Tony Kao Volume 2, Number 1, First Quarter 2004 View PDF… Read more
Archives
INSIGHTS: The Trouble With Corporate Disclosure
Jack L. Treynor Volume 1, Number 4, Fourth Quarter 2003… Read more
Price Discovery For Cross-Listed Stocks
Cheol S. Eun and Sanjiv Sabherwal Volume 1, Number 4, Fourth Quarter 2003 We investigate price discovery for internationally traded stocks. For a sample of Canadian stocks cross-listed on the Toronto Stock Exchange (TSE) and the NYSE, we find that both markets contribute to price discovery. The US share of price discovery ranges from 0.4%… Read more
INSIGHTS: The Link Between Inflation and the Value of Plant
Jack L. Treynor Volume 12, Number 2, Second Quarter 2014 When negotiators have fixed the money wage, if the central bank wants to change the level of money prices, it has to change the real wage. But the real wage changes whenever the identity—hence the age and productivity—of the marginal plant changes. On the other… Read more
INSIGHTS: A Rule-Based Commodity Index
John M. Mulvey Volume 12, Number 3, Third Quarter 2014 A commodity index is designed as an equal-weighted set of four complementary tactics. The resulting portfolio takes advantage of well-established patterns in commodity markets, including high volatility and the relative independence of the return drivers. These conditions are ideal for achieving rebalancing gains and thusly… Read more
SURVEYS AND CROSSOVERS: An Introduction to Peer-To-Peer Loans as Investments
Ethan Namvar Volume 12, Number 1, First Quarter 2014 This paper constitutes a discussion of the rise of Peer-to-peer loans as alternative investments. Peer-to-peer loans are being incorporated into portfolios in the interest of diversification. This paper outlines this strategy and provides a guided tour of this new alternative asset class along with the current… Read more
BOOK REVIEWS: Risk Return Analysis
Volume 12, Number 1, First Quarter 2014 Risk Return Analysis Harry M. Markowitz and Kenneth A. Blay Reviewed by Mark Kritzman View PDF… Read more
CASE STUDIES
Jack L. Treynor Volume 1, Number 1, First Quarter 2003 View PDF… Read more
The Interest Rate Sensitivity of Tax-Exempt Bonds Under Tax-Neutral Valuation
Andrew Kalotay Volume 12, Number 1, First Quarter 2014 We explore the effect of taxes on the prices of municipal bonds. Although interest is tax-exempt, the gain resulting from purchasing a muni at a deep discount below the so-called de minimis threshold is subject to severe tax treatment. The gain is taxed as ordinary income… Read more
Sovereign Wealth and Risk Management: A Framework for Optimal Asset Allocation of Sovereign Wealth
Zvi Bodie and Marie Briere Volume 12, Number 1, First Quarter 2014 This paper sets out an analytical framework for optimal asset allocation of sovereign wealth, based on the theory of contingent claims analysis applied to the sovereigns economic balance sheet. A country solves an asset-liability management problem involving its sources of income and its… Read more
The Performance of Leveraged and Inverse Leveraged Exchange Traded Funds
Brian J. Henderson and Gerald W. Buetow Volume 12, Number 1, First Quarter 2014 We document significant abnormal daily returns to leveraged and inverse leveraged exchange-traded funds (ETFs). Abnormal returns are positive for leveraged funds and negative to inverse leveraged funds, and the magnitude increases in the absolute value of the leverage multiple. We propose… Read more
INSIGHTS: Norway’s Summit on Responsible Investing
Mitch Towner Volume 12, Number 1, First Quarter 2014 This is a summary of the issues discussed at the 2013 Investment Strategy Summit of the Norwegian Government Pension Fund Global. The emphasis of the summit was responsible investing with a special emphasis on ways to strengthen the Funds work on responsible investment. The summit brought… Read more
INSIGHTS: Stakeholders Perspectives on Norwegian Investment Responsibility
Sarah Takaki Volume 12, Number 1, First Quarter 2014 The Strategy Council for Norway’s Government Pension Fund Global, supported by the Norwegian Ministry of Finance, hosted the Responsible Investment Conference held in Oslo on 20 June 2013. The conferences goal was to facilitate dialogue with stakeholders on environmental, social, and governance (ESG) issues to inform… Read more
PRACTITIONER’S DIGEST
Volume 1, Number 1, First Quarter 2003 View PDF… Read more
BOOK REVIEWS: The Behavior Gap Simple Ways to Stop Doing Dumb Things with Money
Volume 11, Number 4, Fourth Quarter 2013 The Behavior Gap Simple Ways to Stop Doing Dumb Things with Money Carl Richards Reviewed by Javier Estrada View PDF… Read more
CASE STUDIES: The Gauntlet
Jack L. Treynor Volume 1, Number 2, Second Quarter 2003 View PDF… Read more
Analyst Forecasts: It Pays to Be Off!
Gilles Hilary and Charles Hsu Volume 11, Number 4, Fourth Quarter 2013 We show that analysts who display more consistent forecast errors have a greater effect on stock prices than analysts who provide more accurate but less consistent forecasts. This result leads to three implications. First, consistent analysts are less likely to be demoted to… Read more
Stress-Testing Portfolio-Specific Risk
Jason D. Fink, Kristin E. Fink and Hui H. Sono Volume 11, Number 4, Fourth Quarter 2013 We establish a relationship between the idiosyncratic risk of portfolios and a parsimonious group of market variables. Because we are able to summarize idiosyncratic risk with this small group of variables, we are able to design stress-tests that… Read more
What Drives the Value Premium? Risk Versus Mispricing: Evidence From International Markets
Denis B. Chaves, Jason Hsu, Vitali Kalesnik and Yoseop Shim Volume 11, Number 4, Fourth Quarter 2013 Value stocks outperform growth stocks. The academic literature provides two competing interpretations on what drives the value premium: exposure to risk factors or mispricing of securities. Existing empirical studies, which are largely based on U.S. data, have not… Read more
The Evolving Structure of the Private Equity and Venture Capital Industry
Mark A. Wolfson… Read more
INSIGHTS: Finance Professionals in the Financial Crisis: Values, Fairness and Culture
Meir Statman Volume 11, Number 4, Fourth Quarter 2013 Finance professionals have expressed their views on values, fairness, and culture in the great debate about the global financial crisis and its aftermath. Yet, their positions remain precarious because they stand accused of instigating the crisis, because their views on values, fairness, and culture are not… Read more
PRACTITIONER’S DIGEST
Volume 1, Number 2, Second Quarter 2003 View PDF… Read more
BOOK REVIEWS: Successful Investing is a Process: Structuring Efficient Portfolios for Our Performance
Volume 11, Number 3, Third Quarter 2013 Successful Investing is a Process: Structuring Efficient Portfolios for Outperformance Jacques Lussier Reviewed by Bruce Grantier View PDF… Read more
CASE STUDIES: The Work Force and Inflation
Jack L. Treynor Volume 11, Number 3, Third Quarter 2013 View PDF… Read more
INSIGHTS: The Intended and Collateral Effects of Short Sale Bans as a Regulatory Tool
Terrence Hendershott, Ethan Namvar and Blake Phillips Volume 11, Number 3, Third Quarter 2013 Short-sale bans have been utilized globally as a regulatory tool during periods of financial crisis. This paper reviews the observed intended and unintended effects of short-sale bans. Research has documented pervasive effects spanning many financial markets that include options, convertible bonds… Read more