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| Bernstein P.L. — Capital Ideas: The Improbable Origins Of Modern Wall Street |
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| Предметный указатель |
"'Motionless' Motion of Swift's Flying Island, The" (Merton) 214
"Aircraft Compartment Design Criteria for the Army Deployment Mission" (Sharpe) 79
"Analysis of Economic Time Series, The" (Kendall) 96
"Behavior of Stock Prices, The" (Faraa) 132
"Beta Revolution: Learning to Live with Risk" 189
"Brownian Motion in the Stock Market" (Osborne) 103
"Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk" (Sharpe) 193
"Cost of Capital, Corporation Finance, and the Theory of Investment, The" (Modigliani/Miller) 169 174—175
"Dow Theory Comment" 30 34
"Growth Stocks and the Petersburg Paradox" (Durand) 155 168
"How Market Theory Can Help Investors Set Goals, Select Investment Managers, and Appraise Investment Performance" (O'Brien) 281
"How to Use Security Analysis to Improve Portfolio Selection" (Treynor/Black) 191
"Is American Business Worth More Dead Than Alive?" (Graham) 158
"Liquidity Preference as Behavior Toward Risk" (Tobin) 64
"Market and Industry Factors in Stock Price Performance" (King) 261
"Measuring the Investment Performance of Pension Funds" report 239
"Modern Portfolio Theory: How the New Investment Technology Evolved" 256
"Noise" (Black) 211
"Optimization of a Quadratic Function Subject to Linear Constraints, The" (Markowitz) 57 79
"Portfolio Selection" (Markowitz) 41 42 43 49 55 80 91
"Price Movements in Speculative Markets: Trends or Random Walks" (Alexander) 107
"Pricing of Options and Corporate Liabilities, The" (Black/Scholes) 221 225
"Proposal for a Smog Tax, A" (Sharpe) 79
"Random Difference Series for Use in the Analysis of Time Series, A" (Working) 94 96
"Random Walks in Stock Market Prices" (Fama) 132
"Rational Theory of Warrant Pricing" (Samuelson) 207
"RHM Warrant and Low-Price Stock Survey, The" 115 207
"Risk and the Evaluation of Pension Fund Performance" (Fama) 239
"Safety First and the Holding of Assets" (Roy) 55 56
"Simplified Model for Portfolio Analysis, A" (Sharpe) 78 85
"Smith, Adam" 87 133
"State of the Art in Our Profession, The" (Vertin) 255
"Stock Market 'Patterns' and Financial Analysis" (Roberts) 98
"Theoretical Valuation Formula for Options, Warrants, and Other Securities, A" (Black/Scholes) 220
"Toward a Theory of Market Value of Risky Assets" (Treynor) 186
"Trouble With Earnings, The" (Treynor) 183
"Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets" (Lintner) 198
"Yes, Virginia, There Is Hope" (Black) 136
ABC of Speculation, The (Nelson) 28
Advanced Theory of Statistics, The (Kendall) 96 98
Aetna Insurance 282
Alexander, Sidney 107—109 110 127 131 133 136 214 304
American & Foreign Power 151
American Economic Review (AER) 174 175 291—292
American Express Company 235n
American Finance Association 42 124 137
American National Bank (Chicago) 251 262 263 280
American Stock Exchange 226
American Telephone and Telegraph (AT&T) 63 72 220 223
Amsterdam Stock Exchange 204
Apple Computer 83 218 219
Arbit, Harold 200 256 264
Arbitrage 171—173 176 182 201 217 287—288 294
Arbitrage Pricing Theory (APT) 201 277
Arrow, Kenneth 59 216 275
Arthur D.Little, Inc. 184 194 196 208 209
Asset mix 72—73 see
Associated Press averages 27
Associates in Finance 240
Avon 51 52
Ayres, Herbert 208
Bach, George Leland 164 166
Bachelier, Louis 18—23 29 38 88 94 96 104 105 109 110 115—116 119 120 123 131 204 209 301 305
Balance sheets 158—159 192
Bank Administration Institute 239
Bank of New York 237
Bank trust departments 51 52 64 234 see
Bankers Trust 237
Bankruptcy 179
Barr Rosenberg Associates (BARRA) 262 263 265 266
Barron, Clarence 28
Baruch, Bernard 142 143 157
Battle for Investment Survival, The (Loeb) 48
Baumol, William 76
Beale, Martin 84
Beard, Charles 165
Bell Journal 221 222
Bell Laboratories 221
Bergstrasser, Charles Milford 25 120
Bernoulli, Daniel 155
Beta see "Risk systematic"
Biel, Heinz 52
Black Monday (October, 1987, crash) 285—294
Black, Fischer 124—125 134 136 182 190—191 196 208—211 213 214 216 217 220—225 227 228—229 239—240 250 267 272 279 294 305
Black/Scholes formula 210—211 213 216 217 220—225 227 229 272 294 305
Block trading 291 302
Boeing 227
Boesky, Ivan 125 292
Boissevain, Charles 31
Bond market 3 5 119 168 249
Bond(s), convertible 4
Bond(s), discount rates and 154
Bond(s), government 3 5 63 123
Bond(s), high-grade 154 159
Bond(s), interest rates 69 159
Bond(s), international 4
Bond(s), junk 3 123 176 178 301 302
Bond(s), liquidity 7 8
Bond(s), maturity 72
Bond(s), risk 160 179
Bond(s), treasury see "Bond(s) government"
Bond(s), zero-coupon 4
Boness, A.James 208
Boston Company 237
Brady, Nicholas 288 290 291 292 297
Brealey, Richard 56 63 84 98 191
Brokerage commissions 3 128 141 192 304 see
Brown, Robert 22
Brownian motion 22 103—104 105 106
Buffet, Warren 142—143 145 158
Burbank, Harold 165—166
Butterfly swaps 4
Buy and hold strategy 35 87 107 108 109 149
California Public Employees Retirement System 193
Calls see "Options"
Capital Asset Pricing Model (CAPM) 86—87 191—192 193 194—195 198—199 200—202 208—209 224
Capital Asset Pricing Model (CAPM), non-stock applicability 209—210 213
Capital Asset Pricing Model (CAPM), risk/return ratio in 213 244 260—261
Capital Asset Pricing Model (CAPM), time analysis and 215 216
Capital gains tax 9 108 128 179 303
Capital Guardian 303
Capital markets theory 112 115 116 119 122 158 160 161 170 200 217 305
Capital markets theory, competition and 173
Capital markets theory, corporate investment and 166—168 169—170 176 179—180
Capital markets theory, debt/equity ratios and 167 176
Capital markets theory, research 129
Capital, cost of 168—169 177 186
Capital, optimal structure of 167
Capital, preserving strategy 230
CAPM see "Capital Asset Pricing Model"
CdS 3
CEIR 98
Center for Research in Security Prices (CRSP) 129 138 224 228 237 243 see
Chaffee, Jerome Bonaparte 24
Chaos theory 131—132 149 161
Charitable foundations 4 62 110
Chicago Board Options Exchange (CBOE) 219 225—227 276
Chrysler Corporation 220 223
Citibank 10
Citicorp 223 250
Collected Scientific Papers (Samuelson) 114
College Retirement Equities Fund (CREF) 113 251
Commodities market prices 95—97 119
Communications technology 139
Computer(s) 5 12 31 37 38
Computer(s), efficiency calculations 57 64 76 77
Computer(s), investment calculations 82—84 237
Computer(s), language 277
Computer(s), market behavior calculations 93—94 137
Computer(s), personal 83 93
| Computer(s), portfolios 247 261
Computer(s), risk analysis 141
Computer(s), stock exchange 226
Computer(s), stock performance calculations 128 227 244
Consolidated Edison 157 218 219
Contingent Claims Analysis 223
Continuous-time model 215—216
Cook, Ransom 238
Cootner, Paul 18 131 208 267
Corporations, dividend policy 177 179
Corporations, investment and capital markets and 166—168 169—170 176 179—180 181
Corporations, taxation of 178 179
Corporations, valuation of 177 179 182—183 222 223 224 299
Covariance of assets 50—51 54 64 81 260 261
Cowles Commission for Research in Economics (University of Chicago) 33 37 45 46 55 66 67 92 94n 238
Cowles Foundation for Research in Economics (Yale University) 67
Cowles, Alfred, 3rd 29—30 31—33 34—38 46 55 65 88 91—94 105 110 112 128 129 131 140 149 181 258 305
Cox, John 277 278
Crane, Burton 104
Crick, Francis 12—13
D'Ambrosio, Charles 197n
Darwin, Charles 44 56 122
Davis, Harold 31—32
de la Vega, Joseph 204
Debreu, Gerard 216 258
Debt/equity ratios 167 168 176 178 179 222
Demographics, in investment strategies 61—64
Differential equations 210
Dimson, Elroy 47
Discount brokers 3
Discounting/discount rates 154 160 162 185
Distribution of wealth 200
Diversification 52 71 87 150 234 238—239 300
Diversification, maximum expected return and 53 63 73
Diversification, risk and 47—51 54 131 190
Dividend Discount Model 47 53 118 197
Dividend Discount Model, securities analysis and 182—183 244
Dividend Discount Model, stock prices and 154—155 156 160 161 162
Dividends 176 181—182
Dividends, corporate policy on 177 179
Dividends, estimated 153 155
Dividends, payment of 159 177 178
Dividends, reinvestment of 128 130
Dividends, taxation of 179
Dividends, yield on 150
Dodd, David 156 158 160—161 190
DOT transactions 5
Dow Jones Averages see "Industrial Average (Dow Jones)"
Dow, Charles 24—28 29 30 33 35 96 99 120 136
Dow, Jones & Co. 24 26 28
Drexel, Morgan & Company 25
Durand, David 155—156 168 169 171 173 175 239
Eastman Kodak 51—52 242
Econometric Society 31—32 33
Econometrica 33 36 55 91 92 155 198
Econometrics 258—259
Economics (Samuelson) 112
Edison, Thomas 1 23—24
Efficient frontier 58 59—60 63 64 73 74 84
Efficient market concept 29 53 57 59—60 63 72 135—138 224 234 304
Efficient market concept, calculations 57—58
Efficient market concept, performance analysis and 140—142
Efficient market concept, risk models and 192
Efficient market concept, stock indexes and 81—82
Efficient market concept, stock prices and 160—161 211
Efficient market concept, tests of 138
Einstein, Albert 18 22 104
Ellis, Charles 266
Employee savings plans 4
Endowment funds 4 10—11 62 110 168
Entity Theory 168 169 173
Equilibrium 182 191 192 209
Equity management 257 264—265 267 293—294
ERISA 4
Ernst, Harry 127 137
exchange rates 5 171—172 230
Fama, Eugene 106—107 126—128 131 132 133 135—139 140 142 144—145 161 181 192 193 201 212 221 234 237 239—240 267 304 305
Fargo, William 234—235
Favorite Fifty stocks 51 52 156 242
Feldstein, Paul 244n
Filter investment strategy 108—109
Financial Analysis Department (FAD) 240
Financial Analysts Journal 43 80 120 132 183 196 197 244n 254 255 280
Fisher, Irving 32 33 37 55 94n 150
Fisher, Lawrence 128—131 137 237 239
Ford, Gerald 3
Forecasting 47 95
Foreign exchange markets 5 171—172 230
Fouse, William 243—246 247 250—251 252 256
Frankfurt Stock Exchange 5
Free market concept 2 168 298 299
Friedman, Milton 60 67 83n 165 301
Froot, Kenneth 304
Fulbright, William 92
Futures 4 7 21 282—283 286—288 289 302 304
Galai, Dan 225
Galbraith, John Kenneth 32 92—93
Gates, Bill 274
General Motors 52 54 242
General Theory of Employment, Interest, and Money (Keynes) 66 68 118
Gennotte, Gerard 292
Georgia Pacific Lumber 61
Gillette 61 68
Glass-Steagall Act 250
Gordon, Myron 176
Gould, Stephen Jay. 13
Graham, Benjamin 142 143 156—162 182 187 190 192
Great Crash, The (Galbraith) 92
Greyhound 250
Haberler, Gottfried 166
Haley, Bernard 175
Haloid Xerox 82
Hamilton, William Peter 28 29 30 32 33 34 35 96 99
Hansen, Alvin 151 152
Harriman, Averill 113
Hartwell, John 87 133
Harvard Business Review 195 196 198 243
Harvard Business School 110
Harvard University 114—115 251
Hedging schemes 204 205 230 293 302
Heller, Walter 133
Hicks, John 55
Hirschleifer, Jack 80 193 276
Hong Kong Stock Exchange 5n
Houthakker, Henry 116
Hume, David 44—45
IBM 51 237—238 244
IBM computers 83 106—107 237 277
ICI v. Camp 250
Illinois Bell 248 250
Income tax 129 178
Index arbitrage 4
Index funds 3 244 247 248—249 251 265 303 see
Industrial Average (Dow Jones) 27—28 35 37 38 75 91 100 101 105 139 244n 285—286
Industrial Average (S&P) 109
Industrial Management Review 107 118—119
Inflation 200 201
information 134 135—138 200
Information, competition for 140
Information, identifiable 138—139
Information, insufficient 170
Information, monopolistic 138 139 192 212—213
Information, noise and 124
Information, price 120 139 292
Information, risk and 190
Insider trading 125 138
Institute for Quantitative Analysis in Finance 85—86
Institutional investor 132—133 139 154 189 192 202 256 263—264 288
Institutional Investor, conferences 254 266
Insurance 269 271 see
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