Contributors; Preface William T. Ziemba; 1. Security market imperfections: an overview Donald B. Keim and William T. Ziemba; Part I. An Overview of Cross-Sectional Patterns in Stock Returns: 2. The cross-section of common stock returns: a review of the evidence and some new findings Gabriel Hawawini and Donald B. Keim; 3. Beta and book to market: is the glass half full or half empty? S. P. Kothari and Jay Shanken; 4. The psychology of over-reaction and under-reaction in world equity markets Werner F. M. DeBondt; 5. A view of the current status of the size anomaly Jonathan B. Berk; 6. The demise of size Elroy Dimson and Paul Marsh; 7. Direct evidence of non-trading of NYSE and AMEX stocks Stephen R. Foerster and Donald B. Keim; Part II. Seasonal Patterns in Stock Returns and Other Puzzles: 8. Is there still a January effect? Donald G. Booth and Donald B. Keim; 9. Anticipation in the January effect in the US futures markets Chris R. Hensel and William T. Ziemba; 10. How does Clinton stand up to history? US investment returns and presidential party affiliations Chris R. Hensel and William T. Ziemba; 11. A long term examination of the turn-of-the-month effect in the S&P500 Chris R. Hensel, Gordon A. Sick and William T. Ziemba; 12. The closed-end fund puzzle Carolina Minio-Paluello; 13. Stock splits and ex-date returns for Nasdaq stocks: the effects of investor trading and bid-ask spreads Mark Grinblatt and Donald B. Keim; Part III. International Evidence: 14. Canadian security market anomalies George Athanassakos and Stephen Foerster; 15. Seasonal anomalies in the Italian stock market, 1973-1993 Elio Canestrelli and William T. Ziemba; 16. Efficiency and anomalies in the Turkish stock market Gulnur Muradoglu; 17. Efficiency and anomalies in the Finnish stock market Teppo Martikainen; 18. Characteristics-based premia in emerging markets: sector-neutrality, cycles, and cross-market correlations Sandeep A. Patel; 19. Anomalies in Asian emerging stock markets Seng-Kee Koh and Kie Ann Wong; 20. Japanese security market regularities, 1990-1994 Luis R. Comolli and William T. Ziemba; 21. Predicting returns on the Tokyo Stock Exchange Sandra L. Schwartz and William T. Ziemba; 22. High stock returns before holidays: international evidence and additional tests Alonso Cervera and Donald B. Keim.