2003 Archives

Volume 1, Number 1, First Quarter

Practitioner’s Digest

Don’t Count On It! The Perils Of Numeracy
John C. Bogle, Advisory Board

A Theory of Inflation
Jack L.Treynor

Great Moments in Financial Economics: I. Present Value
Mark Rubinstein

It’s 11pm—Do You Know Where Your Liquidity Is? The Mean-Variance-Liquidity Frontier
Andrew W. Lo, Constantin Petrov and Martin Wierzbicki

Understanding Mutual Funds and Hedge Funds Styles Using Return-Based Style Analysis
Arik Ben Dor, Ravi Jagannathan and Iwan Meier

Segmentation, Illiquidity and Returns
Renato Staub and Jeffrey Diermeier

Case Studies
Jack L. Treynor

STREET RESEARCH: Corporate Earnings and Credit Debacles
Tony Kao

WORKING PAPER REVIEWS: The Internet and Investors
Sanjiv R. Das

BOOK REVIEWS: All About Hedge Funds (by Robert A. Jaeger), Trading and Exchanges (by Larry Harris) & Book Review Philosophy

Volume 1, Number 2, Second Quarter

Practitioner’s Digest

INSIGHTS: Phase Shifts
Dean LeBaron

The Treynor Capital Asset Pricing Model
Craig W. French

Great Moments in Financial Economics: II. Modigliani–Miller Theorem
Mark Rubinstein

A Practical Framework for Portfolio Choice
Richard O. Michaud

Short Volatility Strategies: Identification, Measurement, and Risk Management
Mark Anson and Ho Ho

Fiscal Policy and Inflation: Pondering the Imponderables
Eric M. Leeper

The Treynor Capital Asset Pricing Model
Craig W. French

CASE STUDIES: The Gauntlet
Jack L. Treynor

WORKING PAPERS: Hedge Funds
Sanjiv R. Das

BOOK REVIEWS: Iceberg Risk: An Adventure in Portfolio Theory (by Kent Osband) & Practical Speculation (by Victor Niederhoffer and Laurel Kenner)

Volume 1, Number 3, Third Quarter

Practitioner’s Digest

Ben Graham’s Value Approach: Can It Still Work?
Martin Fridson

Is Stock Return Predictability Spurious?
Wayne E. Ferson, Sergei Sarkissian and Timothy Simin

Do Short Sellers Cause the Weekend Effect?
Honghui Chen and Vijay Singal

Time Diversification
Jack L.Treynor

Enhanced Equity Indexers: Common Traits and Surprising Differences
James Scott and Margaret Stumpp

Fund Managers May Cause Their Benchmarks to be priced “Risks”
Michael Stutzer

CASE STUDIES: A Prudent Man
Jack L. Treynor

WORKING PAPERS: Contagion
Sanjiv Ranjan Das

BOOK REVIEWS: Asset Pricing (by John H. Cochrane) & Credit Risk (by Darrell Duffie and Kenneth Singleton)

Volume 1, Number 4, Fourth Quarter

Practitioner’s Digest

INSIGHTS: The Trouble With Corporate Disclosure
Jack L. Treynor

Resampled Frontiers versus Diffuse Bayes: An Experiment
Harry M. Markowitz and Nilufer Usmen

Price Discovery for Cross-Listed Stocks
Cheol S. Eun and Sanjiv Sabherwal

Long-Run Investment Management Fee Incentives and Discriminating Between Talented and Untalented Managers
Robert Ferguson and Dean Leistikow

Indexation of Momentum Effects
Eugene Y. Lee

CASE STUDIES: Default-Shawnee Manufacturing
Jack L. Treynor

WORKING PAPERS: Liquidity and Bond Markets
Sanjiv R. Das, Jan Ericsson and Madhu Kalimipalli

BOOK REVIEWS: Worry-Free Investing: A Safe Approach to Achieving Your Lifetime Financial Goals (by Zvi Bodie and Michael Clowes) & Modern Investment Management: An Equilibrium Approach (by Bob Litterman)