The Inefficient Stock Market : What Pays Off and Why / Edition 2

Paperback (Print)
Buy Used
Buy Used from BN.com
$65.17
(Save 41%)
Item is in good condition but packaging may have signs of shelf wear/aging or torn packaging.
Condition: Used – Good details
Used and New from Other Sellers
Used and New from Other Sellers
from $55.40
Usually ships in 1-2 business days
(Save 50%)
Other sellers (Paperback)
  • All (12) from $55.40   
  • New (7) from $88.68   
  • Used (5) from $55.40   

Overview

Sparked with wit and humor, this clever and insightful book provides clear evidence that the stock market is inefficient. In the author's view, models based on rational economic behavior cannot explain important aspects of market behavior. The book tackles important issues in today's financial market in a highly conversational and entertaining manner that will appeal to most readers. Chapter topics include: estimating expected return with the theories of modern finance, estimating portfolio risk and expected return with ad hoc factor models, payoffs to the five families, predicting future stock returns with the expected-return factor model, super stocks and stupid stocks, the international results, the topography of the stock market, the positive payoffs to cheapness and profitability, the negative payoff to risk, and the forces behind the technical payoffs to price-history. For anyone who wants to learn more about today's financial markets.

Read More Show Less

Product Details

  • ISBN-13: 9780130323668
  • Publisher: Prentice Hall
  • Publication date: 6/28/2001
  • Edition description: 2ND
  • Edition number: 2
  • Pages: 144
  • Product dimensions: 5.82 (w) x 8.81 (h) x 0.86 (d)

Meet the Author

Robert A. Haugen is Emeritus Professor of Finance at the University of California, Irvine. Professor Haugen has held endowed chairs at the University of Wisconsin, the University of Illinois, and the University of California. He is the author of more than 50 articles in the leading journals in finance and 13 books, including The Incredible January Effect, The New Finance, Beast on Wall Street, and Modern Investment Theory. He serves as Managing Partner to Haugen Custom Financial Systems, which licenses portfolio management software to 25 pension funds, endowments, and institutional and high-net-worth money managers. Visit Robert Haugen's Web site at: www.bobhaugen.com .

Read More Show Less

Read an Excerpt

Factor models have been widely employed in the investments business for decades. Quantitatively oriented managers have used them to control the month-to-month variation in the differences between the returns to their stock portfolios and the returns to the stock indices to which they are benchmarked. These models employ a wide variety of ad hoc factors that have been shown to be effective in predicting the risk of a stock portfolio.

Factor models have also been widely discussed in academic finance. Finance professors have long searched for the factors that account for the extent to which returns are correlated stock to stock. The professors have correctly concluded that the correlations can be explained by a few factors, such as unexpected changes in industrial production, inflation, or interest rates. This is not to say that these few factors can match the success of the wide variety of ad hoc factors used in the business for forecasting risk.

The professors have also used factor models to explain why stocks have differential expected returns. These models are theoretical in nature, and are derived under the assumption that pricing in the stock market is efficient and rational. If it is not, a wide variety of ad hoc factors may be useful in explaining and predicting expected stock returns.

Until recently, ad hoc factor models have not been employed to predict the expected return to stock portfolios. Surprisingly, the factor models are much more powerful in predicting expected return than they are in predicting risk. The purpose of this book is to demonstrate and explain the nature of this power.

I wish to thank Teimur Abasov, David Friese, and David Olson for research assistance. I have also benefited from the comments of Mark Fedenia, Joseph Finnerty, Jeremy Gold, Tiffany Haugen, Thomas Krueger, Robert Marchesi, Cheryl McCaughey, Ray Parker, Neal Stoughton, Manuel Tarrazo, and Ole Jakob Wold. Much of the original work was done jointly with Nardin Baker. The idea for this book was suggested to me by Paul Donnelly.

Read More Show Less

Table of Contents

1. Introduction.

I. WHAT.

2. Estimating Expected Return with the Theories of Modern Finance.

3. Estimating Portfolio Risk and Expected Return with Ad Hoc Factor Models.

4. Payoffs to the Five Families.

5. Predicting Future Stock Returns with the Expected-Return Factor Model.

6. Counterattack—The First Wave.

7. Super Stocks and Stupid Stocks.

8. The International Results.

II. WHY.

9. The Topography of the Stock Market.

10. The Positive Payoffs to Cheapness and Profitability.

11. The Negative Payoff to Risk.

12. The Forces Behind the Technical Payoffs to Price History.

13. Counterattack—The Second Wave.

14. The Roads to Heaven and Hell.

15. The Wrong 20-Yard Line.

Read More Show Less

Preface

Factor models have been widely employed in the investments business for decades. Quantitatively oriented managers have used them to control the month-to-month variation in the differences between the returns to their stock portfolios and the returns to the stock indices to which they are benchmarked. These models employ a wide variety of ad hoc factors that have been shown to be effective in predicting the risk of a stock portfolio.

Factor models have also been widely discussed in academic finance. Finance professors have long searched for the factors that account for the extent to which returns are correlated stock to stock. The professors have correctly concluded that the correlations can be explained by a few factors, such as unexpected changes in industrial production, inflation, or interest rates. This is not to say that these few factors can match the success of the wide variety of ad hoc factors used in the business for forecasting risk.

The professors have also used factor models to explain why stocks have differential expected returns. These models are theoretical in nature, and are derived under the assumption that pricing in the stock market is efficient and rational. If it is not, a wide variety of ad hoc factors may be useful in explaining and predicting expected stock returns.

Until recently, ad hoc factor models have not been employed to predict the expected return to stock portfolios. Surprisingly, the factor models are much more powerful in predicting expected return than they are in predicting risk. The purpose of this book is to demonstrate and explain the nature of this power.

I wish to thank Teimur Abasov, David Friese, and David Olson for research assistance. I have also benefited from the comments of Mark Fedenia, Joseph Finnerty, Jeremy Gold, Tiffany Haugen, Thomas Krueger, Robert Marchesi, Cheryl McCaughey, Ray Parker, Neal Stoughton, Manuel Tarrazo, and Ole Jakob Wold. Much of the original work was done jointly with Nardin Baker. The idea for this book was suggested to me by Paul Donnelly.

Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)