Knowledge that Transforms

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

In Investors and Markets, Nobel Prize-winning financial economist William Sharpe shows that investment professionals cannot make good portfolio choices unless they understand the determinants of asset prices. Sharpe sets out his state-of-the-art approach to asset pricing in a nonmathematical form that will be comprehensible to a broad range of investment professionals, including investment advisors, money managers, and financial analysts. This method of analyzing asset prices accounts for the real behavior of investors. Sharpe makes this technique accessible through a new, one-of-a-kind computer program (available for free on his Web site, www.wsharpe.com) that enables users to create virtual markets, setting the starting conditions and then allowing trading until equilibrium is reached and trading stops. Program users can then analyze the final portfolios and asset prices, see expected returns, and measure risk. Any serious investment professional will benefit from Sharpe's unique insights.

aims to appoint a Chair Professor of Finance to provide leadership in all aspects of academic activities, including teaching, research and consultancy in the School of Accounting

Abstract Miller (1977) hypothesizes that dispersion of investor opinion in the presence of short-sale constraints leads to stock price overvaluation. However, previous empirical tests of Miller's hypothesis examine the valuation effects of only one of these two necessary conditions. We examine the valuation effects of the interaction between differences of opinion and shortsale constraints. We find robust evidence of significant overvaluation for stocks that are subject to both conditions simultaneously. Stocks are not systematically overvalued when either one of these two conditions is not met.

Abstract We examine the cross section of stock returns using an original dataset consisting of annual observations on price, dividends, and shares outstanding for nearly all stocks listed on U.K. exchanges between 1870 and 1913, supplemented with additional information about attrition. The only clear pattern in the historical U.K. data is the high returns of extremely small stocks. Among the largest 99.8% of stocks, the historical U.K. data do not display the pattern found in modern U.S. (CRSP) data of excess returns for small stocks or stocks with poor past performance. Unlike CRSP data, stocks that do not pay dividends do not outperform stocks that pay small dividends during this period. However, as in the modern data, there is a weak relation between dividend yield and performance for stocks that pay dividends.