Edited by Liam A. Gallagher, Dublin City University, Ireland and Mark P. Taylor, Dean and Professor of Finance, Warwick Business School, University of Warwick, UK

• Contents:Volume I AcknowledgementsIntroduction Liam A. Gallagher and Mark P. TaylorPART IEFFICIENT MARKETS 1. Alfred Cowles III and Herbert E. Jones (1937), ‘Some A Posteriori Probabilities in Stock Market Action’2. Eugene F. Fama (1965), ‘The Behavior of Stock-market Prices’3. Eugene F. Fama (1970), ‘Efficient Capital Markets: A Review of Theory and Empirical Work’4. Stephen F. LeRoy (1989), ‘Efficient Capital Markets and Martingales’PART IIMARKET INEFFICIENCY AND STOCK PRICE PREDICTABILITY 5. Eugene F. Fama and Kenneth R. French (1988), ‘Permanent and Temporary Components of Stock Prices’6. Stephen F. LeRoy and Richard D. Porter (1981), ‘The Present-value Relation: Tests Based on Implied Variance Bounds’7. M. Hashem Pesaran and Allan Timmermann (1995), ‘Predictability of Stock Returns: Robustness and Economic Significance’8. James M. Poterba and Lawrence H. Summers (1988), ‘Mean Reversion in Stock Prices: Evidence and Implications’9. Robert J. Shiller (1981), ‘Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?’PART IIINOISE TRADERS, INVESTOR SENTIMENT AND BEHAVIORAL FINANCE 10. Fischer Black (1986), ‘Noise’11. Werner F.M. De Bondt and Richard Thaler (1985), ‘Does the Stock Market Overreact?’12. J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann (1990), ‘Noise Trader Risk in Financial Markets’13. Eugene F. Fama (1998), ‘Market Efficiency, Long-term Returns, and Behavioral Finance’14. Robert J. Shiller (1984), ‘Stock Prices and Social Dynamics’15. Andrei Shleifer and Lawrence H. Summers (1990), ‘The Noise Trader Approach to Finance’16. Andrei Shleifer and Robert W. Vishny (1997), ‘The Limits of Arbitrage’PART IVBUBBLES 17. Behzad T. Diba and Herschel I. Grossman (1988), ‘Explosive Rational Bubbles in Stock Prices?’18. Kenneth A. Froot and Maurice Obstfeld (1991), ‘Intrinsic Bubbles: The Case of Stock Prices’19. Kenneth D. West (1987), ‘A Specification Test for Speculative Bubbles’20. Kenneth D. West (1988), ‘Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation’Name IndexVolume II AcknowledgementsAn Introduction by the editors to both volumes appears in Volume IPART IPUZZLES IN FINANCE1. Geert Bekaert and Campbell R. Harvey (1997), ‘Emerging Equity Market Volatility’2. John Y. Campbell and John H. Cochrane (1999), ‘By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior’3. George M. Constantinides (1990), ‘Habit Formation: A Resolution of the Equity Premium Puzzle’4. Eugene F. Fama (1981), ‘Stock Returns, Real Activity, Inflation, and Money’5. Kenneth R. French and James M. Poterba (1991), ‘Investor Diversification and International Equity Markets’6. Tim Loughran and Jay R. Ritter (1995), ‘The New Issues Puzzle’7. David A. Marshall (1992), ‘Inflation and Asset Returns in a Monetary Economy’8. Rajnish Mehra and Edward C. Prescott (1985), ‘The Equity Premium – A Puzzle’PART IIBOND MARKETS AND THE TERM STRUCTURE OF INTEREST RATES 9. John Y. Campbell and Robert J. Shiller (1991), ‘Yield Spreads and Interest Rate Movements: A Bird’s Eye View’10.John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates’11. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’12. Eugene F. Fama (1984), ‘The Information in the Term Structure’13. Eugene F. Fama and Robert R. Bliss (1987), ‘The Information in Long-Maturity Forward Rates’PART IIIFOREIGN EXCHANGE MARKET EFFICIENCY14. Jeffrey A. Frankel and Kenneth A. Froot (1990), ‘Chartists, Fundamentalists, and Trading in the Foreign Exchange Market’15. Kenneth A. Froot and Jeffrey A. Frankel (1989), ‘Forward Discount Bias: Is It An Exchange Risk Premium?’16. Kenneth A. Froot and Richard H. Thaler (1990), ‘Anomalies: Foreign Exchange’17. Mark P. Taylor and Helen Allen (1992), ‘The Use of Technical Analysis in the Foreign Exchange Market’18. Mark P. Taylor (1995), ‘The Economics of Exchange Rates’PART IVDERIVATIVES AND EFFICIENCY19. Merton H. Miller (1986), ‘Financial Innovation: The Last Twenty Years and the Next’AOptions20. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’21. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’22. Robert C. Merton (1973), ‘The Theory of Rational Option Pricing’BFutures23. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘The Relation Between Forward Prices and Futures Prices’24. Holbrook Working (1953), ‘Futures Trading and Hedging’25. Pradeep K. Yadav and Peter F. Pope (1990), ‘Stock Index Futures Arbitrage: International Evidence’Name Index

Edited by Liam A. Gallagher, Dublin City University, Ireland and Mark P. Taylor, Dean and Professor of Finance, Warwick Business School, University of Warwick, UK

• Contents:Volume I AcknowledgementsIntroduction Liam A. Gallagher and Mark P. TaylorPART IEFFICIENT MARKETS 1. Alfred Cowles III and Herbert E. Jones (1937), ‘Some A Posteriori Probabilities in Stock Market Action’2. Eugene F. Fama (1965), ‘The Behavior of Stock-market Prices’3. Eugene F. Fama (1970), ‘Efficient Capital Markets: A Review of Theory and Empirical Work’4. Stephen F. LeRoy (1989), ‘Efficient Capital Markets and Martingales’PART IIMARKET INEFFICIENCY AND STOCK PRICE PREDICTABILITY 5. Eugene F. Fama and Kenneth R. French (1988), ‘Permanent and Temporary Components of Stock Prices’6. Stephen F. LeRoy and Richard D. Porter (1981), ‘The Present-value Relation: Tests Based on Implied Variance Bounds’7. M. Hashem Pesaran and Allan Timmermann (1995), ‘Predictability of Stock Returns: Robustness and Economic Significance’8. James M. Poterba and Lawrence H. Summers (1988), ‘Mean Reversion in Stock Prices: Evidence and Implications’9. Robert J. Shiller (1981), ‘Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?’PART IIINOISE TRADERS, INVESTOR SENTIMENT AND BEHAVIORAL FINANCE 10. Fischer Black (1986), ‘Noise’11. Werner F.M. De Bondt and Richard Thaler (1985), ‘Does the Stock Market Overreact?’12. J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann (1990), ‘Noise Trader Risk in Financial Markets’13. Eugene F. Fama (1998), ‘Market Efficiency, Long-term Returns, and Behavioral Finance’14. Robert J. Shiller (1984), ‘Stock Prices and Social Dynamics’15. Andrei Shleifer and Lawrence H. Summers (1990), ‘The Noise Trader Approach to Finance’16. Andrei Shleifer and Robert W. Vishny (1997), ‘The Limits of Arbitrage’PART IVBUBBLES 17. Behzad T. Diba and Herschel I. Grossman (1988), ‘Explosive Rational Bubbles in Stock Prices?’18. Kenneth A. Froot and Maurice Obstfeld (1991), ‘Intrinsic Bubbles: The Case of Stock Prices’19. Kenneth D. West (1987), ‘A Specification Test for Speculative Bubbles’20. Kenneth D. West (1988), ‘Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation’Name IndexVolume II AcknowledgementsAn Introduction by the editors to both volumes appears in Volume IPART IPUZZLES IN FINANCE1. Geert Bekaert and Campbell R. Harvey (1997), ‘Emerging Equity Market Volatility’2. John Y. Campbell and John H. Cochrane (1999), ‘By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior’3. George M. Constantinides (1990), ‘Habit Formation: A Resolution of the Equity Premium Puzzle’4. Eugene F. Fama (1981), ‘Stock Returns, Real Activity, Inflation, and Money’5. Kenneth R. French and James M. Poterba (1991), ‘Investor Diversification and International Equity Markets’6. Tim Loughran and Jay R. Ritter (1995), ‘The New Issues Puzzle’7. David A. Marshall (1992), ‘Inflation and Asset Returns in a Monetary Economy’8. Rajnish Mehra and Edward C. Prescott (1985), ‘The Equity Premium – A Puzzle’PART IIBOND MARKETS AND THE TERM STRUCTURE OF INTEREST RATES 9. John Y. Campbell and Robert J. Shiller (1991), ‘Yield Spreads and Interest Rate Movements: A Bird’s Eye View’10.John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates’11. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’12. Eugene F. Fama (1984), ‘The Information in the Term Structure’13. Eugene F. Fama and Robert R. Bliss (1987), ‘The Information in Long-Maturity Forward Rates’PART IIIFOREIGN EXCHANGE MARKET EFFICIENCY14. Jeffrey A. Frankel and Kenneth A. Froot (1990), ‘Chartists, Fundamentalists, and Trading in the Foreign Exchange Market’15. Kenneth A. Froot and Jeffrey A. Frankel (1989), ‘Forward Discount Bias: Is It An Exchange Risk Premium?’16. Kenneth A. Froot and Richard H. Thaler (1990), ‘Anomalies: Foreign Exchange’17. Mark P. Taylor and Helen Allen (1992), ‘The Use of Technical Analysis in the Foreign Exchange Market’18. Mark P. Taylor (1995), ‘The Economics of Exchange Rates’PART IVDERIVATIVES AND EFFICIENCY19. Merton H. Miller (1986), ‘Financial Innovation: The Last Twenty Years and the Next’AOptions20. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’21. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’22. Robert C. Merton (1973), ‘The Theory of Rational Option Pricing’BFutures23. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘The Relation Between Forward Prices and Futures Prices’24. Holbrook Working (1953), ‘Futures Trading and Hedging’25. Pradeep K. Yadav and Peter F. Pope (1990), ‘Stock Index Futures Arbitrage: International Evidence’Name Index

Edited by Liam A. Gallagher, Dublin City University, Ireland and Mark P. Taylor, Dean and Professor of Finance, Warwick Business School, University of Warwick, UK

• Contents:Volume I AcknowledgementsIntroduction Liam A. Gallagher and Mark P. TaylorPART IEFFICIENT MARKETS 1. Alfred Cowles III and Herbert E. Jones (1937), ‘Some A Posteriori Probabilities in Stock Market Action’2. Eugene F. Fama (1965), ‘The Behavior of Stock-market Prices’3. Eugene F. Fama (1970), ‘Efficient Capital Markets: A Review of Theory and Empirical Work’4. Stephen F. LeRoy (1989), ‘Efficient Capital Markets and Martingales’PART IIMARKET INEFFICIENCY AND STOCK PRICE PREDICTABILITY 5. Eugene F. Fama and Kenneth R. French (1988), ‘Permanent and Temporary Components of Stock Prices’6. Stephen F. LeRoy and Richard D. Porter (1981), ‘The Present-value Relation: Tests Based on Implied Variance Bounds’7. M. Hashem Pesaran and Allan Timmermann (1995), ‘Predictability of Stock Returns: Robustness and Economic Significance’8. James M. Poterba and Lawrence H. Summers (1988), ‘Mean Reversion in Stock Prices: Evidence and Implications’9. Robert J. Shiller (1981), ‘Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?’PART IIINOISE TRADERS, INVESTOR SENTIMENT AND BEHAVIORAL FINANCE 10. Fischer Black (1986), ‘Noise’11. Werner F.M. De Bondt and Richard Thaler (1985), ‘Does the Stock Market Overreact?’12. J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers and Robert J. Waldmann (1990), ‘Noise Trader Risk in Financial Markets’13. Eugene F. Fama (1998), ‘Market Efficiency, Long-term Returns, and Behavioral Finance’14. Robert J. Shiller (1984), ‘Stock Prices and Social Dynamics’15. Andrei Shleifer and Lawrence H. Summers (1990), ‘The Noise Trader Approach to Finance’16. Andrei Shleifer and Robert W. Vishny (1997), ‘The Limits of Arbitrage’PART IVBUBBLES 17. Behzad T. Diba and Herschel I. Grossman (1988), ‘Explosive Rational Bubbles in Stock Prices?’18. Kenneth A. Froot and Maurice Obstfeld (1991), ‘Intrinsic Bubbles: The Case of Stock Prices’19. Kenneth D. West (1987), ‘A Specification Test for Speculative Bubbles’20. Kenneth D. West (1988), ‘Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation’Name IndexVolume II AcknowledgementsAn Introduction by the editors to both volumes appears in Volume IPART IPUZZLES IN FINANCE1. Geert Bekaert and Campbell R. Harvey (1997), ‘Emerging Equity Market Volatility’2. John Y. Campbell and John H. Cochrane (1999), ‘By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior’3. George M. Constantinides (1990), ‘Habit Formation: A Resolution of the Equity Premium Puzzle’4. Eugene F. Fama (1981), ‘Stock Returns, Real Activity, Inflation, and Money’5. Kenneth R. French and James M. Poterba (1991), ‘Investor Diversification and International Equity Markets’6. Tim Loughran and Jay R. Ritter (1995), ‘The New Issues Puzzle’7. David A. Marshall (1992), ‘Inflation and Asset Returns in a Monetary Economy’8. Rajnish Mehra and Edward C. Prescott (1985), ‘The Equity Premium – A Puzzle’PART IIBOND MARKETS AND THE TERM STRUCTURE OF INTEREST RATES 9. John Y. Campbell and Robert J. Shiller (1991), ‘Yield Spreads and Interest Rate Movements: A Bird’s Eye View’10.John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates’11. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1985), ‘A Theory of the Term Structure of Interest Rates’12. Eugene F. Fama (1984), ‘The Information in the Term Structure’13. Eugene F. Fama and Robert R. Bliss (1987), ‘The Information in Long-Maturity Forward Rates’PART IIIFOREIGN EXCHANGE MARKET EFFICIENCY14. Jeffrey A. Frankel and Kenneth A. Froot (1990), ‘Chartists, Fundamentalists, and Trading in the Foreign Exchange Market’15. Kenneth A. Froot and Jeffrey A. Frankel (1989), ‘Forward Discount Bias: Is It An Exchange Risk Premium?’16. Kenneth A. Froot and Richard H. Thaler (1990), ‘Anomalies: Foreign Exchange’17. Mark P. Taylor and Helen Allen (1992), ‘The Use of Technical Analysis in the Foreign Exchange Market’18. Mark P. Taylor (1995), ‘The Economics of Exchange Rates’PART IVDERIVATIVES AND EFFICIENCY19. Merton H. Miller (1986), ‘Financial Innovation: The Last Twenty Years and the Next’AOptions20. Fischer Black and Myron Scholes (1973), ‘The Pricing of Options and Corporate Liabilities’21. John C. Cox, Stephen A. Ross and Mark Rubinstein (1979), ‘Option Pricing: A Simplified Approach’22. Robert C. Merton (1973), ‘The Theory of Rational Option Pricing’BFutures23. John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross (1981), ‘The Relation Between Forward Prices and Futures Prices’24. Holbrook Working (1953), ‘Futures Trading and Hedging’25. Pradeep K. Yadav and Peter F. Pope (1990), ‘Stock Index Futures Arbitrage: International Evidence’Name Index