2006 Archives
Volume 4, Number 1, First Quarter
INSIGHTS: Skill-Based Investment Management: The Next Evolution in the Asset Management Industry
Pranay Gupta and Jan Straatman
Great Moments in Financial Economics: IV. The Fundamental Theorem (Part II)
Mark Rubinstein
Mutual Fund Dilution from Market Timing Trades
Jason T. Greene and Conrad S. Ciccotello
Does the Stock Market Underreact to R&D Increases?
Allan C. Eberhart, William F. Maxwell and Akhtar R. Siddique
Can Contrarian Strategies Improve Momentum Profits?
Kalok Chan and HungWan Kot
CASE STUDIES: When Plant Wears Out – A Case
Jack L. Treynor
Volume 4, Number 2, Second Quarter
A Dynamic Model of Portfolio Management
Richard Grinold
500 Index Changes and Investor Awareness
Honghui Chen, Gregory Noronha and Vijay Singal
Employee Stock Options and Taxes
Courtney H. Edwards, John R. Graham, Mark H. Lang and Douglas A. Shackelford
How Do IPO Issuers Pay for Analyst Coverage?
Michael T. Cliff and David J. Denis
Are the Probabilities Right? Dependent Defaults and the Number of Observations Required to Test for Default Rate Accuracy
Roger M. Stein
CASE STUDIES: Answers to Quiz for Fed Candidates
Jack L. Treynor
TECHNOLOGY REVIEW: Multiple-Core Processors for Finance Applications
Sanjiv R. Das
Volume 4, Number 3, Third Quarter
Bruno de Finetti and Mean-Variance Portfolio Selection
Mark Rubinstein
de Finetti Scoops Markowitz
Harry M. Markowitz
Bruno de Finetti, The Problem of Full-Risk Insurances
Luca Barone
Cap Weighted Portfolios Are Sub-Optimal Portfolios
Jason Hsu
The Fundamental Law of Active Portfolio Management
Roger Clarke, Harindra de Silva and Steven Thorley
Stock Return Momentum and Investor Fund Choices
Travis Sapp and Ashish Tiwari
CASE STUDIES: Gas Caps and the Sherman Act
Jack L. Treynor
SURVEY OF THE LITERATURE: Credit Default Swap Spreads
Sanjiv R. Das and Paul Hanouna
Volume 4, Number 4, Fourth Quarter
Aggregate Idiosyncratic Risk and Market Returns
Turan G. Bali and Nusret Cakici
The Right Answer to the Wrong Question: Identifying Superior Active Portfolio Management
W. V. Harlow and Keith C. Brown
On The Financial Interpretation of Risk Contribution: Risk Budgets Do Add Up
Edward Qian
The Relation Between Fixed Income and Equity Return Factors
Jaime Lee, Terry Marsh, Robert Maxim and Paul Pfleiderer
The Stock Market’s Reaction to Unemployment News, Stock-Bond Return Correlations, and the State of the Economy
John H. Boyd, Ravi Jagannathan and Qianqiu Liu
CASE STUDIES: The Worldwide Financier
Jack L. Treynor