Lakonishok, Josef, 295n, 304n,
308 n
Lampert, Eddie, 57
Lander, Joel, 113n
Lane Bryant, 60i
Large-cap stocks, small-cap
stocksversus, 141–144, 142i
LeBaron, Blake, 295n, 304n
Legg Mason Value Trust, 348
Leroy, M., 65n
Leverage, futures contracts and,
261
Liberty Acorn Fund, 346
Lichtenstein, S., 326n
The Limited Stores, 156
Lintner, John, 140n
Litzenberger, Robert, 145
Lo, Andrew, 304n, 327n
Local risk, 169
London Stock Exchange, 188
Long-Term Capital Manage-
ment (LTCM), 88, 282
Long-term returns, 12–14, 13i
Lorie, James, 45, 84
Lorillard, 60i
“The Loser’s Game” (Ellis), 350
Losing trades, holding on to,
328–330
Loss aversion, 328–330
myopic, 332–333
Lowenstein, Roger, 77q, 86
Lynch, Peter, 207q, 251q, 268,
346, 348
Lyondell Chemical, 48
Ma Bell, 57, 58
MacCauley, Frederick, 291
Mackay, Charles, 324
MacKinlay, Craig, 327n
Maddison, Angus, 181n
Magellan Fund, 345–346, 348
Major Market Index, stock
market crash of 1987 and, 273
Malkiel, Burton, 303, 345n, 348
Mamaysky, Harry, 304n
Marathon Oil Company, 57
Market capitalization, ratio to
GDP, 120
Market expectation, 239
Market movements:
causes of, 223–226, 224i, 225i
political parties and,
227–228, 228i–230i, 230
terrorist attacks and,
221–223, 222i, 226
uncertainty and, 226–227
war and, 225, 231–235
Market orders, 275
Market peaks, returns from, 27,
28 i
Market timers, 27
Market valuation, 110–120
book value and, 117
corporate profits and na-
tional income and, 115–116,
116 i
Fed model and, 113–115, 114i
price-earnings ratio for,
110–112, 111i, 112i
Tobin Q and, 117–119, 118i
value relative to GDP and
other ratios and, 119–120,
1 19i, 120i
Market value, 117
ratio to dividend yield, 120,
120 i
ratio to GDP, 120, 120i
ratio to price-earnings ratio,
120, 120i
Market volatility, 14, 269–287
circuit breakers and, 276–277
distribution of large daily
changes and, 283–284, 284i
economics of, 285–286
historical trends of, 278–279,
279 i, 280i, 281
implied, 281
nature of, 277–278
recent, low, 283
significance of, 286–287
stock market crash of 1987
and, 271–276
VIX and, 281–282, 282i
Markowitz, Harry, 159n
Marsh, Paul, 18, 19n, 20
Marshall, John, 65qMartingale, 292n
Materials sector, in GICS, 53
Matsushita Electric Industrial,
176
Mayer, Martin, 165n, 274n
McGraw-Hill Book Co., 59i, 61
The McGraw-Hill Companies,
37
McGraw, James H., 61
McKinley, William, 226–227
McNees, Stephen K., 216
McQuaid, Charles, 346
Mean aversion, 30
Mean reversion, of equity
returns, 13
Mean-variance efficiency, 354
Measuring Business Cycles
(Mitchell), 209
Melamed, Leo, 165, 251q, 274
Melville, Frank, 61
Melville Shoe Corp., 59i, 61
MENA (Middle East and North
Africa), 179
Mental accounting, 329
Mercantile Exchange, 256
Merck, 59i, 177
Merrill, Lynch, Pierce, Fenner &
Smith, 45
Merton, Robert, 35n, 266n
Metz, Michael, 86, 253
Meyers, Thomas A., 295–296
Michelin Group, 49
Microsoft, 38, 57n, 118, 144, 156,
158, 176i
on Nasdaq, 44
Middle East:
growing market share of, 178
oil reserves of, 178
Millennium Chemicals, 48
Miller, Bill, 348
Miller, G. William, 195
Miller, Merton H., 99n
Mitchell, Wesley C., 209, 210n
Mitsubishi, 177
Mitsui, 177
Mittal Steel USA, 57
Mohawk and Hudson Railroad,
22374 Index