Jack L. Treynor Volume 1, Number 4, Fourth Quarter 2003… Read more
Insight
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
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
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
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
Insights: On the Kurz Model of Asset Prices with Rational Beliefs
Craig W. French Volume 10, Number 2, Second Quarter 2012 Mordecai Kurz has proposed an asset pricing model incorporating endogenous uncertainty. Kurz contrasts Rational Belief Equilibrium (RBE) with the more familiar theory of Rational Expectations Equilibrium (REE). In RBE, the aggregate market will generally misprice assets and stock returns can be explained by forecasting mistakes… Read more
Insights: Live Prices and Stale Quantities: T+1 Accounting and Mutual Fund Mispricing
Peter Tufano, Michael Quinn and Ryan Taliaferro Volume 10, Number 1, First Quarter 2012 Most mutual funds use day-old fund holdings but current-day prices to calculate net asset values. This practice, sanctioned under SEC Rule 2a-4, results in deviations between reported net asset values (NAVs) and returns and the economic values of those quantities. Using… Read more