Index
Les Coleman
(The University of Melbourne, Australia)
New Principles of Equity Investment
ISBN: 978-1-78973-064-7, eISBN: 978-1-78973-063-0
Publication date: 5 February 2019
This content is currently only available as a PDF
Citation
Coleman, L. (2019), "Index", New Principles of Equity Investment, Emerald Publishing Limited, Leeds, pp. 245-258. https://doi.org/10.1108/978-1-78973-063-020191011
Publisher
:Emerald Publishing Limited
Copyright © 2019 Emerald Publishing Limited
INDEX
Note: Page numbers followed by “f” indicate figure; those followed by “n” indicate footnote; and those by “t” indicate table.
accounting variables
as firm value determinants
, 138–140, 139t
return and
, 142, 144, See also predictive models
accounts
, 102
as dataset
, 4
focus of
, 102
fundamental analysis based on
, 103–104
quality of
, 128–129
acquisition/mergers
, 86–87
Adamson, D. d. F.
, 132
affect, extrinsic value and
, 44–45
Agarwal, V.
, 8n1
Ai, H.
, 31
Allais, M
, 57
Altman, E. I.
, 130
Altman Z (model)
, 130
American Association of Individual Investors
, 160, 163
Andrés-Alonso, D.
, 50
Andrew, J.
, 132
‘anticipation process’ to investment
, 97
Applied Investment Theory (Coleman)
, 17
APT.
, See arbitrage pricing theory (APT)
arbitrage pricing theory (APT)
, 115–116, 203
Asness, C. S.
, 163
asset allocation
, 5, 15, 24, 73
individual investors and
, 9
institutional investors and
, 8–9, 9n4, 207
MPT and
, 199
asset markets
, 4, See also equity markets
macroeconomics and
, 153
asset prices
, 11, 42, 153, See also prices/pricing
globalisation of markets and
, 143
assets under management (AUM)
, 9n4, 72–73, 131, 198
audit
, 219–220
AUM.
, See assets under management (AUM)
Australia
model audit engagement letter
, 220
Securities and Investment Commission of
, 157, 220
Securities Exchange
, 158
valuation measures/ratios
, 114, 115t
avoidance, as risk management strategy
, 125
Azofra-Palenzuela, V.
, 50
Baddy, C.
, 91
Bagehot, W.
, 42
Baker, M.
, 160
bankruptcy
, 32, 86, 101
Enron Corporation
, 128–129
quantitative tests
, 130
retail industry (US)
, 134–135, 135t
weak future returns and
, 135–136
Bansal, H. S.
, 28
Bayes Rule
, 184–185
Beeferman, L.
, 21
behavioural biases
, 50, 51, 52t–53t
behavioural finance (BF)
, 50–51
conception
, 202
implications for
, 211–214
Berkman, H.
, 116
Berkshire Hathaway
, 60, 62, 63f, 63n2
‘Better Business Reporting,’
, 220
bias(es)
behavioural
, 50, 51, 52t–53t
confirmation
, 45
Kantian
, 9n4
status quo
, 165
Birinyi, L.
, 71
Black, F.
, 20, 49
Black–Scholes options pricing
, 13, 37
The Blue Way (Adamson and Andrew)
, 132
Blustein, P.
, 89
boards of directors
, 129–130
Bodie, Z.
, 57n1, 116n3, 158
Boer, F. P.
, 28
Bossaerts, P.
, 18–19
Bouchaud, J.-P.
, 98
Bowman, E. H.
, 83
Bradbury, M. E.
, 116
Branson, R.
, 179
Brealey, R. A.
, 117n4
British Academy
, 42
Buffett, W.
, 57n1, 60–61, 62, 63, 64, 118, 185, 191, 215
Butler, S.
, 1
Campbell, J. Y.
, 191
CANSLIM model
, 66
capital asset pricing model (CAPM)
, 114–115, 203
FM valuations and
, 74
cash flow.
, See also discounted cash flow (DCF) analysis
calculation
, 107
cyclical
, 133
free
, 107
future
, 102
pro forma statement
, 108t
transitory
, 108
Cassidy, D.
, 185
cause-and-effect relationships
, 11
Chan, L. K.
, 11
chaos theory
, 85
Chapter 11 bankruptcy.
, See Enron Corporation
Chicago Center for Research in Security Prices (CRSP)
, 50, 101
classical economics
, 2
dictums of
, 6
Clayman, M.
, 119
closed end mutual fund discount
, 39
closed loop system
, 3, 4
Cochrane, J. H.
, 17, 107
co-insurance
, 90, 132, 133–134
Coleman, R.
, 21
compensation
, 42, 91, 130
competition regulation
, 87
component model of prices
, 5, 15–17
conceptualistion
, 27–29
extrinsic value.
, See extrinsic value
intrinsic value.
, See intrinsic value
optionality.
, See real options
overview
, 23–24
top down worldview
, 206
transactional value.
, See transactional value
confirmation bias
, 45
conventional vs. equity markets
, 25–27
Cooper, M. J.
, 132
corporate governance
, 130–131
credit ratings
, 130
crowdsourcing
, 3
cycles
, 169–171
explanations for
, 169
indication of
, 166f, 169–170
cyclical cash flows
, 133
Damodaran, A.
, 30, 57n1, 107, 158
Darwin, C.
, 7
datasets
, 4
Davis, N.
, 155
DCF.
, See discounted cash flow analysis (DCF)
debt securities
, 155
Defoe, Daniel
, 1, 2
DeMiguel, V.
, 181
Democratic Party (US)
, 132
Dennis, Richard
, 69–70
Dictionary of Political Economy (Higgs)
, 84
diminishing marginal utility
, 7
discounted cash flow analysis (DCF)
, 6, 28, 61, 101, 105, See also cash flow
comparative findings
, 116–118
conventional approach to
, 109
FM valuations and
, 74
limited use of
, 117
disequilibrium in equity price
, 166
disposition effect
, 165
DJIA.
, See Dow Jones Industrial Average (DJIA)
Dodd, D.
, 30, 40–41, 97, 123
Donchian, R.
, 70
Dostoevsky, T.
, 149, 158
Dow Jones Industrial Average (DJIA)
, 67–68, 98
downward sloping demand curve
, 7
dynamic, conditional techniques for price evaluation
, 140–146, See also predictive models
ECM.
, See error correction model (ECM)
economic growth, stock returns and
, 153–154
economic systems
, 7
The Economist
, 41, 42
Edgeworth price cycles
, 14, 166–169, 212
Edwards, F. R.
, 8n1
Elizabeth II, Queen
, 42
Ellis, Charles
, 72
endogenous risks
, 90–92, 126
endowment effect
, 165
Enron Corporation
, 90, 128–129, 129t
Chapter 11 bankruptcy
, 128–129
enterprise risk management (ERM) programmes
, 88
equilibrium price
, 6, 27, 166, 169, 199, 206
equities.
, See also investments; price/pricing; risk(s); risk management
as contracts
, 1
debt securities and
, 155
as extensive variables
, 3, 4, 25
high-risk, elimination of
, 125–136
intrinsic/fundamental value
, 5
nature and substance
, 3
relational contracts
, 6, 25, 54
standard goods vs.
, 25–27
equity markets.
, See also investments; price/pricing; risk management
conventional markets vs.
, 25–27
crashes
, 2
incremental investment and
, 14
instability
, 7
institutional investors in.
, See institutional investors
predictable patterns in
, 13–15
seasonality and
, 14–15
socialisation of
, 41–43, 205, 206
structure of
, 160–161
technical analysis and.
, See technical analysis/analysts (TA)
timing, return from
, 172–173, 174f
equity return.
, See return(s)
Erdemlioglu, D.
, 28
error correction model (ECM)
, 141–142, 143–146
An Essay upon Public Credit (Defoe)
, 1
ethical investments
, 131
evaluation techniques, for price
, 140–146, See also predictive models
executive compensation.
, See compensation
exogenous risks
, 86–90
extensive variables
, 3, 4, See also equities
intensive variables vs.
, 25–26
extrinsic value
, 5, 15, 29, 40–47, 212, 213
investment heuristics and
, 43–44
market data and
, 17
psychological contributor to
, 44–46
quantification
, 50
socialisation and
, 41–43
ExxonMobil Corporation
, 92
factor models
, 114–116, See also market-based approach, to pricing
APT
, 115–116
CAPM
, 114–115
Fair, R. C.
, 98
Fair Disclosure (SEC’s regulation)
, 96
Fama, E. F.
, 77, 83, 154, 161–162
Farmer, J. D.
, 98
feedbacks
, 3, 4, 17, 82, 151
debt and
, 155
deterministic chaotic system
, 166
economic systems and
, 7
equities and
, 44, 155, 159
socialised markets
, 11
transaction
, 41
Veblen properties
, 47
Ferguson, J.
, 116
Ferris, K.
, 23
Fidelity Investments
, 118
financial crisis (2007-2008)
, 88–89, 157
financial distress
, 130
financial institutions
, 4, See also investors
trends/trending and
, 164
Financial Statement and Security Valuation (Penman)
, 57n1
financial statements
, 102
Fisher, Irving
, 90
Fisher, Phil
, 58–60
forecasting return.
, See predictive models
four component model of equity price.
, See component model of prices
free cash flow
, 107
French, K. R.
, 77, 83
Friedman, M.
, 82, 210
Frydman, R.
, 218
fundamental analysis/valuation
, 95–120
approaches to
, 102–104
challenges/issues in
, 95–97
comparative findings
, 116–118
complexities of
, 120–122
elements in
, 103t
factors promoting
, 95
framework
, 101–104
impediments to
, 119–120
market-based techniques.
, See market-based approach, to pricing
paradox involved in
, 96
perspectives on
, 96–97
price-sensitive firm attributes
, 104–105
projecting price from firm payoffs
, 105, 107–110
steps in
, 102–103
techniques
, 95, 100–101, 100t
value investing
, 118–120
fundamental value.
, See intrinsic value
fund managers
, 18
AUM-based fees
, 73
CFA accreditation
, 73
conduct of
, 73–74
investment techniques/strategies
, 74–75
Galbraith, John K.
, 42, 197
Garlappi, L.
, 181
GDP
, 175
corporate earnings and
, 150
equity prices and
, 150, 152
fall in
, 86
interest rates and
, 154
returns and
, 153–154
unexpected surge in
, 37
Ghysels, E.
, 83
global financial crisis.
, See financial crisis (2007-2008)
Global Stability Report (IMF)
, 89
Goldberg, M. D.
, 218
goods in traditional markets
, 3
Gordon, M. J.
, 110n1, 218
governance.
, See corporate governance
Graham, B.
, 30, 40–41, 57n1, 58, 59, 60, 75, 76, 97, 118, 123
Green, J.
, 104
Greenspan, Alan
, 41
‘Greenspan Put,’
, 164
Greenwich Associates
, 72
growth
abnormal
, 12
assets
, 216
economic, stock returns and
, 153–154
income
, 59
investors
, 187
revenue
, 59
Gulen, H.
, 132
Hamlet (Shakespeare)
, 95, 96
Hand, J. R. M.
, 104
Harvey, C. R.
, 11, 104, 124
Hasanhodzic, J.
, 70, 71, 157
Haugen, R. A.
, 84
hazard, moral.
, See moral hazard
hazard liabilities
, 5, 15, 29, 33, 35t, 37, 38, 136–137, See also real options
hedging
, 88, 130, 133, See also risk management
Heins, A. J.
, 84
herding
, 75, 94, 165
The Heretics of Finance (Lo and Hasanhodzic)
, 70
Hicks, John
, 87
Hofstede, G.
, 157
Hubbard, R. G.
, 8n1
human decisions, factors influencing
, 7
Hwang, L.-S.
, 31
IMF.
, See International Monetary Fund (IMF)
individualism, return and
, 157
inflation
, 154–155
interest rate and
, 154
information
, 64, 98–99, 104, 175, 206–207, 218, 219
firm as source of
, 104
fund managers (FM)
, 74–75
non-fundamental
, 40
permanent impact on prices
, 99
price-sensitive
, 13–14, 162–165, 168
publicly reported firm-specific
, 163
role in price change
, 99
utility
, 11, 102
value-sensitive
, 164
informational cascades
, 45
information asymmetry
, 26, 40, 91–92
information innovations
, 23, 206
during 1941–1987 in US
, 99
injuries.
, See workplace injuries
In Search of Excellence (Peters and Waterman)
, 119
insider trading
, 88
institutional economics
, 150
institutional investors
, 18, See also investors
asset allocation and
, 8–9, 9n4
AUM.
, See assets under management (AUM)
dominant role
, 26–27, 212–213
investment style of
, 72–75
insurance, for risk management
, 102, 133–134
intensive variables
, 25–26
interest rates
, 155–156
GDP and
, 154
inflation and
, 154
International Monetary Fund (IMF)
, 89
intrinsic value
, 5, 15, 29, 30–31, 136, 205
concept
, 30
duplication/replication
, 30–31
investment.
, See also portfolios; risk management
anticipation process to
, 97
complexity of
, 165
gaps in understanding of
, 2
as intertemporal
, 3
nature and mechanics of
, 24–27
optimised
, 2
paradigm
, 5
performance evaluation.
, See performance evaluation
principles
, 3–4
ranking candidate
, 8–9
risk in.
, See risk(s)
skill
, 62–64
value
, 118–120
Investments (Bodie, Kane and Marcus)
, 158
Investments (CFA Institute)
, 97
investors
, 3
behaviour
, 3–4
behavioural biases
, 50, 51, 52t–53t
ethical and socially responsible
, 131
financial distress
, 130
growth
, 187
horizon and foresight, mismatch
, 10–12
as loss averse
, 80
market oriented
, 187
personal accounts
, 58–71
personalised investment style
, 69
small capitalisation
, 187
status quo bias
, 165
value
, 186, 187
wish list
, 218–222
Investor’s Daily
, 66
‘invisible hand,’
, 7
IPO
, 49
Irving, P. G.
, 28
Irwin, S. H.
, 159
It’s When You Sell That Counts (Cassidy)
, 185
Jacobs, H.
, 104
Jean-Jacques, J. D.
, 118
Jensen, C.
, 117
Jensen, M.
, 162
Jones, Paul Tudor
, 67–68
Journal of Applied Corporate Finance
, 90
Journal of Business Ethics
, 91
Journal of Financial and Quantitative Analysis
, 84
Kahneman, D.
, 80
Kane, A.
, 57n1, 116n3, 158
Kaniel, R.
, 8n2
Kantian bias
, 9n4
Karceski, J.
, 11
Keynes, J. M.
, 41, 43, 97
Keynesian orthodoxy
, 200
Kiersz, A.
, 63
Kiku, D.
, 31
Knight, F.
, 29, 82
knowledge risk
, 83, 184
knowledge translation
, 1–2
Kovner, B.
, 68–69
KPMG
, 220
Kuhnian revolution
, 218
Kutan, A. M.
, 155
The Lady’s Answer to the Knight (Butler)
, 1
La Fuente-Herrero, D.
, 50
Lakonishok, J.
, 11
Lambertides, N.
, 28, 31, 50, 54
LAPR.
, See also loss-adjusted performance ranking (LAPR)
Lauer, M.
, 65, 66
Laurent, S.
, 28
law of one price, violations of
, 38–39
clientele effect
, 39
closed end mutual fund discount
, 39
concept
, 38–39
LEAP.
, See Long-term Equity AnticiPation Securities (LEAP)
Leiblein, M. J.
, 133
Leibniz, G.
, 7
leverage, in portfolios
, 190
Lewis, M.
, 57
Lie, E.
, 111–112
Lie, H.
, 111–112
Lillo, F.
, 98
Lipper
, 73
Liu, J.
, 116–117
Liu, W.
, 152
Liu, Y.
, 11, 104, 124
Livingstone survey
, 171
Lo, A. W.
, 70, 71, 157, 218
Long-term Equity AnticiPation Securities (LEAP)
, 182–183
loss-adjusted performance ranking (LAPR)
, 192–193
The Lunacy of Modern Finance Theory and Regulation (Coleman)
, 17, 221
Lynch, P.
, 57n1, 58, 61–64, 87, 185, 191, 215
MACD.
, See moving average convergence-divergence oscillator (MACD)
macroeconomic variables
influence on equity prices
, 151–153
as predictors of returns
, 152
Marcus, A. J.
, 57n1, 116n3, 117n4, 158
Marcus, M.
, 10
market-based approach, to pricing
, 111–116
factor models
, 114–116
relative valuation (RV)
, 111–114
utility
, 116
market efficiency
, 158
market oriented investors
, 187
markets.
, See also equity markets
classical theory of
, 25
conventional/traditional vs. equity
, 25–27
market sentiment index
, 160
market timing
, 172–173
market-to-book (MTB) ratios
, 105, 111, 113–114
market turning points
, 170–171, See also trends
Market Wizards (Schwager)
, 65
Markowitz, H. M.
, 137, 192
Marshall, A.
, 6, 7, 149
McLean, B.
, 89
McLean, R. D.
, 138
mergers.
, See acquisition/mergers
Merton, R. C.
, 20, 77
milestones, price
, 171–172
Miller, M. H.
, 28, 51
mispricings
, 97, 98
modern portfolio theory (MPT)
, 18, 74, 84, 199–204
foundations
, 200
fund managers and
, 18
impact of
, 199–200
implications for
, 210–211
Keynesian orthodoxy and
, 200
limitations/shortcomings
, 200–203
regulators and
, 201–202
Modigliani, F.
, 28, 51, 83
Modigliani, L.
, 83
Moench, E.
, 152
moral hazard
, 86–88, 91, 133, 134
competition-induced
, 87
concept
, 86
regulation as a source of
, 87
reverse
, 86
technology and products
, 87–88
workplace injuries
, 86
Morningstar
, 73
Moskowitz, T. J.
, 163
moving average convergence-divergence oscillator (MACD)
, 159, 160
MPT.
, See modern portfolio theory (MPT)
Mullally, K. A.
, 8n1
mutual funds.
, See also fund managers
AUM
, 72–73
directors
, 131
factors shaping performance of
, 72
oligopoly
, 72
Myers, S. C.
, 28, 31–32, 51, 117n4
Naik, N. Y.
, 8n1
Nash, J.
, 41
National Bureau of Economic Research (NBER)
, 170
natura non facit saltum
, 7
Neely, C. J.
, 28
neural approaches, to prediction
, 141
The New York Times
, 99
Nocera, J.
, 89
noisy market hypothesis
, 166
O’Neil, William
, 66
One Up on Wall Street (Lynch)
, 61
opportunity cost
, 2, 9, 10, 15, 24, 30, 31, 100, 101, 107, 155, 180, 190, 192
optionality in equity price.
, See real options
Orlitzky, M.
, 131
oscillators, as technical indicators
described
, 159
MACD
, 159, 160
RSI
, 159–160
out-of-the-money call option
, 32
over-the-counter markets
, 32
Ovtchinnikov, A. V.
, 132
Padley, M.
, 221–222
Park, C. H.
, 159
payoffs, projecting equity price from
, 105, 107–110
cash flow analysis
, 107–109
residual income valuation
, 109–110
Pedersen, L. H.
, 163
Penman, Stephen H.
, 57n1, 102–103
pension plans
, 8, See also retirement savings
performance evaluation
, 190–193, 194t, See also portfolios
benchmark
, 191–193
LAPR
, 192–193
predictive capability
, 191
Sharpe Ratio
, 192, 193
performance-generated risks
, 92–93
Peters, T. J.
, 119
Petitt, B.
, 23
Phillips Curve
, 159
political contributions
, 131–132
political economy
, 149–156
Pontiff, J.
, 138
portfolios
, 179–194
features
, 179
leverage in
, 190
optimising structure of
, 180–182
performance evaluation
, 190–193, 194t
reducing loss exposure
, 182–186
style tilts in
, 186–190
Pound, R.
, 25
power distance, return and
, 157
Pratt, J. W.
, 116n3
predictable patterns, in equity markets
, 13–15
predictive models
, 4
empirical application
, 143–146
error correction model (ECM)
, 141–142, 143–146
neural approaches
, 141
three-pass regression filter (TPRF)
, 142–146
President’s term (US)
, 170
price pressure hypothesis
, 167
price/pricing
, 3
basis of
, 6–8
chaotic time series
, 141
component model of.
, See component model of prices
equilibrium
, 199
evaluation techniques
, 140–146
market-based approach to
, 111–116
practitioner-oriented study
, 97
puzzles in
, 23–24, 206
social aspects
, 3
time varying components
, 11
unique features
, 6–8
price-sensitive information
, 13–14, 162–165, 168, 175
price-to-book ratio
, 83
price-to-earnings ratio (PER)
, 58, 60, 62, 71, 111, 112–113, 114, 116
price-to-sales ratio
, 114
principal components regression (PCR)
, 140n2
Principles of Economics (Marshall)
, 7
probabilistic risk
, 82
prospect theory (PT)
, 80–82, 81f, 92–93
quality of accounts
, 128–129
random walk
, 158, 161–163
assumptions
, 163
ratios.
, See relative valuation (RV); valuation, ratios
real options
, 5, 15, 28, 29, 31–38, 136, 205
benefit
, 32
long
, 33
nature and drivers of
, 34t–35t
portfolio effect
, 36
as shared public good
, 37
short
, 33, 36
standard deviation and
, 137
time value
, 37
valuation of
, 37–38
volatility of
, 38
recessions
, 2, 204
Rechner, P. L.
, 8n1
relational contracts
, 6, 25, 54
relative strength index (RSI)
, 159–160
relative valuation (RV)
, 111–114, See also market-based approach, to pricing
benefits
, 111–112
MTB
, 111, 113–114
PER.
, See price-to-earnings ratio (PER)
price-to-sales ratio
, 114
representative investor
, 18
residual income valuation (RIV)
, 6, 109–110
retail industry (US)
, 134–135, 135t
retirement savings
, 8, 72, 197, 212, See also pension plans
return(s).
, See also return-risk relationship
future, higher
, 105
GDP and
, 153–154
gender role rigidity and
, 157
individualism and
, 157
inflation and
, 154–155
interest rates and
, 155–156
lagged values of variables and
, 104–105, 106t
long-term orientation and
, 157
from market timing
, 172–173, 174f
power distance and
, 157
predictive models.
, See predictive models
uncertainty avoidance and
, 157
return-risk relationship
, 83–84
concave relationship
, 84
negative relationship
, 83–84
non-linear relationship
, 84
positive relationship
, 83
Reuer, J. J.
, 133
revenue growth
, 59
Rhoades, D. L.
, 8n1
risk(s)
, 5, 79–93
boards of directors and
, 129–130
conceptualistion
, 80–83
determinants
, 85–93
endogenous
, 90–92
exogenous
, 86–90
overview
, 79–80
performance-generated
, 92–93
prospect theory (PT)
, 80–82, 81f, 92–93
return and
, 83–84
sources
, 85f
"Risk and the rate of return on financial assets" (Haugen and Heins)
, 84
risk-averse investor
, 18
risk budgets
, 132
risk management
, 125–136
addressing harm from latent risk determinants
, 127–128
avoidance as
, 126
building slack
, 132–133
corporate governance and
, 130–131
ethical and socially responsible investment and
, 131
financial distress
, 130
hedging
, 130, 133
insurance
, 102, 133–134
minimising semi-variation/downside risk
, 126–127
perspectives
, 125–126
political contributions and
, 131–132
quality of accounts and
, 128–129
Ritter, J. R.
, 153
Royal Dutch Petroleum
, 39
RSI.
, See relative strength index (RSI)
Saar, G.
, 8n2
SAD.
, See seasonal affective disorder (SAD)
Samuelson, P.
, 185
Santa-Clara, P.
, 83
Savage, L. J.
, 82, 210
sawtooth price pattern
, 160, 166–169
petrol retailing and
, 166n5
Scheid, J.
, 63n2
Scholes, Myron
, 77
Schumpeter, J. A.
, 171
‘Schumpeterian shocks,’
, 99, 163
Schwager, Jack D.
, 65
seasonal affective disorder (SAD)
, 15
seasonality, market patterns and
, 14–15
SEC.
, See Securities and Exchange Commission (US)
Securities Act of 1933 (US)
, 101
Securities and Exchange Commission (US)
, 96, 157
Securities and Investment Commission (Australia)
, 157, 220
Securities Exchange (Australia)
, 158
securities law
, 101
securities regulation
, 157
Security Analysis (Graham and Dodd)
, 58
semi-deviation (SD)
, 126–127, 137, 144, 145, 181, 192–193
sentiment, indicators of
, 160, See also market sentiment index
Shakespeare, William
, 95, 96
Shapiro, E.
, 218
Sharpe Ratio
, 192, 193
Shaw, A. R.
, 70
Shefrin, H.
, 46
Shell Transport
, 39
Shiller, R. J.
, 41, 46, 213
Siegel, J. J.
, 98, 166
size, as firm’s endogenous risk
, 91
small capitalisation investors
, 187, See also investors
smart beta
, 188
Social Indexes
, 131
socialisation of equity markets
, 41–43, 205, 206
socially responsible investment (SRI)
, 131
society, politics and
, 156–157
Sohn, B. C.
, 31
Soros, G.
, 41
S&P 500 Index
, 60, 98, 119, 160
annual values (2000-2017)
, 170
futures contract analysis (1982-1999)
, 98
speculation/speculative excesses
, 42–43
SRI.
, See socially responsible investment (SRI)
standard deviation
, 13, 17, 36, 82, 98, 137, 144, 145, 180, 180n1, 184, 192, 193
standard goods vs. equities
, 25–27
Standfield, K.
, 219
Staples
, 135
Stapleton, R. C.
, 23, 82n1, 116n3
Statman, M.
, 63n2
status quo bias
, 165
stewardship theory
, 91
stock indexes
, 98
stock markets.
, See equity markets
stock returns.
, See return(s)
strategic opportunities
, 5, 15, 31–32, 33, 34t, 36, 37, 136–137, 138, 205, See also real options
Summers, L. H.
, 28, 51, 162
Sundaramurthy, C.
, 8n1
systematic variables.
, See macroeconomic variables
tangible products
, 3
Taylor, J. B.
, 154, 159, See also Taylor Rule
Taylor, S. F.
, 28
Taylor Rule
, 154, 159
technical analysis/analysts (TA)
, 13, 44, 70–71
application of
, 158–160
critics of
, 158
defined
, 158
equity markets structure and
, 160–161
indicators used in
, 158, 159–160
limitation of
, 65
profitability of
, 159
random walk hypothesis
, 161–163
trading and
, 157–172
trending markets and
, 70
use of
, 67–68
Tetlock, P. E.
, 11, 119
Thaler, R. H.
, 6
The Theory of Investment Value (Williams)
, 61
Theory of Reflexivity
, 41
Thompson, S. B.
, 191
three-pass regression filter (TPRF)
, 142–146
timing, markets, return from
, 172–173, 174f
Titman, S.
, 8n2
TPRF.
, See three-pass regression filter (TPRF)
trading
insider
, 88
technical analysis (TA) and
, 157–172
turtle experiment
, 69–70
transactional value
, 5, 15, 29, 38–40, 136
price premia
, 39
violations of the law of one price
, 38–39
transaction cost
, 38
transactions-based data
, 4
trends/trending
, 163–166
complexity of investment
, 165
data series and
, 164
financial institutions and
, 165
long periods
, 164
psychological influences and
, 165–166
shorter periods
, 164
Treynor, J. L.
, 20
Trigeorgis, L.
, 28, 31, 50, 54
Tuckett, D.
, 88
turtle experiment (trading)
, 69–70
Tversky, A.
, 80
uncertainty
, 4, 29, 82, 83
avoidance, return and
, 157
semi-deviation as measure of
, 137
utility of information and
, 102
unemployment, inflation and
, 154–155
United Kingdom (UK)
, 42
valuation measures/ratios
, 114, 115t
United States (US)
banking legislation
, 87
financial institutions
, 8
information innovations
, 99
nuclear power plants
, 84
President’s term
, 170
public corporations in
, 203–204
retail industry
, 134–135, 135t
Securities Act of 1933
, 101
valuation measures/ratios
, 114, 115t
United Technologies Corporation (UTX)
, 144
Uppal, R.
, 181
upward sloping demand curve
, 7
upward sloping supply curve
, 7
USA Today
, 60
US Democratic National Committee
, 132
US Department of Labor
, 215
utility of equity price
, 116
UTX.
, See United Technologies Corporation (UTX)
Valkanov, R.
, 83
valuation
fundamental.
, See fundamental analysis/valuation
ratios
, 6, 111–114, See also relative valuation (RV)
valuation approach/model, development of
, 136–140
accounting variables
, 138–140
ranking strategy
, 137–138
value.
, See also specific value
as elusive concept
, 95
investment
, 118–120
investors
, 186
Veblen goods
, 47, 47n3, 166, 205–206
fundamental value
, 206
Viebig, J.
, 118
violations of the law of one price.
, See law of one price, violations of
VIX.
, See Volatility Index (VIX)
‘vol anomaly,’
, 84
Volatility Index (VIX)
, 183
Wall Street
, 62
Wall Street Journal
, 66
Walras, L.
, 6
Walton, Stuart
, 66
Waterman, R. H.
, 119
wealth effect
, 152, 165
The West Wing
, 216
Williams, John Burr
, 61
Withers, Hartley
, 7–8, 101
workplace injuries
, 86
World Almanac
, 99
Wurgler, J.
, 160
Zacks, L.
, 50–51
zeitgeist
, 42
Zhang, X. F.
, 104
Zhu, H.
, 11, 104, 124
- Prelims
- 1. What this Book is About
- 2. Four-Component Model of Equity Pricing
- 3. How Professionals Invest
- 4. Risk in Equity Investment
- 5. Fundamental Analysis of Equities
- 6. Pricing Equities within the Four-Component Model
- 7. Market Level Influences and Transaction Timing
- 8. Portfolio Construction and Performance Evaluation
- 9. Summary and Conclusions
- References
- Index