SMIF News and Updates:

 

 

SMIF reading list

 

 

Faculty advisor: Mike Cooper

Office: Krannert 440                                                             Secretary: Julie Gable

Telephone: 494-4438                                                            Room 537

Email: mcooper@mgmt.purdue.edu                                  494-4371

 

Want to become a quant. jock? Then read these papers listed below. Ask for a copy of the general papers, and also decide which of the three specific areas (January effect, cross-sectional predictability, or time series based predictability) you are interested in, then contact my secretary, Julie Gable, via email, (gablej@mgmt.purdue.edu) and ask her for a copy of the those papers. She will make copies for you and put them in your mailbox.

 

In addition to the papers listed below, go to the library and read the Journal of Portfolio Management.

 

General papers:

Investments 4th Edition, Irwin McGraw-Hill, Chapter 12 and 13.

 

Eugene Fama, 1991, “Efficient Capital Markets II,” Journal of Finance 46: 1575-1617.

 

Hawawinin, G. and D. Keim, 1997, “The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings,” Wharton School working paper series.

 

Cochrane, 2000, New Facts in Finance, NBER working paper.

 

 

January Effect

Charles P. Jones, Douglas K. Pearce, Jack W. Wilson, 1987,  Can Tax-Loss Selling Explain the January Effect?” A Note, Journal of Finance, Vol. 42, No. 2. (Jun., 1987), pp. 453-461.

 

Edward A. Dyl, Edwin D. Maberly, 1992,  Odd-Lot Transactions around the Turn of the Year and the January Effect, Journal of Financial and Quantitative Analysis, Vol. 27, No. 4. (Dec., 1992), pp. 591-604.

 

Robert A. Clark, John J. McConnell, Manoj Singh , 1992, Seasonalities in NYSE Bid-Ask Spreads and Stock Returns in January, Journal of Finance, Vol. 47, No. 5. (Dec., 1992), pp. 1999-2014.

 

Josef Lakonishok, Seymour Smidt , 1988, “Are Seasonal Anomalies Real? A Ninety-Year Perspective”, Review of Financial Studies, Vol. 1, No. 4. (Winter, 1988), pp. 403-425.

 

Cross-sectional predictability (Value investing)

 

Narasimhan Jegadeesh and Sheridan Titman, 1993, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance 48: 65-91.

 

Lakonishok, J., A. Shleifer, and R. W. Vishny, 1994, “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance 49, 1541-1578.

 

W. Ferson and C. Harvey, 1999, Conditioning variables and the cross-section of stock returns, Journal of Finance 54, No. 4.

 

Time-series predictability (Macro investing)

 

Pesaran, M. and A. Timmermann, 1995, “Predictability of Stock Returns: Robustness and Economic Significance,” Journal of Finance, Vol. 50, No. 4, 1201-1228.

 

Nai-Fu Chen, Richard Roll, and Stephen Ross, 1986, “Economic Forces and the Stock Market,” Journal of Business 59: 383-403.