4th Quarter (2016)

Susana Yu and Gwendolyn Webb Volume 14 , Number 4,  2016 We test whether price-based momentum strategies can be improved by additional screening based on fundamental measures.Within the framework of portfolio formation based on recent winning or losing stocks, we further screen on the basis of fundamental measures of financial strength and gross profitability. Our… Read more

Yu (Ben) Meng, Pu (Paul) Zhang and Ryan Ong Volume 14, Number 4, 2016 Liquidity has long been of great interest to investment professionals as well as academic researchers. The estimation of the illiquidity premium for infrequently traded asset classes, such as real estate and private equity, presents a challenge to the industry because of… Read more

Andrew Kalotay Volume 14, Number 4, 2016 After-tax performance measurement requires a rigorous definition of after-tax portfolio value, which is also a prerequisite for effective portfolio management. The focus of this paper is the tax option, which is the right to execute tax-beneficial transactions. This option is a critical component of after-tax portfolio value. Some… Read more

Anthony Tessitore and Nilufer Usmen Volume 14, Number 4, 2016 This paper examines risk–return characteristics of discount returns on portfolios of closed end funds and how they might benefit investors. Discount return is defined as the percentage change in discounts over a period. This paper focuses on the distribution of discount returns conditioned on discount… Read more