Biographical notes of contributors

Preface / William T. Ziemba

Security market imperfections: an overview / Donald B. Keim and William T. Ziemba

Pt. I. An overview of cross sectional patterns in stock returns. 2. The cross-section of common stock returns: a review of the evidence and some new findings / Gabriel Hawawini and Donald B. Keim ; 3. Beta and book to market: is the glass half full or half empty? / S.P. Kothari and Jay Shanken ; 4. The psychology of over-reaction and under-reaction in work equity markets / Werner F.M. De Bondt ; 5. A view of the current status of the size anomaly / Jonathan B. Berk

6. The demise of size / Elroy Dimson and Paul Marsh ; 7. Direct evidence of non-trading of NYSE and AMEX stocks / Stephen R. Foerster and Donald B. Keim

Pt. II. Seasonal patterns in stock returns and other puzzles. 8. Is there staill a January effect? / Donald G. Booth and Donald B. Keim ; 9. Anticipation in the January effect in the US futures markets / Chris R. Hensel and William T. Ziemba ; 10. How does Clinton stand up to history? US investment returns and presidential party affiliations / Chris R. Hensel and William T. Ziemba ; 11. A long term examination of the turn-of-the-month effect in the S&P500 / Chris R. Hensel, Gordon A. Sick and William T. Ziemba ; 12. The closed-end fund puzzle / Carolina Minio-Paluello ; 13. Stock splits and ex-date returns for Nasdaq stocks: the effects of investor trading and bid-ask spreads / Mark Grinblatt and Donald B. Keim

Pt. III. International evidence. 14. Canadian security market anomalies / George Athanassakos and Stephen Foerster ; 15. Seasonal anomalies in the Italian stock market, 1973-1993 / Elio Canestrelli and William T. Ziemba ; 16. Efficiency and anomalies in the Turkish stock market / Gülner Maradog̃lu ; 17. Efficiencies and anomalies in the Finnish stock market / Teppo Martikainen ; 18. Characteristics-based premia in emerging markets: sector-neutrality, cycles, and cross-market correlations / Sandeep A. Patel ; 19. Anomalies in Asian emerging stock markets / Seng-Kee Koh and Kie Ann Wong ; 20. Japanese security market regularities, 1990-1994 / Luis R. Comolli and William T. Ziemba ; 21 Predicting returns on the Tokyo Stock Exchange / Sandra L. Schwartz and William T. Ziemba ; 22. High stock returns before holidays: international evidence and additional tests / Alonso Cervera and Donald B. Keim.