【出版时间及名称】：2010年3月澳大利亚证券市场投资策略报告
        【作者】：摩根大通
        【文件格式】：pdf
        【页数】：73
        【目录或简介】：
CONTENTS
When Losers Become Winners …………………………………4
Are loss-makers bad value? ………………………………………………………….5
Executive Summary…………………………………………………………………..6
Overview of Loss Makers ……………………………………………………………7
Realized Loss Makers ………………………………………………………………..8
Forecast Loss Makers ………………………………………………………………..9
Methodology ..………………………………………………………………………10
Event Study ..………………………………………………………………………..11
Results ………………………………………………………………………………12
Australian Univariate Backtest Results …………………………………………….13
Interaction with Value Factor Efficacy ……………………………………………..15
Event Study Findings ……………………………………………………………….17
Factor Behavior ……………………………………………………………………..20
Conclusion ………………………………………………………………………….24
Appendix I: MSCI World univariate backtests ……………………………………..25
Literature Reviews ………………………………………………41
The Negative Earnings Effect ………………………………………………………42
Ambiguity, Information Quality and Asset Pricing ……………………………..…45
So Stock Mergers Create Value for Acquirers? ……………………………………47
Dividends and Momentum …………………………………………………………50
Asset Bubbles and Market Crisis …………………………………………………...53
Sector Rotation and Monetary Conditions ………………………………………. ...55
The Cross-Section of Volatility and Expected Returns …………………………….58
Predicting the bear stock market: Macroeconomic variables as leading indicators ..62
Economic Links and Predictable Returns …………………………………………..64
Collective Risk Management in a Flight to Quality Episode ………………………68