Some Light Reading


Chapter 2

Bernstein, P., 1992,  Capital Ideas, The Free Press, New York.

Bernstein, P., 1996, Against the Gods, John Wiley &  Sons, New York.

Chapter 3


Chapter 4

Damodaran, A., 2002, Investment Valuation, Second Edition, John Wiley & Sons. New York.

Chapter 5


Chapter 6


Chapter 7

Edwards, R. and J. Magee, 2001, Technical Analysis of Stock Trends, St. Lucie Press.

Liss, D., 2001,A Conspiracy of Paper, Ballantine Books.

Mackay, C., 1852, Extraordinary Popular Delusions and the Madness of Crowds, Reprinted by John Wiley & Sons, New York.

Robert Schiller, 2000, Irrational Exuberance, Princeton Press, Princeton.

Chapter 8

Graham, B. and D. Dodd, 1934, Security Analysis. McGraw Hill.

Hagstrom, R.G., 1994, The Warren Buffett Way, John Wiley and Sons, New York.

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.

Chapter 9

Bernstein, R., 1995, Style Investing, John Wiley and Sons.

Pradhuman, S., 2000, Small Cap Dynamics, Bloomberg Press.

Siegel, J., 1998, Stocks for the Long Run, McGraw Hill, New York.

Chapter 10

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.

Chapter 11

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 Š 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.

Chapter 12

Abhyankar , A.and P.R. Davies, 2002, Return Predictability, Market Timing and Volatility: Evidence from the Short Rate Revisited, Working paper, SSRN.

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 ŠOctober), 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.

Chapter 13

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,
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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.

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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.