), Principia Press, Inc., Bloomington, IN
30. Daniel K., and Titman S. Evidence on the characteristics of cross-sectional variation in stock returns. Journal of Finance 52 (1997) 1-33
31. Daniel K., Hirshleifer D., and Subrahmanyam A. Investor psychology and security market under- and overreactions. Journal of Finance 53 (1998) 1839-1885
32. Daniel K., Hirshleifer D., and Subrahmanyam A. Overconfidence, arbitrage, and equilibrium asset pricing. Journal of Finance 56 (2001) 921-965
33. Davis J.L., Fama E.F., and French K.R. Characteristics, covariances and average returns. Journal of Finance 55 (2000) 389-406
34. D'Avolio G. The market for borrowing stock. Journal of Financial Economics 66 (2002) 271-306
35. DeBondt W.F.M., and Thaler R. Does the stock market overreact?. Journal of Finance 40 (1985) 793-805
36. Duffie D., Garleanu N., and Pedersen L.H. Securities lending, shorting, and pricing. Journal of Financial Economics 66 (2002) 307-339
37. Eckbo B.E., Masulis R.W., and Norli Ø. Seasoned public offerings: resolution of the 'new issues puzzle'. Journal of Financial Economics 56 (2000) 251-291
38. Fama E.F. Efficient capital markets: a review of theory and empirical work. Journal of Finance 25 (1970) 383-417
39. Fama E.F. Short-term interest rates as predictors of inflation. American Economic Review 65 (1975) 269-282
40. Fama E.F. Foundations of Finance (1976), Basic Books, New York
41. Fama E.F. Efficient capital markets II. Journal of Finance 46 (1991) 1575-1617
42. Fama E.F. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49 (1998) 283-306
43. Fama E.F., and French K.R. Dividend yields and expected stock returns. Journal of Financial Economics 22 (1988) 3-25
44. Fama E.F., and French K.R. The Cross-section of expected returns. Journal of Finance 47 (1992) 427-465
45. Fama E.F., and French K.R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33 (1993) 3-56
46. Fama E.F., and French K.R. Multifactor explanations of asset pricing anomalies. Journal of Finance 51 (1996) 55-84
47. Fama E.F., and French K.R. Value versus growth: the international evidence. Journal of Finance 53 (1998) 1975-1999
48. Fama E.F., and Schwert G.W. Asset returns and inflation. Journal of Financial Economics 5 (1977) 115-146
49. French K.R. Stock returns and the weekend effect. Journal of Financial Economics 8 (1980) 55-69
50. French K.R., Schwert G.W., and Stambaugh R.F. Expected stock returns and volatility. Journal of Financial Economics 19 (1987) 3-29
51. Fung W., and Hsieh D.A. Empirical characteristics of dynamic trading strategies: the case of hedge funds. Review of Financial Studies 10 (1997) 275-302
52. Geczy C.C., Musto D.K., and Reed A.V. Stocks are special too: an analysis of the equity lending market. Journal of Financial Economics 66 (2002) 241-269
53. Goyal A., and Welch I. Predicting the equity premium with dividend ratios. manuscript (1999), Yale University
54. Gromb D., and Vayanos D. Equilibrium and welfare in markets with financially constrained arbitrageurs. Journal of Financial Economics 66 (2002) 361-407
55. Hendricks D., Patel J., and Zeckhauser R. Hot hands in mutual funds: short-run persistence of relative performance. Journal of Finance 48 (1993) 93-130
56. Ibbotson R. Price performance of common stock new issues. Journal of Financial Economics 2 (1975) 235-272
57. Ibbotson R., Sindelar J., and Ritter J. The market's problem with the pricing of initial public offerings. Journal of Applied Corporate Finance 7 (1994) 66-74
58. Ibbotson Associates. Stocks, Bonds, Bills, and Inflation: 1998 Yearbook (1998), Ibbotson Associates, Chicago
59. Jaffe J. Special information and insider trading. Journal of Business 47 (1974) 411-428
60. Jegadeesh N., and Titman S. Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance 48 (1993) 65-91
61. Jegadeesh N., and Titman S. Profitability of momentum strategies: an evaluation of alternative explanations. Journal of Finance 56 (2001) 699-720
62. Jensen M.C. The performance of mutual funds in the period 1945-64. Journal of Finance 23 (1968) 389-416
63. Jensen M.C. Some anomalous evidence regarding market efficiency. Journal of Financial Economics 6 (1978) 95-102
64. Jones C.M., and Lamont O.A. Short sale constraints and stock returns. Journal of Financial Economics 66 (2002) 207-239
65. Keim D.B. Size-related anomalies and stock return seasonality: further empirical evidence. Journal of Financial Economics 12 (1983) 13-32
66. Keim D.B., and Stambaugh R.F. A further investigation of the weekend effect in stock returns. Journal of Finance 39 (1984) 819-835
67. Keim D.B., and Stambaugh R.F. Predicting returns in the stock and bond markets. Journal of Financial Economics 17 (1986) 357-390
68. Keim D.B., and Ziemba W.T. Security market imperfections: an overview. In: Keim D.B., and Ziemba W.T. (Eds). Security Market Imperfections in Worldwide Equity Markets (2000), Cambridge University Press, Cambridge xv-xxvii
69. Kleidon A.W. Variance bounds tests and stock price valuation models. Journal of Political Economy 94 (1986) 953-1001
70. Kothari S.P., and Shanken J. Book-to-market, dividend yield, and expected market returns: a time series analysis. Journal of Financial Economics 44 (1997) 169-203
71. Kothari S.P., and Warner J.B. Measuring long-horizon security price performance. Journal of Financial Economics 43 (1997) 301-339
72. Krishnamurthy A. The bond/old-bond spread. Journal of Financial Economics 66 (2002) 463-506
73. Lakonishok J., Shleifer A., and Vishny R.W. Contrarian investment, extrapolation, and risk. Journal of Finance 49 (1994) 1541-1578
74. Lee C.M.C., Shleifer A., and Thaler R.H. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46 (1991) 75-110
75. Lewellen J. Momentum and autocorrelation in stock returns. Review of Financial Studies 15 (2002) 533-563
76. Lintner J. The valuation of risk assets and the selection of risky investment in stock portfolios and capital budgets. Review of Economics and Statistics 47 (1965) 13-37
77. Lo A.W., and MacKinlay A.C. Data-snooping biases in tests of financial asset pricing models. Review of Financial Studies 3 (1990) 431-467
78. Loughran T., and Ritter J.R. The new issues puzzle. Journal of Finance 50 (1995) 23-51
79. Loughran T., and Vijh A.M. Do long-term shareholders benefit from corporate acquisitions?. Journal of Finance 52 (1997) 1765-1790
80. Lowry M., and Schwert G.W. IPO market cycles: bubbles or sequential learning?. Journal of Finance 57 (2002) 1171-1200
81. MacKinlay A.C. Multifactor models do not explain deviations from the CAPM. Journal of Financial Economics 38 (1995) 3-28
82. Malkiel B.G. Returns from investing in equity mutual funds, 1971 to 1991. Journal of Finance 50 (1995) 549-572
83. Mandelker G. Risk and return: the case of merging firms. Journal of Financial Economics 1 (1974) 303-335
84. Marsh T.A., and Merton R.C. Dividend variability and variance bounds tests for the rationality of stock market prices. American Economic Review 76 (1986) 483-498
85. Mitchell M.L., and Stafford E. Managerial decisions and long-term stock price performance. Journal of Business 73 (2000) 287-320
86. MØrck R., Shleifer A., and Vishny R.W. Management ownership and market valuation: an empirical analysis. Journal of Financial Economics 20 (1988) 293-315
87. Nelson C.R., and Schwert G.W. On testing the hypothesis that the real rate of interest is constant. American Economic Review 67 (1977) 478-486
88. Odean T. Do investors trade too much?. American Economic Review 89 (1999) 1279-1298
89. Pontiff J. Closed-end fund premia and returns: implications for financial market equilibrium. Journal of Financial Economics 37 (1995) 341-370
90. Pontiff J. Costly arbitrage: evidence from closed-end funds. Quarterly Journal of Economics 111 (1996) 1135-1151
91. Reinganum M.R. Misspecification of capital asset pricing: empirical anomalies based on earnings' yields and market values. Journal of Financial Economics 9 (1981) 19-46
92. Reinganum M.R. The anomalous stock market behavior of small firms in january: empirical tests for tax-loss selling effects. Journal of Financial Economics 12 (1983) 89-104
93. Ritter J.R. The long-run performance of initial public offerings. Journal of Finance 46 (1991) 3-27
94. Roll R. Vas ist das? The turn-of-the-year effect and the return premia of small firms. Journal of Portfolio Management 9 (1983) 18-28
95. Schultz P. Pseudo market timing and the long-run underperformance of IPOs. Journal of Finance 58 (2003) 483-517
96. Schwert G.W. Size and stock returns, and other empirical regularities. Journal of Financial Economics 12 (1983) 3-12
97. Schwert G.W. Why does stock market volatility change over time?. Journal of Finance 44 (1989) 1115-1153
98. Schwert G.W. Indexes of United States stock prices from 1802 to 1987. Journal of Business 63 (1990) 399-426
99. Schwert G.W. Review of market volatility by R. Shiller: Much ado about ... very little. Journal of Portfolio Management 17 (1991) 74-78
100. Schwert G.W. Markup pricing in mergers acquisitions. Journal of Financial Economics 41 (1996) 153-192
101. Sharpe W.F. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19 (1964) 425-442
102. Shiller R.J. Do stock prices move too much to be justified by subsequent changes in dividends?. American Economic Review 75 (1981) 421-436
103. Shiller R.J. The use of volatility measures in assessing market efficiency. Journal of Finance 36 (1981) 291-304
104. Shiller R.J. Market Volatility (1989), MIT Press, Cambridge, MA
105. Shleifer A., and Vishny R.W. The limits of arbitrage. Journal of Finance 52 (1997) 35-55
106. Smith C.W., and Watts R.L. The investment opportunity set and corporate financing, dividend, and compensation policies. Journal of Financial Economics 32 (1992) 263-292
107. Thompson R. The information content of discounts and premiums on closed-end fund shares. Journal of Financial Economics 6 (1978) 151-186