Обыкновенные акции                                            547

Frank К. Reilly and David J. Wright, «A Comparison of Published Betas», Journal of Portfolio
Management, 14, no. 3 (Spring 1988), pp. 64—69.

Thomas E. Copeland and J. Fred Weston, Financial Theory and Corporate Policy (Reading,

MA: Addison-Wesley, 1988), Chapter 13.

Richard A. Brealey and Stewart C. Myers, Principles of Corporate Finance (New York:

McGraw-Hill, 1991), pp. 191-192, 468-469.

8. Характеристики устойчивых и быстрорастущих акций описаны в работах:

Ken Gregory, «Fund Investment Strategies: Growth vs. Value Investing», AAII Journal, 11,

no. 9 (October 1989), pp. 22-25.

David E. Tierney and Kenneth J. Winston, «Using Generic Benchmarks to Present Manager

Styles», Journal of Portfolio Management, 17, no. 4 (Summer 1991), pp. 33-36.

John Bajkowski, «A Question of Style: Growth and Value Investing», AAII Journal, 14, no.

5 (June 1992), pp. 33-37.

John Bajkowski, «Creating Stock Screens That Make Practical Sense», AAII Journal, 15,

no. 6 (July 1993), pp. 34-37.

9. Многие исследования эмпирических закономерностей поведения обыкновенных
акций цитируются в примечаниях к этой главе. См. также работы:

Donald B.Keim, «The CAPM and Equity Return Regularities», Financial Analysts Journal,
42, no. 3 (May/June 1986), pp. 19-34.

Michael Smirlock and Laura Starks, «Day-of-the-Week and Intraday Effects in Stock
Returns», Journal of Financial Economics, 17, no. 1 (September 1986), pp. 197-210.

Richard H. Thaler, «Anomalies: The January Effect», Journal of Economic Perspectives, 1,

no. 1 (Summer 1987), pp. 197-201; «Anomalies: Seasonal Movements in Security Prices

II — Weekend, Holiday, Turn of the Month, and Intraday Effects», Journal of Economic

Perspectives, 1, no. 2 (Fall 1987), pp. 169-177.

Douglas K. Pearce, «Challenges to the Concept of Market Efficiency», Federal Reserve

Bank of Kansas City Economic Review, 72, no. 8 (September/October 1987), pp. 16—33.

Eiroy Dimson, ed., Stock Market Anomalies (Cambridge, England: Cambridge University

Press, 1988).

Robert A. Haugen and Josef Lakonishok. The Incredible January Effect (Homewood, IL:

Dow Jones-Irwin, 1988).

Burton G. Malkeil, A Random Walk Down Wall Street (New York: W.W. Norton, 1990),
Chapter 8.

Eugene F. Fama, «Efficient Capital Markets: II», Journal of Finance, 46, no. 5 (December
1991), pp. 1575-1617.

Narasimhan Jegadeesh, «Does Market Risk Really Explain the Size Effect?», Journal of
Financial and Quantitative Analysis, 27, no. 3 (September 1992), pp. 337-351.

Mark D. Griffiths and Robert W. White, «Tax-Induced Trading and the Turn-of-the-Year
Anomaly: An Intraday Study», Journal of Finance, 48, no. 2 (June 1993), pp. 575—598.

10. В этой ироничной статье об аномалиях говорится о том, что доходность рынка в
пятницу 13-го числа является, как правило, исключением:

Robert W. Kolb and Ricardo J. Rodriguez, «Friday the Thirteenth: 'Part VII'—A Note»,
Journal of Finance, 42, no. 5 (December 1987), pp. 1385-1387.