| abnormal return | Return on a stock beyond what would be predicted by market movements alone. Cumulative abnormal return (CAR) is the total abnormal return for the period surrounding an announcement or the release of information.
|
 |
|
|
| anomalies | Patterns of returns that seem to contradict the efficient market hypothesis.
|
|
|
|
| book-to-market effect | The tendency for stocks of firms with high ratios of book-to-market value to generate abnormal returns.
|
|
|
|
| cumulative abnormal return | See abnormal return.
|
|
|
|
| Dow theory | A technique that attempts to discern long- and short-term trends in stock market prices.
|
|
|
|
| efficient market hypothesis | The prices of securities fully reflect available information. Investors buying securities in an efficient market should expect to obtain an equilibrium rate of return. Weak-form EMH asserts that stock pricesalready reflect all information contained in the history of past prices. The semistrong-form hypothesis asserts that stock prices already reflect all publicly available information. The strong-form hypothesis asserts that stock prices reflect all rele-vant information including insider information.
|
|
|
|
| event study | Research methodology designed to measure the impact of an event of interest on stock returns.
|
|
|
|
| fundamental analysis | Research to predict stock value that focuses on such determinants as earnings and dividends prospects, expectations for future interest rates, and risk evaluation of the firm.
|
|
|
|
| index fund | A mutual fund holding shares in proportion to their representation in a market index such as the S&P 500.
|
|
|
|
| momentum effect | The tendency of poorly performing stocks and well-performing stocks in one period to continue that abnormal performance in following periods.
|
|
|
|
| neglected-firm effect | That investments in stock of less well-known firms have generated abnormal returns.
|
|
|
|
| P/E effect | That portfolios of low P/E stocks have exhibited higher average risk-adjusted returns than high P/E stocks.
|
|
|
|
| passive investment strategy | Buying a well-diversified portfolio to represent a broad-based market index without attempting to search out mispriced securities.
|
|
|
|
| random walk | Describes the notion that stock price changes are random and unpredictable.
|
|
|
|
| resistance levels | A price level above which it is supposedly difficult for a stock or stock index to rise.
|
|
|
|
| reversal effect | The tendency of poorly performing stocks and well-performing stocks in one period to experience reversals in following periods.
|
|
|
|
| semistrong-form EMH | See efficient market hypothesis.
|
|
|
|
| small-firm effect | That investments in stocks of small firms appear to have earned abnormal returns.
|
|
|
|
| strong-form EMH | See efficient market hypothesis.
|
|
|
|
| support levels | A price level below which it is supposedly difficult for a stock or stock index to fall.
|
|
|
|
| technical analysis | Research to identify mispriced securities that focuses on recurrent and predictable stock price patterns and on proxies for buy or sell pressure in the market.
|
|
|
|
| weak-form EMH | See efficient market hypothesis.
|