2008 Archives
Volume 6, Number 1, First Quarter
INSIGHTS: Why is There a Home Bias? Count the Teeth!
Jitka Hilliard and Jimmy E. Hilliard
Estimation Error and Portfolio Optimization: A Resampling Solution
Richard Michaud and Robert Michaud
Bayes vs. Resampling: A Rematch
Campbell R. Harvey, John C. Liechty and Merrill W. Liechty
The Profound Effects of Automation on Stock Markets Around the World
Pankaj K. Jain
A Model of Fund Growth for Managed Futures: Evidence of Managerial Skill
Paul Lajbcygier
Noise, CAPM and the Size and Value Effects
Robert Arnott and Jason Hsu
CASE STUDIES: Wonder Widget
Jack L. Treynor
Volume 6, Number 2, Second Quarter
Are Analysts All Alike? Identifying Earnings Forecasting Ability
Louis K. C. Chan, David Ikenberry, Josef Lakonishok and Sangwoo Lee
First Come First Disserved
Joseph Cerniglia and Joshua Livnat
Optimal Static Allocation Decisions in the Presence of Portfolio Insurance
Felix Goltz, Lionel Martellini and Koray D. Simsek
How does Investor Sentiment Affect the Cross-Section of Stock Returns?
Malcolm Baker, Johnathan Wang and Jeffrey Wurgler
Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons
Lisa R. Goldberg, Guy Miller and Jared Weinstein
CASE STUDIES: Best Seller Productions
BOOK REVIEW: Capital Ideas Evolving (by Peter L. Bernstein, John Wiley & Sons, Inc., 2007)
Frank J. Jones
Volume 6, Number 3, Third Quarter
Where do Alphas Come From?: A Measure of the Value of Active Investment Management
Andrew W. Lo
The Structure of Hybrid Factor Models
Jose Menchero and Indrajit Mitra
A Structural Analysis of the Default Swap Market — Part 1 (Calibration)
Lisa R. Goldberg, Rajnish Kamat and Vijay Poduri
Humpbacks in Credit Spreads
Deepak Agrawal and Jeffrey R. Bohn
Optimal Trading Strategy with Optimal Horizon
Edward E. Qian
BOOK REVIEW: The Age of Turbulence: Adventures in a New World (by Alan Greenspan, Penguin Press, 2007)
Bruce Grantier
Volume 6, Number 4, Fourth Quarter
INSIGHTS: Risk and Return in Behavioral SDF-Based Asset Pricing Models
Hersh Shefrin
Hedge Fund Due Diligence: A Source of Alpha in a Hedge Fund Portfolio Strategy
Stephen J. Brown, Thomas L. Fraser and Bing Liang
Do Funds-of-Funds Deserve Their Fees-on-Fees?
Andrew Ang, Matthew Rhodes-Kropf and Rui Zhao
The Performances of MBS Hedge Funds and Mutual Funds: A Puzzle
Xiaoqing Eleanor Xu and Anthony L. Loviscek
Measuring the Risk of Large Losses
Kay Giesecke, Thorsten Schmidt and Stefan Weber