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Fourth Quarter (2003)

0 comments / 18/02/2015 / the JOIM / Archives, Insight

INSIGHTS: The Trouble With Corporate Disclosure

Jack L. Treynor Volume 1, Number 4, Fourth Quarter 2003… Read more

0 comments / 18/02/2015 / the JOIM / Archives, Articles

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

0 comments / 08/07/2014 / / Archives, Book Reviews

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

0 comments / 08/07/2014 / the JOIM / Archives, Surveys and Crossovers

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

0 comments / 08/07/2014 / the JOIM / Archives, Case Studies

CASE STUDIES: Default-Shawnee Manufacturing

Jack L. Treynor Volume 1, Number 3, Third Quarter 2003 View PDF… Read more

0 comments / 08/07/2014 / the JOIM / Archives, Articles

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

0 comments / 08/07/2014 / / Archives, Articles

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

0 comments / 08/07/2014 / the JOIM / Archives, Articles

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

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