Tony Kao Volume 2, Number 1, First Quarter 2004 View PDF… Read more
First Quarter (2004)
WORKING PAPERS: Technical Analysis
Sanjiv R. Das and David Tien Volume 2, Number 1, First Quarter 2004 View PDF… Read more
CASE STUDIES: An Invitation to the Readers of JOIM
Jack L. Treynor Volume 2, Number 1, First Quarter 2004 View PDF… Read more
Can Simple Buy and Sell Rules Increase Index Future Day Trading Profitability?
Susana Yu and Joel Rentzler Volume 2, Number 1, First Quarter 2004 Day trading index futures is popular. Two common strategies are trend-following and gap-reversal. This paper uses these strategies as “base strategies” and asks whether simple intraday exit rules can increase their profitability. Intraday stop-loss exit rules appear to add return to a trend-following… Read more
Institutional Management Fees: Are the Annual Fees You Pay For Money Management Appropriate?
Sherry L. Jarrell and Edward S. O’Neal Volume 2, Number 1, First Quarter 2004 The authors quantify and analyze the current annual fees in the institutional mutual fund industry. They identify the primary determinants of fund expenses and develop a methodology for gauging whether fees on an institutional investment are consistent with other similar alternative… Read more
Managed Futures and Hedge Funds: A Match Made in Heaven
Harry M. Kat Volume 2, Number 1, First Quarter 2004 We study the possible role of managed futures in portfolios of stocks, bonds and hedge funds. We find that allocating to managed futures allows investors to achieve a very substantial degree of overall risk reduction at, in terms of expected return, relatively limited costs. Adding… Read more
Great Moments in Financial Economics: III. Short-Sales and Stock Prices
Mark Rubinstein Volume 2, Number 1, First Quarter 2004 This is the third in a series of articles on Great Moments in Financial Economics to appear in the Journal. For each, the purpose is to trace, as well as the author can, the history of the development of an important idea. In this case, the… Read more
INSIGHTS: The Market Maker in the Age of the ECN
Wayne H. Wagner Volume 2, Number 1, First Quarter 2004 Electronic trading venues demonstrate an impressive ability to successfully match trades with high accuracy, low cost, and at remarkable speeds. Are they on track to take over the trading process, or will there always be activities better performed by human beings… Read more