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Third Quarter (2003)

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

WORKING PAPER REVIEWS: Contagion

Sanjiv Ranjan Das Volume 1, Number 3, Third Quarter 2003 View PDF… Read more

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

CASE STUDIES: A Prudent Man

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

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

Fund Managers May Cause Their Benchmarks to be Priced “Risks”

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

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

Do Short Sellers Cause the Weekend Effect?

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

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

Enhanced Equity Indexers: Common Traits and Surprising Differences

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

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

Is Stock Return Predictability Spurious?

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

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

Time Diversification

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

0 comments / 06/07/2014 / the JOIM / Archives, Insight

INSIGHTS: Ben Graham’s Value Approach: Can It Still Work?

Martin Fridson Volume 1, Number 3, Third Quarter 2003 Price collapses in dotcoms and telecoms have fostered a comeback in the fundamental analysis identified with Benjamin Graham (1894–1976). Defining Graham’s method is no simple task, however; his thinking evolved considerably over a 60 year career. Reducing Graham’s approach to a quantitative formula does not produce… Read more

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