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Second Quarter (2006)

0 comments / 27/02/2015 / the JOIM / Archives, Surveys and Crossovers

TECHNOLOGY REVIEW: Multiple-Core Processors For Finance Applications

Sanjiv R. Das Volume 4, Number 2, Second Quarter View PDF… Read more

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

BOOK REVIEWS: The Undercover Economist /The Future for Investors

Volume 4, Number 2, Second Quarter 2006 The Undercover Economist Tim Harford Reviewed by Javier Estrada The Future for Investors Jeremy Siegel Reviewed by Javier Estrada View PDF… Read more

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

CASE STUDIES: Answers to Quiz for Fed Candidates

Jack L. Treynor Volume 4, Number 2, Second Quarter 2006 View PDF… Read more

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

Are the Probabilities Right? Dependent Defaults and the Number of Observations Required to Test for Default Rate Accuracy

Roger M. Stein Volume 4, Number 2, Second Quarter 2006 Users of default prediction models often desire to know how accurate the estimated probabilities are. There are a number of mechanisms for testing this, but one that has found favor due to its intuitive appeal is the examination of goodness of fit between expected and… Read more

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

How Do IPO Issuers Pay for Analyst Coverage?

Michael T. Cliff and David J. Denis Volume 4, Number 2, Second Quarter 2006 This article reports evidence consistent with the view that initial public offering (IPO) issuers purchase high-quality analyst coverage with greater underpricing of the IPO. Specifically, we report that underpricing is positively related to analyst coverage by the lead underwriter and to… Read more

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

Employee Stock Options and Taxes

Courtney H. Edwards, John R. Graham, Mark H. Lang and Douglas A. Shackelford Volume 4, Number 2, Second Quarter 2006 In this paper, we investigate the effect of stock options on the tax position of the firm. We argue that option tax deductions can significantly affect a firm’s marginal tax rate and that the effect… Read more

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

S&P 500 Index Changes and Investor Awareness

Honghui Chen, Gregory Noronha and Vijay Singal Volume 4, Number 2, Second Quarter 2006 We find that, on average, firms added to the S&P 500 index experience a permanent price increase, while those deleted from it suffer only a temporary price decline. Existing theories, such as a downward sloping demand curve, liquidity, and information, fail… Read more

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

A Dynamic Model of Portfolio Management

Richard Grinold Volume 4, Number 2, Second Quarter 2006 This paper presents a simplified model of dynamic active portfolio management. It is designed to answer questions about product design and provide a guide to better implementation. The model has four inputs: an information ratio that measures the anticipated ability to add value, a risk aversion… Read more

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