Volume 3, Number 2, Second Quarter 2005 Neoclassical Finance Stephen A. Ross Reviewed by Jennifer Chu Experimental Economics Ross M. Miller Reviewed by Ritirupa Samanta View PDF… Read more
Second Quarter (2005)
SURVEY OF THE LITERATURE: Genetic Algorithms
Sanjiv R. Das Volume 3, Number 2, Second Quarter 2005 View PDF… Read more
CASE STUDIES: Financial Literacy
Jack L. Treynor Volume 3, Number 2, Second Quarter 2005 View PDF… Read more
Motivation and Performance Following Open-Ending of Closed-End Funds
Aigbe Akhigbe, Jeff Madura and Alan Tucker Volume 3, Number 2, Second Quarter 2005 This study investigates the motives for open-ending closed-end funds, and performance of closed-end funds following open-ending announcements. We find that the propensity to open end is higher for funds that are larger, have high expense ratios, exhibit high volatility, and whose… Read more
Global Diversification
Meir Statman and Jonathan Scheid Volume 3, Number 2, Second Quarter 2005 Correlations between the returns of US stocks and international stocks were higher recently than in the past, reaching 0.86 during the 60 months ending in December 2003. Today’s investors note the high correlations between US and international stocks and doubt the benefits of… Read more
The Kiss Of Death: A 5-Star Morningstar Mutual Fund Rating?
Matthew R. Morey Volume 3, Number 2, Second Quarter 2005 We examine the effect that an initial 5-star Morningstar mutual fund rating has on future fund performance, strategy, risk-taking, expenses, and portfolio turnover. Using a sample of diversified domestic equity funds from the 1990s we find that during the 3 years after a fund received… Read more
How New Entry in Options Markets Affected Market Making and Trading Costs
Patrick de Fontnouvelle, Raymond P. H. Fishe and Jeffrey H. Harris Volume 3, Number 2, Second Quarter 2005 A significant competition for order flow in options markets occurred in August 1999. Before the competition, the majority of option volume arose from exclusive listings. By the end of September 1999, entry by existing option exchanges had… Read more
Developing Better Fee Structures for Mutual Funds
Ronald T. Wilcox Volume 3, Number 2, Second Quarter 2005 This paper presents a management decision model for setting mutual fund fees. The model pairs information obtained from a conjoint analysis, designed to uncover investors’ preferences for different fee structures, with information on the expected revenue generated from various fee structures to suggest a set… Read more
INSIGHTS: The Lorenz Curve
Jack L. Treynor Volume 3, Number 2, Second Quarter 2005 For a century, the critics’ favorite example of the failures of capitalism has been the Lorenz curve. They rank households from poorest to richest and then plot cumulative wealth against the cumulative number of households. The critics argue that, if capitalism were fair, the Lorenz… Read more