2004 Archives

Volume 2, Number 1, First Quarter

Practitioner’s Digest

INSIGHTS: The Market Maker in the Age of the ECN
Wayne Wagner

Great Moments in Financial Economics: III. Short-Sales and Stock Prices
Mark Rubinstein

Managed Futures and Hedge Funds: A Match Made in Heaven
Harry M. Kat

Institutional Management Fees: Are the Annual Fees You Pay for Money Management Appropriate?
Sherry L. Jarrell and Edward S. O’Neal

Can Simple Buy and Sell Rules Increase Index Future Day Trading Profitability?
Susana Yu and Joel Rentzler

CASE STUDIES: An Invitation to the Readers of JOIM
Jack L. Treynor

WORKING PAPERS: Technical Analysis
Sanjiv R. Das and David Tien

STREET RESEARCH: Pension Fund Management Revisited
Tony Kao

BOOK REVIEWS: Beyond the Random Walk (by Vijay Singal) & Investment Management Portfolio Diversification, Risk, and Timing–Fact and Fiction (by Robert L. Hagin)

Volume 2, Number 2, Second Quarter

LETTER FROM THE EDITOR

Practitioner’s Digest

Predictions of Default Probabilities in Structural Models of Debt
Hayne E. Leland

Valuing High Yield Bonds: A Business Modeling Approach
Thomas S. Y. Ho and Sang Bin Lee

Structural Versus Reduced Form Models: A New Information Based Perspective
Robert A. Jarrow and Philip Protter

Correlated Default Processes: A Criterion-Based Copula Approach
Sanjiv R. Das and Gary Geng

Non-Parametric Analysis of Rating Transition and Default Data
Peter Fledelius, David Lando and Jens Perch Nielsen

WORKING PAPERS: Private Equity Returns
Robert J. Hendershott

CASE STUDIES: Fiduciary Funds
Jack L. Treynor

BOOK REVIEWS: The Bond King: Investment Secrets from Pimco’s Bill Gross (by Timothy Middleton) & Portfolio Theory and Performance Analysis (by Noël Amenc and Véronique Le Sourd)

Volume 2, Number 3, Third Quarter

Practitioner’s Digest

The IPO Quiet Period Revisited
Daniel J. Bradley, Bradford D. Jordan, Jay R. Ritter and Jack G.Wolf

MaxVaR: Long-Horizon Value at Risk in a Mark-to-Market Environment
Jacob Boudoukh, Matthew Richardson, Richard Stanton and Robert F. Whitelaw

Active Risk and Information Ratio
Edward Qian and Ronald Hua

Predictability of Long-Term Spinoff Returns
John J. McConnell and Alexei V. Ovtchinnikov

In Search of a Modigliani–Miller Economy
Kay Giesecke and Lisa R. Goldberg

CASE STUDIES: Poosha-Carta Food Stores
Jack L. Treynor

SURVEY OF THE LITERATURE: The Progeny of CAPM
Sanjay K. Nawalkha and Christopher Schwarz

BOOK REVIEWS: Capital—The Story of Long-Term Investment Excellence (by Charles Ellis) & Asset Pricing and Portfolio Performance (by Robert Korajczyk)

LETTER TO THE EDITOR

Volume 2, Number 4, Fourth Quarter

Practitioner’s Digest

Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations
Mila Getmansky, Andrew W. Lo and Shauna X. Mei

Fees on Fees in Funds of Funds
Stephen J. Brown, William N. Goetzmann and Bing Liang

Extracting Portable Alphas from Equity Long/Short Hedge Funds
William Fung and David A. Hsieh

Alternative Investments: CTAs, Hedge Funds, and Funds-of-Funds
Bing Liang

The Dangers of Mechanical Investment Decision-Making: The Case of Hedge Funds
Harry M. Kat

AIRAP – Alternative RAPMs for Alternative Investments
Milind Sharma

CASE STUDIES: The Fed Watchers
Jack L. Treynor

SURVEY OF THE LITERATURE: Venture Capital Syndication

BOOK REVIEWS: The Wisdom of Crowds (by James Surowiecki) & The Oxford Guide to Financial Modeling (by Thomas S. Y. Ho and Sang Bin Lee)

LETTER TO THE EDITOR