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First Quarter (2006)

0 comments / 10/07/2014 / / Archives, Book Reviews

BOOK REVIEWS: Understanding Arbitrage: An Intuitive Approach to Financial Analysis / The Legacy of Fisher Black

Volume 4, Number 1, First Quarter 2006 Understanding Arbitrage: An Intuitive Approach to Financial Analysis Randall S. Billingsley Reviewed by Tim Adler The Legacy of Fisher Black Bruce Lehmann Reviewed by Craig W. French View PDF… Read more

0 comments / 10/07/2014 / the JOIM / Archives, Case Studies

CASE STUDIES: When Plant Wears Out – A Case

Jack L. Treynor Volume 4, Number 1, First Quarter 2006 View PDF… Read more

0 comments / 10/07/2014 / / Archives, Articles

Great Moments in Financial Economics: IV. The Fundamental Theorem (Part II)

Mark Rubinstein Volume 4, Number 1, First Quarter 2006 This is Part II of the fourth in a series of articles in this Journal examining the historical origins of key ideas in the history of financial economics. It describes an extension of the “fundamental theorem” from buy-and-hold strategies developed in Part I to dynamic portfolio… Read more

0 comments / 10/07/2014 / the JOIM / Archives, Articles

Can Contrarian Strategies Improve Momentum Profits

Kalok Chan and Hung Wan Kot Volume 4, Number 1, First Quarter 2006 This paper investigates whether investors can exploit the contrarian cycle to improve the profitability of momentum strategies. We conjecture that the momentum strategies implemented in the early stage of price reversal (MSES) are more profitable than those implemented in the late stage… Read more

0 comments / 10/07/2014 / the JOIM / Archives, Articles

Mutual Fund Dilution from Market Timing Trades

Jason T. Greene and Conrad S. Ciccotello Volume 4, Number 1, First Quarter 2006 This paper introduces a model to measure the dilution impact on an open-end fund due to market timing trades. When a timer buys shares of a fund just prior to positive returns, the extra cash in the fund dilutes the fund’s… Read more

0 comments / 10/07/2014 / the JOIM / Archives, Articles

Does the Stock Market Underreact to R&D Increases?

Allan C. Eberhart, William F. Maxwell and Akhtar R. Siddique Volume 4, Number 1, First Quarter 2006 We examine a sample of 8,313 cases, between 1951 and 2001, where firms unexpectedly increase their research and development expenditures (R&D) by a significant amount. We find consistent evidence that our sample firms are undervalued following their R&D… Read more

0 comments / 10/07/2014 / the JOIM / Archives, Insight

INSIGHTS: Skill – Based Investment Management: The Next Evolution in the Asset Management Industry

Pranay Gupta and Jan Straatman Volume 4, Number 1, First Quarter 2006 In this paper, we discuss the structure of investment management organizations from a business model perspective, investment structure perspective, and return analysis perspective. We argue that the definition of a business model to align the interest of the asset owner and asset manager… Read more

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