Beyond Greed and Fear
Page 47
sentiment
in commodity market, 289–298
index, as market predictor, 60–68
investor, and closed-end funds, 180–181, 184–185
logic of going against, 59–60
and market prediction, 53–55
using options to measure, 286–287See also Bullish Sentiment Index
Sepe, James, 237
Serwer, Andy, 85
Shaffer, Robert, 229, 232
Shafir, Eldan, 31–32, 208–209
Shain, Paul S., 94, 95
Sharpe, William, 5, 41–42, 126, 218
Shefrin, Hersh, 8, 9, 10, 30, 41, 82, 84, 86, 87, 107, 116, 127, 129, 134, 141, 151, 222, 275
Shell Transport and Trading, 7, 41
Sherlund, Rick, 266
Shiller, Robert, 10, 38–40, 58, 152–153, 250, 282
Shleifer, Andrei, 87, 101, 179, 180, 181, 184, 185, 187, 189, 219, 220
Shulman, David, 46, 246
Siegal, Jeremy, 37
Siemens, 229
Skantz, 236
Skinner, Jonathan, 153, 154
Slovic, Paul, 3, 7–8, 14
small-stock returns, connection with closed-end funds, 184–185
Smith, Morris, 166
Smith Barney, 51, 79, 80, 186
Solt, Michael, 61, 62, 65, 81
speculation, in foreign exchange market, 299–308
speculative investment, in layered pyramid, 122–123
Sperry Univac, 82, 229
“spinning,” of IPO shares, 249–250
“spinoffs,” corporate, 233, 236
Stambaugh, Robert, 37
standardized unexpected earnings (SUE), 97
trading strategy based on, 97–100
Stansky, Robert, 166
Starks, Laura, 117, 173
Starr-McCluer, Martha, 135
Statman, Meir, 8, 9, 10, 18, 30, 41, 47, 61, 62, 65, 67, 68, 81, 82, 84, 86, 87, 107, 116, 123, 127, 129, 134, 147, 150, 151, 172, 222, 223, 237, 275
Steadman, Charles, 109
Steadman, William, 109
Steadman mutual fund, 108, 109
Stein, Jeremy, 102, 285, 286
Stephens Inc., 92, 93, 94
Stewart, James, Blood Sport, 114
stock market crash
and fundamental values, 38, 40
and implied volatility, 280–282
role of index options in, 283–284
stock market prediction. See prediction, market
stock recommendations. See recommended stocks
strategic asset allocation, versus active money management, 223, 224
Strawbridge, Robert, 243–244
Subrahmanyam, Avanidhar, 86, 101, 102
SUE. See standardized unexpected earnings
Sun Microsystems, 230, 231
Sutton, Bill, 303
Swaminathan, Bhaskaran, 40, 185
Swiss American Securities, 284
technical analysis, in market prediction, 53–55
Technologic Partners, 229
Technology Value fund, 173–174
Teeter, Robert M., 141
Templeton Global Income Fund, 182
Tesoriero, Frank, 298
Thaler, Richard, 5, 8, 10, 16, 27, 28–29, 34, 37, 38, 42, 81, 84, 85, 88, 99, 131, 135, 136, 141, 146, 147, 148, 179, 180, 181, 184, 185, 187, 189, 217, 218
theglobe.com, 246
Thomas, Jacob, 35
3Com, 24
Tiger Management Corp., 303
tilting, 86
time diversification, and loss aversion, 146–147
time horizon, and portfolio choices, 124–125
Tintelnot, Michael, 187
Titman, Sheridan, 75, 77, 167, 169
trading
frequency and performance, 132–133
noisy, 295
online, 133–134
patterns, and gender, 134
Treasury bond yields, 194–195, 197–198
trends. See betting on trends
Tversky, Amos, 3, 7, 8, 14, 18, 24, 31–32, 108, 129, 151, 170, 209, 217, 277
Tyebjee, Tyzoon, 237
underperformance. See long-term underperformance
underpricing. See initial underpricing
underreaction
as cognitive bias, 77
misinterpreting evidence about, 86–88
and post-earnings announcement drift, 20, 96, 101–102
and winner-loser effect, 85
underwriter analysts, buy recommendations of, 258–262
Unisys, 82–85, 229
university endowment portfolio, case study of, 214–218
Unruh, James, 82
USA Today, 199, 201
U.S. News & World Report, 126
validity, illusion of, 22
in corporate takeovers, 232, 233
in forecasting, 201, 204
and sentiment index, 64–66
value investing, 8, 70, 81
three factor model of, 85–86
value stocks, 75, 87
Varaiya, Nikhil, 236
Venti, Steven, 141, 142
Vinik, Jeffrey, 166
Vishny, Robert, 87, 101, 219, 220
volatility, market, 10
causes of, 38–41
in commodity market, 290–298
impact on sentiment index, 68
implied, 282–283
(See also implied volatility, of options)
Wall, Ginita, 121, 122, 150
The Way to Invest, 148–149
Wall Street Journal, 21, 41, 47, 48, 54, 59, 62, 64, 66, 70, 71, 72, 77, 109, 123, 162, 163–164, 171, 177, 184, 186, 202, 210, 232, 243, 244, 254, 259, 266, 276, 283, 299, 300, 301
Wall Street Journal/NBC News poll, 141
Wall Street Journal/Zacks Investment Research study, 71, 72, 75, 77, 78
Wall $treet Week with Louis Rukeyser, 3, 53, 131, 257, 258, 263, 265, 269
and sentiment index, 62–63
stock recommendations of, 69, 77, 89
Washington Post, 52
Wasik, John, The Investment Club Book, 135
Weinberg, Steven, 153, 154
Weinstein, Neil, 132, 237, 255
Wermers, Russ, 169
Whitewater investment deal, 114
Wien, Byron, 46
Wiggins, James, 97
windows of opportunity, in IPOs, 251, 254
winner-loser effect, 16
and investor strategy, 81–85, 88
and mispricing, 34–35
winner’s curse
in corporate takeovers, 228–230, 233–236
and initial underpricing of IPOs, 247–248
Wise, David, 141, 142
Wizman, Thierry, 187, 188
Womak, Kent, 74, 75, 261, 262
W. R. Hambrecht & Co., 250
yield curves, 193–194
and expectations hypothesis, 205–209
inflation expectations and, 209–211
Young, Alwyn, 302
Zacks Investment Research, 71, 72, 76, 77, 78
Zeckhauser, Richard, 167, 268, 269
Zweig, Martin, 29, 30, 68, 189