Jack L. Treynor Volume 1, Number 4, Fourth Quarter 2003… Read more
Fourth Quarter (2003)
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
BOOK REVIEWS: Worry-Free Investing: A Safe Approach to Achieving Your Lifetime Financial Goals / Modern Investment Management: An Equilibrium Approach
Volume 1, Number 4, Fourth Quarter 2003 Worry-Free Investing: A Safe Approach to Achieving Your Lifetime Financial Goals Zvi Bodie and Michael Clowes Reviewed by Thomas J. Connelly Modern Investment Management: An Equilibrium Approach Bob Litterman Reviewed by Edouard Stirling View PDF… Read more
WORKING PAPER REVIEWS: Liquidity and Bond Markets
Sanjiv R. Das, Jan Ericsson and Madhu Kalimipalli Volume 1, Number 4, Fourth Quarter 2003 View PDF… Read more
CASE STUDIES: Default-Shawnee Manufacturing
Jack L. Treynor Volume 1, Number 3, Third Quarter 2003 View PDF… 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
Long-Run Investment Management Fee Incentives and Discriminating Between Talented and Untalented Managers
Robert Ferguson and Dean Leistikow Volume 1, Number 4, Fourth Quarter 2003 Ferguson and Leistikow [(1997). Journal of Financial Engineering 6, 1-13] (FLa) was the first long-run risk-neutral analysis of the performance volatility incentives created by investment management fee structures. This paper extends FLa in six ways. It allows the portfolio’s value to change, incorporates… Read more
Resampled Frontiers vs Diffuse Bayes: An Experiment
Harry M. Markowitz and Nilufer Usmen The experiment reported here compares two methods for handling uncertain inputs to a mean-variance analysis. Specifically, it compares Michaud’s resampled frontier versus Bayesian inference with diffuse prior. A simulated “referee” generates ten “truths” about 8 asset classes. For each truth it randomly generates one hundred histories. A simulated “Bayes… Read more