Speculation and Financial Markets

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Speculation and Financial Markets

9781840644067 Edward Elgar Publishing
Edited by Liam A. Gallagher, Lecturer in Economics, University College Cork, Ireland and Mark P. Taylor, Dean and Professor of Finance, Warwick Business School, University of Warwick, UK
Publication Date: 2002 ISBN: 978 1 84064 406 7 Extent: 1,240 pp
This authoritative two-volume collection brings together a comprehensive selection of over 40 previously published articles which include seminal and recent contributions in the area of speculation and financial markets.

The volumes present the key theoretical and applied research in the pricing of assets, market efficiency and behavioural finance. It explores speculative behaviour in finance and the main financial markets including the stock market, the bond market and the market for foreign exchange and derivatives.

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This authoritative two-volume collection brings together a comprehensive selection of over 40 previously published articles which include seminal and recent contributions in the area of speculation and financial markets.

The volumes present the key theoretical and applied research in the pricing of assets, market efficiency and behavioural finance. It explores speculative behaviour in finance and the main financial markets including the stock market, the bond market and the market for foreign exchange and derivatives.

Speculation and Financial Markets will be an essential source of reference for researchers, students and practitioners. It will also be an invaluable companion to intermediate and advanced texts on financial markets.
Contributors
45 articles, dating from 1937 to 1999
Contributors include: F. Black, A. Cowles, E.F. Fama, J.A. Frankel, K. French, S. LeRoy, R.C. Merton, M.H. Miller, R.J. Shiller, A. Shleifer
Contents
Contents:
Volume I
Acknowledgements
Introduction Liam A. Gallagher and Mark P. Taylor
PART I EFFICIENT MARKETS
1. Alfred Cowles III and Herbert E. Jones (1937), ‘Some A Posteriori Probabilities in Stock Market Action’
2. Eugene F. Fama (1965), ‘The Behavior of Stock-market Prices’
3. Eugene F. Fama (1970), ‘Efficient Capital Markets: A Review of Theory and Empirical Work’
4. Stephen F. LeRoy (1989), ‘Efficient Capital Markets and Martingales’
PART II MARKET INEFFICIENCY AND STOCK PRICE PREDICTABILITY
5. Eugene F. Fama and Kenneth R. French (1988), ‘Permanent and Temporary Components of Stock Prices’
6. Stephen F. LeRoy and Richard D. Porter (1981), ‘The Present-value Relation: Tests Based on Implied Variance Bounds’
7. M. Hashem Pesaran and Allan Timmermann (1995), ‘Predictability of Stock Returns: Robustness and Economic Significance’
8. James M. Poterba and Lawrence H. Summers (1988), ‘Mean Reversion in Stock Prices: Evidence and Implications’
9. Robert J. Shiller (1981), ‘Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?’
PART III NOISE TRADERS, INVESTOR SENTIMENT AND BEHAVIORAL FINANCE
10. Fischer Black (1986), ‘Noise’
11. Werner F.M. De Bondt and Richard Thaler (1985), ‘Does the Stock Market Overreact?’
12. J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann (1990), ‘Noise Trader Risk in Financial Markets’
13. Eugene F. Fama (1998), ‘Market Efficiency, Long-term Returns, and Behavioral Finance’
14. Robert J. Shiller (1984), ‘Stock Prices and Social Dynamics’
15. Andrei Shleifer and Lawrence H. Summers (1990), ‘The Noise Trader Approach to Finance’
16. Andrei Shleifer and Robert W. Vishny (1997), ‘The Limits of Arbitrage’
PART IV BUBBLES
17. Behzad T. Diba and Herschel I. Grossman (1988), ‘Explosive Rational Bubbles in Stock Prices?’
18. Kenneth A. Froot and Maurice Obstfeld (1991), ‘Intrinsic Bubbles: The Case of Stock Prices’
19. Kenneth D. West (1987), ‘A Specification Test for Speculative Bubbles’
20. Kenneth D. West (1988), ‘Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation’
Name Index

Volume II
Acknowledgements
An Introduction by the editors to both volumes appears in Volume I
PART I PUZZLES IN FINANCE
1. Geert Bekaert and Campbell R. Harvey (1997), ‘Emerging Equity Market Volatility’
2. John Y. Campbell and John H. Cochrane (1999), ‘By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior’
3. George M. Constantinides (1990), ‘Habit Formation: A Resolution of the Equity Premium Puzzle’
4. Eugene F. Fama (1981), ‘Stock Returns, Real Activity, Inflation, and Money’
5. Kenneth R. French and James M. Poterba (1991), ‘Investor Diversification and International Equity Markets’
6. Tim Loughran and Jay R. Ritter (1995), ‘The New Issues Puzzle’
7. David A. Marshall (1992), ‘Inflation and Asset Returns in a Monetary Economy’
8. Rajnish Mehra and Edward C. Prescott (1985), ‘The Equity Premium – A Puzzle’
PART II BOND MARKETS AND THE TERM STRUCTURE OF INTEREST RATES
9. John Y. Campbell and Robert J. Shiller (1991), ‘Yield Spreads and Interest Rate Movements: A Bird’s Eye View’
10. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates’
11. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’
12. Eugene F. Fama (1984), ‘The Information in the Term Structure’
13. Eugene F. Fama and Robert R. Bliss (1987), ‘The Information in Long-Maturity Forward Rates’
PART III FOREIGN EXCHANGE MARKET EFFICIENCY
14. Jeffrey A. Frankel and Kenneth A. Froot (1990), ‘Chartists, Fundamentalists, and Trading in the Foreign Exchange Market’
15. Kenneth A. Froot and Jeffrey A. Frankel (1989), ‘Forward Discount Bias: Is It An Exchange Risk Premium?’
16. Kenneth A. Froot and Richard H. Thaler (1990), ‘Anomalies: Foreign Exchange’
17. Mark P. Taylor and Helen Allen (1992), ‘The Use of Technical Analysis in the Foreign Exchange Market’
18. Mark P. Taylor (1995), ‘The Economics of Exchange Rates’
PART IV DERIVATIVES AND EFFICIENCY
19. Merton H. Miller (1986), ‘Financial Innovation: The Last Twenty Years and the Next’
A Options
20. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’
21. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’
22. Robert C. Merton (1973), ‘The Theory of Rational Option Pricing’
B Futures
23. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘The Relation Between Forward Prices and Futures Prices’
24. Holbrook Working (1953), ‘Futures Trading and Hedging’
25. Pradeep K. Yadav and Peter F. Pope (1990), ‘Stock Index Futures Arbitrage: International Evidence’
Name Index
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