2012 Archives
Volume 10, Number 1, First Quarter
Insight: Live Prices and Stale Quantities: T + 1 Accounting and Mutual Fund Mispricing
Peter Tufano, Michael Quinn and Ryan Taliaferro
Lifecycle Consumption-Investment Policies and Pension Plans: A Dynamic Analysis
Zvi Bodie, Jérôme Detemple and Marcel Rindisbacher
Timing the Value Style Index in a Markov Regime-Switching Model
Hany Guirguis, Ted Theodore and Michael Suen
Calibrating Neutrality: The Evolving Global Opportunity Set
Sharon Hill and Chris Gowlland
Comment on the Theoretical and Empirical Evidence of Fundamental Indexing
Jeffrey Graham
CASE STUDIES: Baby Boomers in Retirement
Expected Returns: An Investor’s Guide to Harvesting Market Rewards
Volume 10, Number 2, Second Quarter
Insights: On the Kurz Model of Asset Prices with Rational Beliefs
Craig W. French
Liquidity Shocks and Hedge Fund Contagion
Nicole M. Boyson, Christof W. Stahel and René M. Stulz
Asset Allocation Dynamics in the Hedge Fund Industry
Li Cai and Bing Liang
Hedge-Fund Performance and Liquidity Risk
Ronnie Sadka
The Downside of High Water Marks: An Empirical Study
Sugata Ray
CASE STUDIES: The Race Between the Work Force and Investment
BOOK REVIEWS: Financial Risk Management – Models, History, and Institutions
Volume 10, Number 3, Third Quarter
A New Perspective on the Validity of the CAPM: Still Alive and Well
Moshe Levy and Richard Roll
Redemption Fees and the Risk-Adjusted Performance of International Equity Mutual Funds
Iuliana Ismailescu and Matthew Morey
How Does Your State Stack Up? Participation Costs in Higher Education Optional Retirement Plans
Daniel Bradley and Lei Wedge
Estimating the Negative Impact of “Noise” on the Returns of Cap-Weighted Portfolios in Various Segments of the Equity Markets
Russell J. Fuller, Bing Han and Yining Tung
The Relative Strength of Industries Versus Countries in Global Equity Markets
Jose Menchero and Andrei Morozov
CASE STUDIES: Investing Early for Retirement
Volume 10, Number 4, Fourth Quarter
Portfolio Monitoring in Theory and Practice
Richard O. Michaud, David N. Esch and Robert O. Michaud
Coherent Asset Allocation and Diversification in the Presence of Stress Events
Riccardo Rebonato and Alexander Denev
The Controversy in Fundamental Indexation: Why Both Sides of the Argument Are (Mostly) Correct
Michael Dempsey
The Role of Stress Testing in Credit Risk Management
Roger M. Stein
Was the Writing on the Wall? An Options Analysis of the 2008 Lehman Brothers Crisis
Zhirong Chen and Wai Mun Fong
Structured Finance Deals: A Review of the Rating Process and Recent Evidence Thereof
Seoyoung Kim
CASE STUDIES: Providing for Retirement
BOOK REVIEWS: On the Brink – Inside the Race to Stop the Collapse of the Global Financial System