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2006 Archives

Volume 4, Number 1, First Quarter

Practitioner’s Digest

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

BOOK REVIEWS: Understanding Arbitrage: An Intuitive Approach to Financial Analysis (by Randall S. Billingsley) The Legacy of Fischer Black (by Bruce Lehmann)

Volume 4, Number 2, Second Quarter

Practitioner’s Digest

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

BOOK REVIEWS: The Undercover Economist (by Tim Harford) The Future for Investors (by Jeremy J. Siegel)

Volume 4, Number 3, Third Quarter

Practitioner’s Digest

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

BOOK REVIEWS: A History of the Theory of Investments / The Nobel Memorial Laureates in Economics: An Introduction to Their Careers and Main Published Works, 2005

Volume 4, Number 4, Fourth Quarter

Practitioner’s Digest

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

BOOK REVIEWS: Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment Confessions of an Economic Hit Man (by John Perkins)
(by Kenneth J. Singleton)

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