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Second Quarter (2008)

0 comments / 14/07/2014 / / Archives, Book Reviews

BOOK REVIEWS: Capital Ideas Evolving

Volume 6, Number 2, Second Quarter 2008 Capital Ideas Evolving Peter L. Bernstein Reviewed by Frank J. Jones View PDF… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Case Studies

CASE STUDIES: Best Seller Productions

Jack L. Treynor Volume 6, Number 2, Second Quarter 2008 View PDF… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Lisa R. Goldberg, Guy Miller and Jared Weinstein Volume 6, Number 2, Second Quarter 2008 We develop a portfolio risk model that uses high-frequency data to forecast the loss surface, which is the set of loss distributions at future time horizons. Our model uses a fully automated, semi-parametric fitting procedure that has its basis in… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

How Does Investor Sentiment Affect the Cross-Section of Stock Returns?

Malcolm Baker, Johnathan Wang and Jeffrey Wurgler Volume 6, Number 2, Second Quarter 2008 Broad waves of investor sentiment should have larger impacts on securities that are more difficult to value and to arbitrage. Consistent with this intuition, we find that when an index of investor sentiment takes low values, small, young, high volatility, unprofitable… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

First Come First Disserved

Joseph Cerniglia and Joshua Livnat Volume 6, Number 2, Second Quarter 2008 This study investigates whether stock market reactions to earnings information of firms that release their earnings close to quarter-end (Early) are systematically different from their industry peers which report later during the quarter (Late). Unexpectedly, we find that immediate market reactions to early… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

Optimal Static Allocation Decisions in the Presence of Portfolio Insurance

Felix Goltz, Lionel Martellini and Koray D. Simsek Volume 6, Number 2, Second Quarter 2008 The focus of this paper is to determine what fraction a myopic risk-averse investor should allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and equity risk premium. Our… Read more

0 comments / 14/07/2014 / the JOIM / Archives, Articles

Are Analysts All Alike? Identifying Earnings Forecasting Ability

Louis K. C. Chan, David Ikenberry, Josef Lakonishok and Sangwoo Lee Volume 6, Number 2, Second Quarter 2008 Investors and the financial media apparently believe that some Wall Street equity analysts research is superior to others. We examine whether such quality differentials exist, in terms of analysts ability to forecast earnings accurately, and whether these… Read more

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