Handbook of Applied Investment Research

Edited by John B Guerard and William T Ziemba

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average investor could not outperform the stock market based on technical, seasonal and fundamental data. Many, if not most faculty and investors, no longer share that opinion. In this book, the authors report original empirical evidence that applied investment research can produce statistically significant stock selection and excess portfolio returns in the US, and larger excess returns in international and emerging markets.

Keywords: Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors (search for similar items in EconPapers)
JEL-codes: G1 G11 G17 (search for similar items in EconPapers)
Date: 2020
ISBN: 9789811216725
References: Add references at CitEc
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https://www.worldscientific.com/worldscibooks/10.1142/11727 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 Introduction , pp xxix-lii

John B. Guerard and William T. Ziemba

Ch 2 The Five Investor Camps that Try to Beat the Stock Market , pp 3-16

William T. Ziemba

Ch 3 A comparison of some aspects of the U.S. and Japanese equity markets , pp 17-40

M. Bloch, J. Guerard, Harry Markowitz, P. Todd and G. Xu

Ch 4 Covariance complexity and rates of return on assets , pp 41-61

Leonard C. MacLean, Michael E. Foster and William T. Ziemba

Ch 5 The role of effective corporate decisions in the creation of efficient portfolios , pp 63-73

J. B. Guerard, Harry Markowitz and G. Xu

Ch 6 Earnings forecasting in a global stock selection model and efficient portfolio construction and management , pp 75-85

John B. Guerard, Harry Markowitza and GanLin Xu

Ch 7 Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet , pp 87-126

Bijan Beheshti, John B. Guerard and Chris Mercs

Ch 8 The Hillcrest Management Sentiment Indicator , pp 127-140

Brian Bruce and Douglas Stark

Ch 9 SEASONALITY EFFECTS IN JAPANESE FUTURES MARKETS , pp 143-171

William T. Ziemba

Ch 10 Sell-in-May-and-Go-Away in the U.S. Equity Index Futures Markets, 1993–2019 , pp 173-186

Constantine Dzhabarov and William T. Ziemba

Ch 11 Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects , pp 187-214

William T. Ziemba

Ch 12 World wide security market regularities , pp 215-246

William T. Ziemba

Ch 13 Sell-in-May-and-Go-Away: The International Evidence , pp 247-280

Constantine Dzhabarov, Alexandre Ziegler and William T. Ziemba

Ch 14 Seasonal Effects, Trends and Pre-Announcement Drifts: Turning Anomalies into Investment Strategies , pp 281-321

Blair Hull, Petra Bakosova and Alexander Kment

Ch 15 Stock Market Crashes in 2006–2009: Were We Able to Predict Them? , pp 323-353

Sebastien Lleo and William T Ziemba

Ch 16 Efficient global portfolios: Big data and investment universes , pp 357-367

J. B. Guerard, S. T. Rachev and B. P. Shao

Ch 17 Avoiding the Downside: A Practical Review of the Critical Line Algorithm for Mean–Semivariance Portfolio Optimization , pp 369-415

Harry Markowitz, David Starer, Harvey Fram and Sander Gerber

Ch 18 Alternative Measures of Mutual Fund Performance: Ranking DFA, Fidelity, and Vanguard , pp 417-476

Chong Li, Edward Tower and Rhona Zhang

Ch 19 Wealth Management Next Frontiers — The Inevitable Need to Meet Behavioral and Quantitative Approaches , pp 479-509

Boryana Racheva-Iotova

Ch 20 Foreign Exchange Rate Predictability: Seek and Ye Shall Find It , pp 511-556

Foteini Kyriazi and Dimitrios Thomakos

Ch 21 Tracking VIX with VIX Futures: Portfolio Construction and Performance , pp 557-596

Tim Leung and Brian Ward

Ch 22 Long-Memory Processes in High-Frequency Foreign Exchange and U.S. Equity Market , pp 597-620

Barret Pengyuan Shao

Ch 23 Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market , pp 621-633

William T. Ziemba

Ch 24 A Stopping Rule Model for Exiting Bubble-like Markets with Applications , pp 635-659

William T. Ziemba, Sebastien Lleo and M. Zhitlukhin

Ch 25 Econometric Tools for Stress Testing Using Time Heterogeneity and Maximum Entropy , pp 661-690

Hrishikesh Vinod

Ch 26 Causality Studies of Real GDP, Unemployment, and Leading Indicators , pp 691-724

Hrishikesh Vinod and John B. Guerard

Ch 27 Investing on the “Far Side of the Moon”: Capturing Capital Market Inclusion Opportunity across MEASA (Middle East–Africa–South Asia) , pp 725-741

Robert A. Gillam and Russell Read

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