Second Quarter (2008)

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

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

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

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

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