Third Quarter (2003)

Michael Stutzer Volume 1, Number 3, Third Quarter 2003 The presence of a positive intercept (“alpha”) in a regression of an investment fund’s excess returns on a broad market portfolio’s excess return (as in the CAPM) and other “factor” portfolios’ excess returns (e.g. the Fama and French factors) is frequently interpreted as evidence of superior… Read more

Honghui Chen and Vijay Singal Volume 1, Number 3, Third Quarter 2003 We provide a new explanation for the weekend effect. Our hypothesis is based on the contention that speculative short sellers are unwilling or less likely to hold their positions over long non-trading periods, typically the weekend. Therefore, they buy to cover on Fridays… Read more

James Scott and Margaret Stumpp Volume 1, Number 3, Third Quarter 2003 This paper investigates the type of returns-based data a consultant or institutional investor would confront when analyzing an existing enhanced index manager or searching for a new one. The paper presents findings about different types of enhanced managers. Among them, and not surprisingly… Read more

Wayne E. Ferson, Sergei Sarkissian, and Timothy Simin Volume 1, Number 3, Third Quarter 2003 Two problems, spurious regression bias and naive data mining, conspire to mislead analysts about predictive models for stock returns. This article demonstrates the two problems, how they interact, and makes suggestions for what to do about it… Read more

Jack L. Treynor Volume 1, Number 1, First Quarter 2003 To maintain constant dollar risk, an investor concerned with his terminal wealth must sell when the stock market rises and buy when it falls. Although an asset with constant dollar risk doesn’t exist in nature, it can be approximated with actual investment positions… Read more