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2009 Archives

Volume 7, Number 1, First Quarter

Practitioner’s Digest

INSIGHTS: Stockholder Rights and Carl Icahn
Harold Bierman, Jr.

Optimal Rebalancing: A Scalable Solution
Mark Kritzman, Simon Myrgren and Sébastien Page

The Clustering of Extreme Movements: Stock Prices and the Weather
Atanu Saha, Burton G. Malkiel and Alex Grecu

Shorting Demand and Predictability of Returns
Lauren Cohen, Karl B. Diether and Christopher J. Malloy

SURVEY OF LITERATURE: The Housing Bubble and Resulting Mortgage Crisis
Robert Hendershott, Patric Hendershott and James Shilling

CASE STUDIES: Never Look a Gift Horse in the Mouth

BOOK REVIEWS: Plight of the Fortune Tellers: Why We Need to Manage Risk Differently (by Riccardo Rebonato)
Lisa R. Goldberg

Volume 7, Number 2, Second Quarter

Practitioner’s Digest

A Structural Analysis of the Default Swap Market—Part 2 (Relative Value)
Lisa Goldberg, Rajnish Kamat and Jason Kremer

Liquidity Risk and Limited Arbitrage: Are Taxpayers Helping Hedge Funds Get Rich?
Evan Gatev

The Value Spread as a Market Timing Signal: Evidence from Asia
Charles E. Hyde and Michael P. Triguboff

A Simple Model for Time-Varying Expected Returns on the S&P 500 Index
James S. Doran, Ehud I. Ronn and Robert S. Goldberg

SURVEYS AND CROSSOVERS: Dealing with Dimension: Option Pricing on Factor Trees
Sanjiv R. Das and Brian Granger

CASE STUDIES: The Liquidation of Amaranth
George Chacko and Scott Thomas

BOOK REVIEW: Enough. True Measures of Money, Business, and Life (by John C. Bogle)
Bruce Grantier

Volume 7, Number 3, Third Quarter

Practitioner’s Digest

INSIGHTS: Market Crises—Can the Physics of Phase Transitions and Symmetry Breaking Tell Us Anything Useful?
Vineer Bhansali

Jumping the Gates: Using Beta-Overlay Strategies to Hedge Liquidity Constraints
Alexander D. Healy and Andrew W. Lo

The 4% Rule—At What Price?
Jason S. Scott, William F. Sharpe and John G. Watson

Valuation of Credit Contingent Claims: An Arbitrage-Free Credit Model
Thomas S. Y. Ho and Sang Bin Lee

Which Explains an Equity Index’s Return Better, the Change in Its Own Implied Volatility or that for a Broader Index?
Susana Yu and Dean Leistikow

SURVEYS: Managing Interest Rate Risk: The Next Challenge?
Sanjay K. Nawalkha and Gloria M. Soto

CASE STUDIES: St. Xavior Parish Church
J. Peter Williamson

BOOK REVIEW: The Logic of Life (by Tim Harford)
Javier Estrada

Volume 7, Number 4, Fourth Quarter

Practitioner’s Digest

Insights: What Caused the Current Financial Mess and What Can We Do About It?
John H. Boyd, Ravi Jagannathan and Sungkyu Kwak
Insights: The 7 Habits of Highly Suspicious Hedge Funds
Richard Bookstaber

The Risk that Risk Will Change
Robert F. Engle

Striking Regulatory Irons While Hot
Hersh Shefrin and Meir Statman

The Dynamics of Leveraged and Inverse Exchange-Traded Funds
Minder Cheng and Ananth Madhavan

SURVEYS AND CROSSOVERS: Financial Applications with Parallel R
Sanjiv R. Das and Brian Granger

CASE STUDIES
Jack L. Treynor

BOOK REVIEWS: The Ascent of Money: A Financial History of TheWorld (by Niall Ferguson)
Bruce Grantier

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