Amihud, Y., B. Christensen and H. Mendelson, 1992, Further Evidence on the Risk-Return Relationship, Working Paper, New York University.
Bernstein, P., 1992, Capital Ideas, The Free Press, New York.
Bernstein, P., 1996, Against the Gods, John Wiley & Sons, New York.
Chan, L.K. and J. Lakonsihok, 1993, Are the reports of Beta's death premature?, Journal of Portfolio Management, v19, 51-62.
Chen, N., R. Roll and S.A. Ross,
1986, Economic Forces and the Stock Market,
Journal of Business, 1986, v59, 383-404.
Elton, E.J. and M.J. Gruber, 1995, Modern Portfolio Theory and Investment Management, John Wiley & Sons, New York.
Fama, E.F. and K.R. French, 1992, The Cross-Section of Expected Returns, Journal of Finance, v47, 427-466.
Jensen, M.C, 1969, Risk, the Pricing of Capital Assets, and the Evaluation of Investment Portfolios, Journal of Business, v42, pp 167-247.
Kothari, S.P. and J. Shanken, 1995, In Defense of Beta, Journal of Applied Corporate Finance, v8(1), 53-58.
Lintner, J., 1965, The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets, Review of Economics and Statistics, v47, 13-37.
Markowitz, Harry M., Foundations
Of Portfolio Theory, Journal of Finance,
1991, v46(2), 469-478.
Roll, R., 1977, A Critique of the Asset Pricing Theory's
Tests: Part I: On Past and Potential Testability of Theory, Journal of Financial Economics, v4, 129-176.
Ross, Stephen A., 1976, The
Arbitrage Theory Of Capital Asset Pricing,
Journal of Economic Theory,
v13(3), 341-360.
Sharpe, W.F, 1964, Capital Asset Prices: A Theory of Market
Equilibrium under Conditions of Risk,
Journal of Finance, v19, 425-442.
Weston, J.F. and T.E. Copeland,
1992, Managerial Finance, Dryden Press.
Choi, F.D.S. and R.M. Levich, 1990, The Capital Market Effects of International Accounting Diversity, Dow Jones Irwin, New York.
Stickney, C.P., 1993, Financial Statement Analysis, Dryden, Fort Worth
White, G.I, A. Sondhi and D. Fried, 1997, The Analysis and Use of Financial Statements, Wiley, New York.
Williams, J. R., 1998, GAAP guide, Harcourt Brace, New York.
Black, F. and M. Scholes, 1972, The Valuation of Option Contracts and a Test of Market Efficiency, Journal of Finance, Vol 27, 399-417.
Damodaran, A., 2002, Investment Valuation, Second Edition, John Wiley & Sons. New York.
Amihud, Y. and H. Mendelson, 1986, Asset Pricing and the Bid-Ask Spread, Journal of Financial Economics, v17, 223-249.
Barclay, M.., 1997, Bid-Ask Spreads and the Avoidance of Odd-Eighth Quotes on Nasdaq: An Examination of Exchange Listings, Journal of Financial Economics, 45, 35-60
Christie, W., and P.
Schultz. 1999, The Initiation
and Withdrawal of Odd-Eighth Quotes among Nasdaq Stocks: An Empirical Analysis, Journal of Financial Economics, 52, 409-442.
Christie, W., and P.
Schultz. 1994, Why Do Nasdaq Market Makers Avoid Odd-Eighth Quotes? Journal of Finance, 49 , 1813-1840.
Chung, K., B. Van
Ness, and R. Van Ness, 2001, Can the Treatment of Limit Orders Reconcile the
Differences in Trading Costs between NYSE and Nasdaq Issues?, Working Paper, Social Sciences Research
Network.
Dann, L., D. Mayers and R. Raab, 1977, Trading Rules, Large Blocks and the Speed of Adjustment, v2, 3-22.
DeBondt, W.F.M. & R. Thaler, 1985, Does the Stock Market Overreact?, Journal of Finance, v40, pp 793-805.
Dey, M.K.and B. Radhakrishna , 2001, Institutional Trading, Trading volume and spread, Working paper, Social Science Research Network.
Hasbrouck, J., 1991a, Measuring
the Information Content of Stock Trades, Journal of Finance,
66, 179-207.
Hasbrouck, J., 1991b, The
Summary Informativeness of Stock Trades: an Econometric Analysis, Review of Financial Studies, 4, pp. 571-595.
Heflin. Shaw and Wild, 2001, Disclosure Quality and Market Liquidity, Working paper, Social Sciences Research Network.
Holthausen, R. W., R. W. Leftwich, and D. Mayers, 1990, Large-Block Transactions, the Speed of Response, and Temporary and Permanent Stock-Price Effects, Journal of Financial Economics, v26, 71-95.
Huang, R.D. and H.R. Stoll, 1996, Dealer versus Auction Markets: A Paired Comparison of Execution Costs on NASDAQ and the NYSE, Journal of Financial Economics, v 41, pg 313-357.
Keim, D. B., and A. Madhavan, 1995, Anatomy of the Trading Process: Empirical Evidence on the Behavior of Institutional Trades, Journal of Financial Economics, 37, 371-398.
Keim, D.B. and A. Madhavan , 1998, The Cost of Institutional Equity Trades, Financial Analysts Journal, July/August 1998.
Kothare, M. and P.A. Laux , 1995, Trading Costs and the Trading Systems for NASDAQ stocks, Financial Analysts Journal, March/April 1995.
Leinweber, D.J., 1996, Using Information from Trading in Trading and Portfolio Management, in Execution Techniques, True Trading Costs and Microstructure of Markets, AIMR.
New York Stock Exchange Fact Book, 1996, New York Stock Exchange.
Rose, J.D. and D.C. Cushing , 1996, Making the Best Use of Trading Alternatives, in Execution Techniques, True Trading Costs and the Microstructure of Markets, AIMR.
Saar, G., 2001, Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation, Review of Financial Studies, v15, 1153-1181.
Silber, W.L., 1991, Discounts on Restricted Stock: The Impact of Illiquidity on Stock Prices, Financial Analysts Journal, 60-64.
Spierdijk, L. , T. Nijman, and A.H.O. van Soest (2002), The Price Impact of Trades in Illiquid Stocks in Periods of High and Low Market Activity, Working paper, Tilburg University.
Stoll, H. 1978, The
Pricing of Security Dealer Services: An Empirical Study of Nasdaq Stocks. Journal of Finance, 33, 1153-1172.
Thomas Loeb, 1983, Trading Costs: The Critical Link Between Investment Information and Results, Financial Analysts Journal, May/June 1983.
Tinic, S. and R. West , 1972, Competition and the Pricing of Dealer Service in the Over-the-Counter Market, Journal of Financial and Quantitative Analysis, v7, pg 1707-27.
Treynor, J., 1981, What does it take to win the trading game?, Financial Analysts Journal, January-February.
Conrad, J., 1989, The Price Effect of Option Introduction, Journal of Finance, v44, pp 487-498.
Fama, E.F. and K.R. French, 1992, The Cross-Section of Expected Returns, Journal of Finance, v47, 427-466.
Fama, E.F., 1970, Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance, v25, pp 383-417.
Fama, E.F., 1972, Components of Investment Performance, Journal of Finance, v27, 551-567.
Markowitz, Harry M., Foundations
Of Portfolio Theory, Journal of Finance,
1991, v46(2), 469-478.
Sharpe, W.F., 1965, Mutual fund Performance, Journal of Finance, vv39, 119-138.on Sharpe Ratio
Treynor, J.L., 1965, How to rate management of mutual funds, Harvard Business Review, 43, 63-70.
Abraham, A. and D.L.Ikenberry,1994, The Individual Investor and the Weekend Effect, Journal of Financial and Quantitative Analysis, v29, 263-277.
Alexander, S.S., 1964, Price Movements in Speculative Markets: Trends or Random Walks, in The Random Character of Stock Market Prices, MIT Press.
Ariel, R.A., 1990, High Stock Returns before holidays, Journal of Finance, v45, 1611-1626.
Asch, S., 1952, Social Psychology, Prentice Hall, Englewood Cliffs.
Bekaert,, G., C.B. Erb, C.R. Harvey and T.E. Viskanta. 1997, What matters for emerging market equity investments, Emerging Markets Quarterly (Summer 1997), 17-46.
Brown, S.J., W. N. Goetzmann and A. Kumar , 1998, The Dow Theory: William Peter HamiltonÕs Track Record Reconsidered, Working paper, NYU.
Chancellor, E., 2000, Devil takes the Hindmost, Plume.
Conrad, J.S., A. Hameed and C. Niden, 1994, Volume and Autocovariances in Short-Horizon Individual Security Returns, Journal of Finance, v49, 1305-1330.
Cootner, P. H. 1961, Common Elements In Futures Markets For Commodities And Bonds, American Economic Review, 1961, v51(2), 173-183.
Cootner, P.H., 1962, Stock Prices: Random versus Systematic Changes, Industrial Management Review, v3, 24-45.
Datar, V., N. Naik and R. Radcliffe, 1998, Liquidity and Asset Returns: An alternative test, Journal of Financial Markets, v____
Dooley, M.P. and R. Shafer, 1983, Analysis of Short-Run Exchange Rate Behavior: March 1973 to November 1981, in Exchange Rate and Trade Instability, Causes, Consequences and Remedies, 1983, Ballinger.
Edwards, R. and J. Magee, 2001, Technical Analysis of Stock Trends, St. Lucie Press.
Fama, E.F. and K.R. French, 1988, Permanent and Temporary Components of Stock Prices, Journal of Political Economy, v96, 246-273.
Fama, E.F., 1965, The Behavior of Stock Market Prices, Journal of Business, v38, pp 34-105.
Fama, E.F., Market Efficiency, Long Term Returns and Behavioral Finance, Journal of Financial Economics, v 49, pg 283-306.
Fischhhof, B., P. Slovic and S. Lichtenstein, 1977, Knowing with Uncertainty: The Appropriateness of Extreme ConfidenceÓ Journal of Experimental Psychology, v3, 522-564.
Frost, A.J. and E. Prechter, 1998, The Elliott Wave Principle: Key to Market Behavior,, New Classics Library.
Garber, P.M., 1990, Who put the tulip in tulipmania? in ÒCrashes and Panics: The lessons of HistoryÓ, Dow
Jones Irwin.
Gehm, F., 1983, Who is R.N. Elliott and why is he making waves? Financial Analysts Journal, January-February, 51-58.
Grinblatt, M., S. Titman and R. Wermers, 1995, Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior, American Economic Review, v85, 1088-1105.
Hamilton, W., 1922, The Stock Market Barometer, Barrons, New York.
Haugen, R. and J. Lakonishok, 1988, The Incredible January Effect, Dow-Jones Irwin, Homewood, Ill.
Jegadeesh, N. and S. Titman, 1993, Returns to Buying Winners and Selling Losers:
Implications for Stock Market Efficiency, Journal-of-Finance; 48(1), 65-91.
Jegadeesh, N. and S. Titman, 2001, Profitability of Momentum Strategies: An
Evaluation of Alternative Explanations, Journal-of-Finance; 56(2), 699-720.
Jennergren, L.P., and P.E. Korsvold, 1974, Price Formation in the Norwegian and Swedish Stock Markets - Some Random Walk Tests, Swedish Journal of Economics, 76, 171-185.
Kahnemann, D. and A. Tversky, 1979, Prospect Theory: An analysis of decisions under risk, Econometrica, v46, 171-185.
Kho, B.C., Time Varying Risk Premia, Volatility and Technical Trading Rules, Journal of Financial Economics, v41, 246-290.
Lee, C.M.C and B. Swaminathan, 1998, Price Momentum and Trading Volume, Working Paper, Social Science Research Network.
Liss, D., 2001,A Conspiracy of Paper, Ballantine Books.
Lo, Wang and Mamaysky, 2000, Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation, Journal of Finance, v55, 1705-1765.
Mackay, C., 1852, Extraordinary Popular Delusions and the Madness of Crowds, Reprinted by John Wiley & Sons, New York.
Odean, T., 1997, Are investors reluctant to realize their losses? Working paper, University of California, Davis.
Osler,C.L. and P.H.K. Chang , Head and Shoulders: Not a flaky pattern, Staff Paper, 1995, Federal Reserve Bank of New York.
Robert Schiller, 2000, Irrational Exuberance, Princeton Press, Princeton.
Rouwenhorst, G.K., 1998, International Momentum Strategies, Journal of Finance, v53, 267-284.
Santoni and Dwyer 1990, Bubbles or Fundamentals: New Evidence from the Great Bull Markets, in ÒCrashes and Panics: The lessons of HistoryÓ, Dow Jones Irwin.
Senchack, A.J. and L.T. Starks, 1993, Short-Sale Restrictions and Market Reaction to Short-Interest Announcements, v28, 177-194.
Shafir, E., I. Simonson and A. Tversky, 1997, Money Illusion, Quarterly Journal of Economics, v112, 341-374.
Shefrin, H. and M. Statman, 1985, The disposition to sell winners too early and ride losers too long: Theory and Evidence, Journal of Finance, v40, p777-790.
Shiller, R., 1990, Market Volatility, MIT Press.
Stickel and Verecchia, 1994, Evidence that trading volume sustains stock price changes, Financial Analysts Journal, Nov-Dec, 57-67.
Berger, Philip G., and Eli Ofek, 1995, DiversificationÕs effect on firm value, Journal of Financial Economics 37, 39Ð65.
Bhide, A., 1989, The Causes and Consequences of Hostile Takeovers, Journal of Applied Corporate Finance, v2, 36-59.
Bradley, M., A. Desai and E.H. Kim, 1983, The Rationale behind Interfirm Tender Offers, Journal of Financial Economics, v11, 183-206.
Bradley, M., A. Desai and E.H. Kim, 1988, Synergistic Gains from Corporate Acquisitions and their Division between the Stockholders of Target and Acquiring Firms, Journal of Financial Economics, v21, 3-40.
Bradley, M., G.A. Jarrell, and E.H. Kim, 1984, On the Existence of an Optimal Capital Structure: Theory and Evidence, Journal of Finance, v39, 857-878.
Capaul, C., I. Rowley and W.F. Sharpe, 1993, International
Value and Growth Stock Returns, Financial
Analysts Journal, 27-36.
Caton,
G.L., J. Goh and J. Donaldson, 2001, The
Effectiveness of Institutional Activism,
Financial Analysts Journal, July/August, 21-26.
Chan, L.K., Y. Hamao, and J. Lakonishok, 1991, Fundamentals and Stock Returns in Japan, Journal of Finance. v46. 1739-1789.
Clayman, M., 1994, Excellence revisited, Financial Analysts Journal, May/June 1994, pg 61-66.
Cusatis, P.J, J.A. Miles and J.R. Woolridge, 1993, Restructuring Through Spin Offs: The Stock Market Evidence, Journal of Financial Economics, v33, 293-311.
Damodaran, 2001, Investment Valuation (Second Edition), John Wiley & Sons, New York
DeBondt , W.F.M. & R. Thaler, 1987, Further Evidence on Investor Overreaction and Stock Market Seasonality, Journal of Finance, v42, pp 557-581.
DeBondt, W.F.M. & R. Thaler, 1985, Does the Stock Market Overreact?, Journal of Finance, v40, pp 793-805.
Furtado, E.P.H., and V. Karan, 1990. Causes,
consequences, and shareholder wealth effects of management turnover: A review
of the empirical evidence. Financial
Management 19, 60-75.
Graham, B. and D. Dodd, 1934, Security Analysis. McGraw Hill.
Hagstrom, R.G., 1994, The Warren Buffett Way, John Wiley and Sons, New York.
Hirschey, M., 2000, The ÒDogs of the DowÓ Myth, Financial Review, v35, 1-15.
Jacobs, B.I. and K.N. Levy, 1988a, Disentangling Equity Return Irregularities: New Insights and Investment Opportunities, Financial Analysts Journal, Vol 44, 18-44.
Jacobs, B.I. and K.N. Levy, 1988b, On the Value of 'Value, Financial Analysts Journal, Vol 44, 47-62.
Jegadeesh, N. and S. Titman, 1993, Returns to Buying Winners and Selling Losers:
Implications for Stock Market Efficiency, Journal-of-Finance; 48(1), 65-91.
Jegadeesh, N. and S. Titman, 2001, Profitability of Momentum Strategies: An
Evaluation of Alternative Explanations, Journal-of-Finance; 56(2), 699-720.
Karpoff, J.M.,
1998, The
Impact of Shareholder Activism on Target Companies: A Survery of
Empirical Findings, Working Paper,
University of Washington.
Karpoff, J.M., P.H. Malatesta and P.A. Walkling, 1996, Corporate Governance and Shareholder Initiatives: Empirical Evidence, Journal of Financial Economics, v42, 365-395.
Klein, A., 1986, The Timing and Substance of Divestiture Announcements: Individual, Simultaneous and Cumulative Effects, Journal of Finance, v41, 685-696.
Lang, L.H., R.M. Stulz and R.A. Walkling, 1989, Managerial Performance, Tobin's Q, and the Gains from Successful Tender Offers, Journal of Finance, v24, 137-154.
Lang, Larry H.P., and RenŽ M. Stulz, 1994, TobinÕs q, corporate diversification, and firm performance, Journal of Political Economy 102, 1248Ð1280.
Linn, Scott C. and Michael S.
Rozeff. 1985, The Effect Of Voluntary Spin-Offs On Stock Prices: The Anergy
Hypothesis, Advances in Financial Planning
and Forecasting, v1(1), 265-292.
Lowe, J.C., 1994, Benjamin Graham on Value Investing: Lessons from the Dean of Wall Street, Dearborn Financial, Chicago.
Lowenstein, R., 1996, Buffett: The Making of an American Capitalist, Doubleday.
Miles, J. and J.R. Woolridge., 1999, Spin-Offs &
Equity Carve-Outs, Financial Executives
Research Foundation.
McQueen, G., K. Shields and S.R. Thorley, 1997, Does the Dow-10 Investment Strategy beat the Dow statistically and economically? Financial Analysts Journal, July/August, 66-72.
Modigliani, F. and M. Miller, 1958, The Cost of Capital, Corporation Finance and the Theory of Investment, American Economic Review, v48, 261-297.
Oppenheimer, H R. 1984, A Test of Ben Graham's Stock Selection Criteria, (September/October): vol. 40, no. 5 , 68-74.
Peters, T.. 1988, In Search of Excellence: Lessons form AmericaÕs Best Run Companies, Warner Books.
Rosenberg, B., K. Reid, and R. Lanstein, 1985, Persuasive Evidence of Market Inefficiency, Journal of Portfolio Management, v11, 9-17.
Schipper, K. and A. Smith, 1983, Effects of Recontracting on Shareholder Wealth: The Case of Voluntary Spin-Offs, Journal of Financial Economics, Vol 12, 437-468.
Schipper, K. and A. Smith, 1986, A Comparison of Equity Carve-Outs and Seasoned Equity Offerings: Share Price Effects and Corporate Restructuring, Journal of Financial Hite, G.L. and J.E. Owers, 1983, Security Price Reactions around Corporate Spin-off Announcements, Journal of Financial Economics, Vol 12, 409-436.
Senchack, A.J., Jr., and J.D. Martin, 1987,The Relative Performance of the PSR and PER Investment Strategies, Financial Analysts Journal, Vol 43, 46-56.
Smith, C.W., 1986, Investment Banking and the Capital
Acquisition Process, Journal of Financial
Economics, v15, 3-29.
Wahal, S., 1996, Pension Fund Activism and Firm Performance, Journal of Financial and Quantitative Analysis, v31, 1-24.
Zarowin, P., 1990, Size, Seasonality and Stock Market Overreaction, Journal of Financial and Quantitative Analysis, v25, 113-125.
Banz, R., 1981, The Relationship between Return and Market Value of Common Stocks, Journal of Financial Economics, v9.
Basu, S., 1977, The Investment Performance of Common Stocks in Relation to their Price-Earnings: A Test of the Efficient Market Hypothesis, Journal of Finance, v32, 663-682.
Basu, S., 1983, The Relationship between Earnings Yield, Market Value and Return for NYSE Common Stocks: Further Evidence, Journal of Financial Economics, v12.
Bernstein, 1995, Style Investing, John Wiley & Sons.
Bernstein, R., 1995, Style Investing, John Wiley and Sons.
Black, B.S. and R.J. Gilson, 1998, Venture Capital and the Structure of Capital Markets: Banks versus Stock Markets, Journal of Financial Markets, v47, 243-277.
Chan, L.K., Y. Hamao, and J. Lakonishok, 1991, Fundamentals and Stock Returns in Japan, Journal of Finance. v46. 1739-1789.
Damodaran, 2001, Investment Valuation (Second Edition), John Wiley & Sons, New York.
Dimson,
E. and P.R. Marsh, 1986, Event Studies and the Size Effect: The Case of UK
Press Recommendations, Journal of Financial Economics, v17, 113-142.
Dreman, D. and E. Lufkin, 1997, Do contrarian strategies work within industries? Journal of Investing, (Fall), 7-29.
Dreman, D. and E. Lufkin, 2000, Investor Overreaction: Evidence that its basis is psychological, Journal of Psychology and Financial Markets, v1.
Fama, E.F. and K.R. French, 1998, Value versus Growth: The International Evidence, Journal of Finance, v53, 1975-1999.
Haugen, R.A. and Lakonishok, J., 1988, The Incredible January Effect, Homewood Ill,, Dow Jones-Irwin.
Lee, I., S. Lockhead, J.R. Ritter and Q. Zhao, 1996, The Costs of Raising Capital, Journal of Financial Research, v19, 59-74.
Little, I.M.D., 1962, Higgledy Piggledy Growth, Institute of Statistics, Oxford.
Loughran, T. and J.R. Ritter, 1995, The New Issues Puzzle, Journal of Finance, v50, 23-51.
Lynch, P., 1997, How to invest a million, Worth Magazine, March issue.
Malkiel, B.G., 1995, Returns from Investing in Equity Mutual Funds 1971 to 1991, Journal of Finance, v50, 549-572.
Pradhuman, S., 2000, Small Cap Dynamics, Bloomberg Press.
Ritter, J.R., 1998, Initial Public Offerings, Contemporary Finance Digest, v2, 5-31.
Siegel, J., 1998, Stocks for the Long Run, McGraw Hill, New York.
Aharony, J. and I. Swary, 1981, Quarterly Dividends and Earnings Announcements and Stockholders' Returns: An Empirical Analysis, Journal of Finance, Vol 36, 1-12.
Bettis, J., Vickrey,
D., and Donn Vickrey, 1997, Mimickers of Corporate Insiders Who Make Large
Volume Trades, Financial
Analyst Journal 53, 57-66.
Bettis, J.C., J.M. Bizjak and M.L. Lemmon, 2002, Insider Trading in Derivative Securities: An Empirical Investigation of Zero cost collars and Equity Swaps by Corporate Insiders, Working Paper, Social Sciences Reseach Network.
Bhide, A., 1989, The Causes and Consequences of Hostile Takeovers, Journal of Applied Corporate Finance, v2, 36-59.
Bhide, A., 1993, Reversing Corporate Diversification, in The New Corporate Finance- Where Theory meets Practice, ed. D.H. Chew Jr., McGraw Hill.
Bradley, M., A. Desai and E.H. Kim, 1983, The Rationale behind Interfirm Tender Offers, Journal of Financial Economics, v11, 183-206.
Bradley, M., A. Desai and E.H. Kim, 1988, Synergistic Gains from Corporate Acquisitions and their Division between the Stockholders of Target and Acquiring Firms, Journal of Financial Economics, v21, 3-40.
Brown, K.C., W.V. Harlow and S.M. Tinic, 1988, Risk Aversion, Uncertain Information, and Market Efficiency, Journal of Financial Economics, v22, pg 355-385.
Brown, L.D. and M.S. Rozeff, 1980, Analysts can forecast accurately!, Journal of Portfolio Management, v6, 31-34.
Capstaff, J. , K.Paudyal and W. Rees, 2000, Revisions of
Earnings Forecasts and Security Returns: Evidence from Three Countries, Working Paper, SSRN.
Chan, K., L.K.C. Chan, N. Jegadeesh and J. Lakonishok, 2001, Earnings Quality and Stock Returns, Working Paper, SSRN.
Charest, G., 1978, Split Information, Stock Returns and Market Efficiency-I, Journal of Financial Economics, v6, 265-296.
Chopra, V.K., 1998, Why so much error in analyst forecasts? Financial Analysts Journal, Nov-Dec, pg 35-42.
Collins, W. and W. Hopwood, 1980, A Multivariate Analysis of Annual Earnings Forecasts generated from Quarterly Forecasts of Financial Analysts and Univariate Time Series Models, Journal of Accounting Research, v18, 390-406.
Cooper, R.A., T.E. Day and C.M. Lewis, 1999, Following the Leader: A Study of Individual Analysts Earnings Forecasts, Working Paper, SSRN.
Copeland, T. E. Liquidity Changes Following Stock Splits, Journal of Finance, 1979, v34(1), 115-141.
Cragg, J.G., and B.G. Malkiel, 1968, The Consensus and Accuracy of Predictions of the Growth of Corporate Earnings, Journal of Finance, v23, 67-84.
Crichfield, T., T. Dyckman and J. Lakonishok, 1978, An Evaluation of Security Analysts Forecasts, Accounting Review.
Damodaran, A., 1989, The Weekend Effect in Information Releases: A Study of Earnings and Dividend Announcements, Review of Financial Studies, v2, 607-623.
Dennis and McConnell, 1986, Corporate Mergers and Security Returns, Journal of Financial Economics, v16, 143-188.
Dreman, D.N. and M. Berry, 1995, Analyst Forecasting Errors and their Implications for Security Analysis, Financial Analysts Journal, May/June, pg 30-41
Finnerty, J.E, 1976, Insiders and Market Efficiency, Journal of Finance, v31, 1141-1148.
Fuller, R.J., L.C. Huberts and M. Levinson, 1992, ItÕs not Higgledy-Piggledy Growth! Journal of Portfolio Management, 38-46.
Givoly. D. and J. Lakonishok, 1984, The Quality of Analysts' Forecasts of Earnings, Financial Analysts Journal, v40, 40-47.
Grinblatt, M.S., R.W. Masulis and S. Titman, 1984, The Valuation Effects of Stock Splits and Stock Dividends, Journal of Financial Economics, v13, 461-490.
Healy, P.M., K.G. Palepu and R.S. Ruback, 1992, Does
Corporate Performance improve after Mergers?,
Journal of Financial Economics, v31, 135-176.
Higgins, H.N., 1998, Analyst Froecasting Performance in Seven Countries, Financial Analysts Journal, May/June, v54, 58-62.
Huang, R.D. and R. Walkling, 1987, Acquisition Announcements and Abnormal Returns. Journal of Financial Economics, v19, 329-350.
Ikenberry, D.L., G. Rankine and E.K., Stice. 1996. What Do Stock Splits Really Signal?, Journal of Financial and Quantitative Analysis, v31, 357-375.
Jaffe, J., 1974, Special Information and Insider Trading, Journal of Business, v47, pp 410-428.
Jarrell, G.A., J.A. Brickley and J.M. Netter, 1988, The Market for Corporate Control: The Empirical Evidence since 1980, Journal of Economic Perspectives, v2, 49-68.
Jensen, M.C. and R.S. Ruback, 1983, The Market for Corporate Control, Journal of Financial Economics, v11, 5-50.
Kaplan, S. and M.S. Weisbach, 1992, The Success of Acquisitions: The Evidence from Divestitures, Journal of Finance, v47, 107-138.
Ke, B., S. Huddart and K. Petroni, 2002, What insiders know about future earnings and how they use it: evidence from insider trades, Working Paper, Social Sciences Research Network.
KPMG, 1999, Unlocking Shareholder Value: The Keys to Success, KPMG Global Research Report.
La Porta, R., J. Lakonishok, A. Shleifer and R. Vishny, 1995, Good News for Value Stocks: Further Evidence of Market Inefficiency, NBER Working Paper.
Lakonishok, J. and I. Lee, 1998, Are insidersÕ trades informative? Working Paper, Social Sciences Research Network.
Lang, L.H., R.M. Stulz and R.A. Walkling, 1989, Managerial Performance, Tobin's Q, and the Gains from Successful Tender Offers, Journal of Finance, v24, 137-154.
Michael, R, R.H. Thaler and K.L. Womack, 1995, Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift? Journal of Finance, v50, 573-608.
Michaely, R. and K.L. Womack, Conflicts of Interests and the Credibility of Underwriter Analysts Recommendations, Review of Financial Studies, Winter, 635-686.
Mitchell, M.L. and K. Lehn, 1990, Do Bad Bidders make Good Targets?, Journal of Applied Corporate Finance, v3, 60-69.
Nail, L.A. , W.L. Megginson and C. Maquieira, 1998, Wealth Creation versus Wealth Redistributions in Pure Stock-for-Stock Mergers, Journal of Financial Economics, v48, 3- Fama, E. F., L. Fisher, M. C. Jensen and R. Roll. The Adjustment Of Stock Prices To New Information, International Economic Review, 1969, v10(1), 1-21.
O'Brien, P., 1988, Analyst's Forecasts as Earnings Expectations, Journal of Accounting and Economics.
Parrino, J.D. and R.S. Harris, Takeovers, Management Replacement and Post-Acquisition Operating Performance: Some Evidence from the 1980s, Journal of Applied Corporate Finance, v11, 88-97.
Penman, S. H., 1987, The Distribution Of Earnings News Over Time And Seasonalities In Aggregate Stock Returns, Journal of Financial Economics, v18(2), 199-228.
Rendleman, R.J., C.P. Jones and H.A. Latene, 1982, Empirical Anomalies based on Unexpected Earnings and the Importance of Risk Adjustments, Journal of Financial Economics,
Rozeff, M., and M.
Zaman, 1988, Market Efficiency and Insider Trading: New Evidence, Journal of Business 61, 25-44.
Seyhun, H.N., 1998, Investment Intelligence from Insider Trading, MIT Press, Cambridge.
Seyhun, N., 1986, InsidersÕ
Profits, Costs of Trading, and Market Efficiency, Journal of Financial Economics 16, 189-212.
Sirower, M.L., 1996, The Synergy Trap, Simon & Schuster.
Vander Weide, J.H., and W.T. Carleton, 1988, Investor Growth Expectations: Analysts Vs. History, Journal of Portfolio Management, v14, 78-83.
Womack, K., 1996, Do brokerage analystsÕ recommendations have investment value? Journal of Finance, v51, 137-167.
Woodruff, Catherine S. and A. J. Senchack, Jr., Intradaily Price-Volume Adjustments Of NYSE Stocks To Unexpected Earnings, Journal of Finance, 1988, v43(2), 467-491.
Ackermann, C., R. McEnally and D. Ravenscraft, 1999, The Performance of Hedge Funds: Risk, Return and Incentives, Journal of Finance, v54, 833-874.
Alejandro Balb‡s and Susana L—pez, 2001, Financial innovation and arbitrage in the
Spanish bond market, Working Paper,
SSRN.
Black, F. and M. Scholes, 1972, The Valuation of Option Contracts and a Test of Market Efficiency, Journal of Finance, Vol 27, 399-417.
Brown, Stephen J.,
William N. Goetzmann and James Park, 2001, Careers and Survival: Competition
and Risk in the Hedge Fund and CTA Industry, Journal of Finance, v56, 1869-1886.
Brown, Stephen J.,
William N. Goetzmann and Roger G. Ibbotson, 1999, Offshore hedge
funds,:survival and performance, 1989 Ð 1995, Journal of Business,
72(1) 91-119.
Dimson, E. and C. Minio-Kozerzki, 1998, Closed-end Funds, A Survey, Working Paper, London Business School.
Garbade, K.D. and W.L. Silber, 1983, Price Movements and Price Discovery in Futures and Cash Markets, The Review of Economics and Statistics, v115, 289-297.
Gatev, E.G., W.N.Goetzmann and K.G. Rouwenhorst, 1999, Pairs Trading, Performance of a Relative Value Arbitrage Rule, Working Paper, SSRN.
Grinblatt, M. and F.A.
Longstaff, 2000, Financial innovation and the role of derivative
securities: An empirical analysis of the U.S. treasuryÕs strips program, Journal of Finance
Kamara, A. and T.W. Miller,
1995, Daily and intradaily tests of European put-call parity. Journal of Financial and Quantitative Analysis 30,
4, 519-541.
Kin, M. A.C. Szakmary and I. Mathur, 2000, Price Transmission Dynamics between ADRs and Their Underlying Foreign Securities, Journal of Banking and Finance, v24, 1359-1382.
Klemkosky, R.C. and B.G. Resnick, 1979, Put-Call Parity and Market Efficiency, Journal of Finance, v 34, pg 1141-1155.
Lee, Charles
M.C., Andrei Shleifer, and Richard
H. Thaler, 1991, Investor Sentiment and the Closed-End Fund Puzzle, Journal of Finance 46, 76-110.
Lee, Charles
M.C., Andrei Shleifer, and Richard
H. Thaler, 1990, Anomalies:
Closed- End Mutual Funds,
Journal of Economic Perspectives
4, 153-164.
Liang, B., 2001, Hedge Fund Performance: 1990-1999, Financial Analysts Journal, Jan/Feb 2001.
Lowenstein , R., 2000, When Genius Failed: The Rise and Fall of Long Term Capital, Random House.
Minio-Paluello,
Carolina, 1998, The UK Closed-End
Fund Discount,
PhD thesis, London Business
School
Mitchell, M., and T.
Pulvino, 2001. Characteristics of risk in risk arbitrage. Journal of Finance, v56, 2135-2175.
Neal, R., 1996, Direct Tests of Index Arbitrage Models, Journal of Financial and Quantitative Analysis, v31, 541-562.
Pontiff, Jeffrey, 1996, Costly
Arbitrage: Evidence from Closed-End Funds, Quarterly Journal of Economics 111, 1135-1151.
Pontiff, Jeffrey, 1997, Excess Volatility and Closed-End Funds, American
Economic
Review 87,
155-169.
Schilling, A.G., 1992,
Market Timing better than a Buy-and-Hold Strategy, Financial Analysts Journal (March-April),
46-50.
Shleifer, Andrei and
Robert W. Vishny, 1997, The limits of arbitrage, Journal of Finance, v52, 35-55
Swaicki, J. and J. Hric, 2001, Arbitrage Opportunities in Parallel Markets: The Case of the Czech Republic, Working Paper, SSRN.
Thompson, Rex, 1978, The Information Content of Discounts and Premiums on Closed-End Fund Shares, Journal of Financial Economics 6, 151-186.
Ang, A. and G. Bekaert, 2001, Stock Return Predictability: Is it there?, Working Paper, Columbia Business School.
Bennett . J.A. and R.W. Sias, 2001, Can Money Flows predict stock returns?, Financial Analysts Journal, Nov/Dec.
Bernstein, 1995, Style Investing, John Wiley & Sons.
Breen, W., L.R. Glosten and R. Jagannathan, 1989, Economic Significance of Predictable Variations in Stock Index Returns, Journal of Finance, v44, 1177-1189.
Brinson, G., B. Singer and G. Beebower, G., 1991, Determinants of portfolio performance II: an update, Financial Analysts Journal, May-June, 40-47.
Brinson, G.L. R. Hood, and G. Beebower, 1986, Determinants
of portfolio performance, Financial
Analysts Journal, July-August, 39-44.
Campbell,
J. and R.Shiller, 2001, Valuation
and the Long-Run Stock Market Outlook: An Update,
NBER Working Paper 8221, National Bureau of Economic Research.
Campbell, J. and R.Shiller, 1998, Valuation and the Long-Run Stock Market Outlook, Journal of Portfolio Management, v24, 11-26.
Chan, K., A. Hameed and W. Tong, 2000, Profitability of Momentum Strategies in the International Equity Markets, Journal of Financial and Quantitative Analysis, v35, 153-172.
Chance, D. M., and M.L. Hemler, 2001, The performance of professional market timers: Daily evidence from executed strategies, Journal of Financial Economics, v62, 377-411.
Chowdhury, M., J.S. Howe and J.C. Lin, 1993, The Relation between Aggregate Insider Transactions and Stock Market Returns, Journal of Financial and Quantitative Analysis, v28, 431-437.
Chua, J. H., R.S. Woodward, and E.C. To. 1987, Potential Gains From Stock Market Timing in Canada, Financial Analysts Journal (September/October), vol. 43, no. 5, 50-56.
Fisher, K.L. and M. Statman, 2000, Investor sentiment and Stock Returns, Financial Analysts Journal, March/April.
Graham, John R.,
and Campbell R. Harvey, 1996, Market timing ability and volatility implied
in investment newslettersÕ asset allocation recommendations, Journal of Financial Economics 42, 397-421.
Haugen, R.A., E. Talmor and W.N. Torous, 1991, The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns, Journal of Finance, v46, 985-1007.
Henriksson, Roy
D., and Robert C. Merton, 1981, On market timing and investment performance.
II. Statistical procedures for evaluating forecasting skills, Journal of Business, v54, 513-533.
Hirsch, Y, 1992, Stock TraderÕs Almanac, Probus Publishing Company, Chicago.
Ibbotson, R. and Kaplan, P., 2000, Does asset allocation explain 40, 90, or 100 per cent of performance?, Financial Analysts Journal, January-February.
Jagannathan,
Ravi, and Robert A. Korajczyk, 1986, Assessing the market timing of managed
portfolios, Journal of
Business 59, 217-235.
James Farreell, Jr., 1975, Homogeneous Stock Groupings: Implications for Portfolio Management, Financial Analysts Journal (May-June), 50-62.
Jeffrey, R., 1984, The Folly of Stock Market Timing, Financial Analysts Journal (July-August), 102-110.
Kao, D., and R. D. Shumaker. Equity Style Timing (corrected), Financial Analysts Journal, vol. 55, no. 1 (January/February 1999): 37-48.
Kon, Stanley J.,
1983, The market-timing performance of mutual fund managers, Journal of Business, v56, 323-347.
Nuttall,
J.A. and J. Nuttall, 1998, Asset Allocation Claims - Truth or Fiction?, Working Paper.
Pradhuman, S., 2000, Small Cap Dynamics, Bloomberg Press.
Sharpe, W. F., 1975, Are Gains Likely From Market Timing, Financial Analysts Journal, vol. 31, no. 2 (March/April): 60-69.
Sorensen, E.H. and T. Burke, 1986, Portfolio Returns from Active Industry Group Rotation, Financial Analysts Journal (September ÐOctober), 43-50.
Stovall, 1996, Sector Investing, McGraw Hill.
Treynor, Jack
L., and Kay Mazuy, 1966, Can mutual funds outguess the market? Harvard Business Review 44, 131-136.
Ahmed, P., P. Gangopadhyay and S. Nanda, 2001, Performance of Emerging Market Mutual Funds and U.S. Monetary Policy, Working paper, SSRN.
Atkinson, S.M., S.B. Baird and M.B. Frye, 2001, Do female mutual fund managers manage differently? Working Paper, SSRN.
Barber, B.M. and T. Odean, Too many cooks spoil the profits, Financial Analysts Journal, January/February 2000.
Bauer, R., K. Koedijk and R. Otten, 2002, International Evidence on Ethical Mutual Fund Performance and Investment Style, Working paper, SSRN.
Bernstein, 1995, Style Investing, John Wiley & Sons.
Blake, C.R. and M. M. Morey, 2000, Morningstar Ratings and Mutual Fund Performance, Journal of Financial and Quantitative Analysis, v35, 451-483.
Bogle, J.C., 1994, Bogle on Mutual funds, Richard D. Irwin.
Borensztein, E.R. and R. G. Gelos, 2001, A panic-prone pack? The Behavior of Emerging Market Mutual Funds, Working Paper, IMF Working Paper No. 00/198
Brown, K.C. and K.V. Harlow, 2002, Staying the Course: The Impact of Investment Style Consistency on Mutual Fund Performance, Working Paper, SSRN.
Brown, S.J., W.N. Goetzmann, Hiraki, Otsuki and Shirashi, 2001, The Japanese Open-End Fund Puzzle, Journal of Business, v74, 59-77.
Brown, Stephen
J., and William N. Goetzmann, 1995, Performance persistence, Journal of Finance 50, 679-698.
Brown, Stephen
J., William N. Goetzmann, Roger G. Ibbotson, and Stephen A. Ross, 1992, Survivorship
bias in performance studies,
Review of Financial Studies 5,
553-580.
Cai, J., K.C. Chan and T. Yamada, 1997, The Performance of Japanese Mutual Funds, Review of Financial Studies, v10, 237-273.
Carhart, Mark
M., 1997, On persistence in mutual fund performance, Journal of Finance 52, 57-82.
Chalmers, J.M.R. R.M. Edelen and
G.B. Kadlec, 1999, An Analysis of Mutual Fund Trading Costs, Working paper, SSRN.
Chan, L.K.C., H.L. Chen and J. Lakonishok, 1999, On Mutual Fund Investment Styles, NBER working paper
Chen, J.L., N. Jegadeesh and R. Wermers, 2000, The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers, Journal of Financial and Quantitative Analysis, v35, 343-368.
Chevalier and Ellison, 1999, Are Some Mutual Fund Managers Better Than Others? Cross-Sectional Patterns in Behavior and Performance, Journal of Finance, v54, 875-899.
Detzler, M.L., 1999, The Value of Mutual Fund Rankings to Individual Investors, Working Paper, SSRN.
Ellis, C.D, 1998, Winning the LoserÕs Game, McGraw Hill.
Elton, E.J., M.J. Gruber, G. Comer and K.Li, 2002, Spiders: Where are the bugs? In Exchange Traded Funds, NYU Working Ppaers.
Fama, E.F. and K.R. French, 1992, The Cross-Section of Expected Returns, Journal of Finance, v47, 427-466.
Grinblatt, M. and S.Titman, 1992, The persistence of
mutual fund performance, Journal of
Finance, v42, 1977-1984.
Goetzmann, W.N. and R. Ibbotson, 1994, Do winners repeat? Patterns in
mutual fund performance, Journal of
Portfolio Management, v20, 9-18.
Hendricks, Patel and Zeckhauser, 1995, Hot Hands in
Mutual Funds: Short run persistence in performance, 1974-1987, Journal of Finance, v48, 93-130.
Indro, D.C., C.X. Jiang, M.Y. Hu and W.Y. Lee, 1999, Mutual Fund Performance: Does size matter?, Financial Analysts Journal, May/June, v55, 74-87.
James, C. and J. Karcesksi, 2002, Captured Money? Differences in the Performance Characteristics of Retail and Institutional Mutual Funds, Working Paper, SSRN.
Jensen, M., 1968, The Performance of Mutual Funds in the period 1945-64, Journal of Finance, v2, 389-416.
Karen Damato. Karen
Damato, Morningstar Edges Toward One-Year Ratings, Wall Street Journal, April 5th, 1996.
Lakonishok, Shleifer and Vishny, 1994, Contrarian Investment, Extrapolation, and Risk, Journal of Finance, v49, 1541-1578.
Lehmann, B.N. and D.M. Modest, 1987, Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons, Journal of Finance, v42, 233-265.
Malkiel, B.G., 1995, Returns from Investing in Equity Mutual Funds 1971 to 1991, Journal of Finance, v50, 549-572.
Morey , M.R., 1998, Should You Carry the Load? A Comprehensive Analysis of Load and No-Load Mutual Fund Out-of-Sample Performance, Working paper, SSRN.
OÕNeal, E.S., 2001, Window Dressing and Equity Mutual Funds, Working paper, SSRN.
Odean, T., 1988, Are
investors reluctant to realize their losses, Journal of Finance, v53, pg 1775-1798.
Otten and Bams, 2002, European Mutual Fund Performance, European Financial Management, v8, 75-101.
Riepe, M.W. and J. Zils, 1997, Are Enhanced Index Mutual
Funds Worthy of Their Name?, Working Paper,
Ibbotson Associates.