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First Quarter (2007)

0 comments / 13/07/2014 / / Archives, Book Reviews

BOOK REVIEWS: A Behavioral Approach To Asset Pricing / Investors and Markets

Volume 5, Number 1, First Quarter 2007 A Behavioral Approach To Asset Pricing Hersh Shefrin Reviewed by Hans-Christian Ludemann Investors and Markets William Sharpe Reviewed by Craig W. French View PDF… Read more

0 comments / 13/07/2014 / the JOIM / Archives, Articles

Proxy Voting Brand Competition

Mark Latham Volume 5, Number 1, First Quarter 2007 Institutional and individual investors can coordinate their proxy voting to improve corporate governance. A new funding design for professional proxy advisors can increase their quality and competition. These reforms would reduce the need for the public sector to police boards of directors by onerous regulation and… Read more

0 comments / 13/07/2014 / the JOIM / Archives, Articles

The Value of Transaction Cost Forecasts: Another Source of Alpha

Mark Coppejans and Ananth Madhavan Volume 5, Number 1, First Quarter 2007 This article examines the impact of transaction costs on portfolio performance. Previous research on this topic has focused largely on post-trade considerations, i.e., the impact of realized transaction costs on investment performance. By contrast, we focus on pre-trade considerations, namely the impact of… Read more

0 comments / 13/07/2014 / the JOIM / Archives, Articles

Industry Concentration and Mutual Fund Performance

Marcin Kacperczyk, Clemens Sialm and Lu Zheng Volume 5, Number 1, First Quarter 2007 We study the relation between the industry concentration and the performance of actively managed U.S. mutual funds from 1984 to 2003. Our results indicate that the most concentrated funds perform better after controlling for risk and style differences using factor-based performance… Read more

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

Measuring the True Cost of Active Management by Mutual Funds

Ross M. Miller Volume 5, Number 1, First Quarter 2007 This article derives a rigorous method for allocating fund expenses between active and passive management and that enable one to compute the implicit cost of active management. Computing this “active expense ratio” requires only a fund’s published expense ratio, its R-squared relative to a benchmark… Read more

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

What Every Investor Should Know About Commodities Part I: Univariate Return Analysis

Harry M. Kat and Roel C. A. Oomen Volume 5, Number 1, First Quarter 2007 In this paper we study the univariate return properties of a large variety of commodity futures. Our analysis shows that the volatility of commodity futures is comparable to that of US large cap stocks. Yet, with the exception of energy… Read more

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

CASE STUDIES: Reifen AG

Jack L. Treynor Volume 5, Number 1, First Quarter 2007 View PDF… Read more

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