Introduction

In this Handbook, we present both original research studies and reprints of articles addressing applied investment research, focusing on fundamental and calendar anomalies, and new investment methodologies and markets that have developed over the past 30 years. In 1991, the co-editors presented research at the Berkeley Program in Finance, in Santa Barbara. John Guerard was employed in Harry Markowitz’s Daiwa Securities Global Portfolio Research Department. William (Bill) Ziemba was the Alumni Professor of Financial Modeling and Stochastic Optimization at the Sauder School of Business, University of British Columbia (where he taught from 1968–2006). John presented, with Harry Markowitz and his team, research on both U.S. and Japanese equity markets. Harry Markowitz would win the Nobel Prize in Economics within 6 months. We reprint the paper that evolved from the Berkeley Program presentation, entitled “A Comparison of Some Aspects of the U.S. and Japanese Equity Markets”, Japan & the World Economy 5 (1993), 3–26. Professor Ziemba was presenting research that developed from his 1988–1989 term as the Yamaichi Visiting Professor of Finance, Tsukuba University, that would appear in his “Japanese Security Market Regularities: Monthly, Turn-of-the-month and year, Holiday, and Golden Week Effects”, Japan and the World Economy 3, 119–146, and Invest Japan (his Probus 1992 monograph with Sandra Schwartz). During the next 30 years, John and Bill would publish many articles on market inefficiencies. Professor Ziemba co-edited with Professor Don Keim, Security Market Imperfections in World Wide Equity Markets, Cambridge University Press, 2000. Our Handbook seeks to reprint several of those articles as well as present new and updated research on inefficiencies in the U.S. and Japanese stock markets, futures markets, foreign exchange, and new investment markets…