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Security Market Imperfections in Worldwide Equity Markets

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  • Keim,Donald B.
  • Ziemba,William T.

Abstract

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.

Suggested Citation

  • Keim,Donald B. & Ziemba,William T. (ed.), 2000. "Security Market Imperfections in Worldwide Equity Markets," Cambridge Books, Cambridge University Press, number 9780521571388, January.
    • Handle: RePEc:cup:cbooks:9780521571388
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    Cited by:

    1. MacLean, Leonard C. & Sanegre, Rafael & Zhao, Yonggan & Ziemba, William T., 2004. "Capital growth with security," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 937-954, February.
    2. Roderick Bain & Donald Hausch & William Ziemba, 2006. "An application of expert information to win betting on the Kentucky Derby, 1981-2005," The European Journal of Finance, Taylor & Francis Journals, vol. 12(4), pages 283-301.
    3. Lleo, Sebastien & Ziemba, William T., 2014. "Does the bond-stock earning yield differential model predict equity market corrections better than high P/E models?," LSE Research Online Documents on Economics 59290, London School of Economics and Political Science, LSE Library.
    4. John Board & Charles Sutcliffe & William T. Ziemba, 2003. "Applying Operations Research Techniques to Financial Markets," Interfaces, INFORMS, vol. 33(2), pages 12-24, April.

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