Efficient Capital Markets A Review of Theory and Empirical Work

Kapitel in diesem Buch

1. Frontmatter i
2. Contents v
3. Preface ix
4. I. Introductions
5. My Life in Finance 3
6. Things I’ve Learned from Gene Fama 24
7. Gene Fama’s Impact A Quantitative Analysis 30
8. II. Efficient Markets
9. Efficient Markets and Empirical Finance 53
10. The Great Divide 63
11. Efficient Capital Markets A Review of Theory and Empirical Work 76
12. Efficient Capital Markets II 122
13. Market Efficiency, Long- Term Returns, and Behavioral Finance 174
14. III. Efficiency Applied Event Studies and Skill
15. Fama, Fisher, Jensen, and Roll (1969) Retrospective Comments 203
16. Eugene Fama and Industrial Organization 213
17. Luck versus Skill 243
18. Luck versus Skill and Factor Selection 250
19. Luck versus Skill in the Cross- Section of Mutual Fund Returns 261
20. IV. Risk and Return
21. Risk and Return 303
22. Risk, Return, and Equilibrium Empirical Tests 315
23. The Cross- Section of Expected Stock Returns 349
24. Common Risk Factors in the Returns on Stocks and Bonds 392
25. Multifactor Explanations of Asset Pricing Anomalies 450
26. V. Return Forecasts and Time- Varying Risk Premiums
27. Return Forecasts and Time- Varying Risk Premiums 487
28. Short- Term Interest Rates as Predictors of Inflation 502
29. Forward Rates as Predictors of Future Spot Rates 524
30. Forward and Spot Exchange Rates 544
31. Dividend Yields and Expected Stock Returns 568
32. The Information in Long- Maturity Forward Rates 596
33. VI. Corporate Finance and Banking
34. Corporate Finance 617
35. Agency Problems and the Theory of the Firm 624
36. Separation of Ownership and Control 645
37. Dividend Policy An Empirical Analysis 671
38. Disappearing Dividends Changing Firm Characteristics or Lower Propensity to Pay? 707
39. Financing Decisions Who Issues Stock? 750
40. Banking in the Theory of Finance 789
41. Our Colleague 809
42. Contributors 815