Daniel J. Bradley, Bradford D. Jordan, Jay R. Ritter and Jack G. Wolf Volume 2, Number 3, Third Quarter 2004 A newly public company is subject to a “quiet period,” which restricts insiders and affiliated underwriters from issuing earnings forecasts and research reports regarding the firm for a specified period following the initial public offering… Read more
Articles
Correlated Default Processes: A Criterion-Based Copula Approach
Sanjiv R. Das and Gary Geng Volume 2, Number 2, Second Quarter 2004 Modeling correlated default risk is a new phenomenon currently sweeping through the credit markets. In this paper, we develop a methodology to model, simulate and assess the joint default process of hundreds of issuers. Our study is based on a data set… Read more
Non-Parametric Analysis of Rating Transition and Default Data
Peter Fledelius, David Lando and Jens Perch Nielsen Volume 2, Number 2, Second Quarter 2004 Non-parametric analysis of rating transition intensities is a powerful way of visualizing such effects and is therefore useful both for quickly understanding the behavior of a rating system and for exploring data before setting up a full statistical model. In… Read more
Structural Versus Reduced Form Models: A New Information Based Perspective
Robert A. Jarrow and Philip Protter Volume 2, Number 2, Second Quarter 2004 This paper compares structural versus reduced form credit risk models from an information based perspective. We show that the difference between these two models types can be characterized in terms of the information assumed known by the modeler. Structural models assure that… Read more
Predictions of Default Probabilities in Structural Models of Debt
Hayne E. Leland Volume 2, Number 2, Second Quarter 2004 This paper examines default probabilities predicted by alternative “structural” models of risky corporate debt. We focus on default probabilities rather than credit spreads because (i) they are not affected by additional market factors such as liquidity and tax differences; and (ii) prediction of the relative… Read more
Can Simple Buy and Sell Rules Increase Index Future Day Trading Profitability?
Susana Yu and Joel Rentzler Volume 2, Number 1, First Quarter 2004 Day trading index futures is popular. Two common strategies are trend-following and gap-reversal. This paper uses these strategies as “base strategies” and asks whether simple intraday exit rules can increase their profitability. Intraday stop-loss exit rules appear to add return to a trend-following… Read more
Institutional Management Fees: Are the Annual Fees You Pay For Money Management Appropriate?
Sherry L. Jarrell and Edward S. O’Neal Volume 2, Number 1, First Quarter 2004 The authors quantify and analyze the current annual fees in the institutional mutual fund industry. They identify the primary determinants of fund expenses and develop a methodology for gauging whether fees on an institutional investment are consistent with other similar alternative… Read more
Managed Futures and Hedge Funds: A Match Made in Heaven
Harry M. Kat Volume 2, Number 1, First Quarter 2004 We study the possible role of managed futures in portfolios of stocks, bonds and hedge funds. We find that allocating to managed futures allows investors to achieve a very substantial degree of overall risk reduction at, in terms of expected return, relatively limited costs. Adding… Read more
Great Moments in Financial Economics: III. Short-Sales and Stock Prices
Mark Rubinstein Volume 2, Number 1, First Quarter 2004 This is the third in a series of articles on Great Moments in Financial Economics to appear in the Journal. For each, the purpose is to trace, as well as the author can, the history of the development of an important idea. In this case, the… Read more
Indexation of Momentum Effects
Eugene Y. Lee Volume 1, Number 4, Fourth Quarter 2003 Momentum is now viewed as another factor of equity returns in addition to such factors as beta, market capitalization, and market-to-book ratio. In this paper, I propose indexation of momentum effects to pave the way for development of the momentum-based investment products and for improved… Read more