Volume 7, Number 1, First Quarter 2009 View PDF… Read more
First Quarter (2009)
BOOK REVIEWS: Plight of the Fortune Tellers: Why We Need to Manage Risk Differently
Volume 7, Number 1, First Quarter 2009 Plight of the Fortune Tellers: Why We Need to Manage Risk Differently Riccardo Rebonato Reviewed by Lisa R. Goldberg View PDF… Read more
SURVEY OF THE LITERATURE: The Housing Bubble and Resulting Mortgage Crisis
Robert Hendershott, Patric Hendershott and James Shilling Volume 7, Number 1, First Quarter 2009 In the late 1990s, United States house prices began a long boom that peaked in mid 2006. The subsequent reversal of the housing boom has spawned a major crisis in the credit markets. This paper reviews the financial developments that stimulated… Read more
CASE STUDIES: Never Look a Gift Horse In the Mouth
Jack L. Treynor Volume 7, Number 1, First Quarter 2009 View PDF… Read more
Optimal Rebalancing: A Scalable Solution
Mark Kritzman, Simon Myrgren and Sébastien Page Volume 7, Number 1, First Quarter 2009 Institutional investors usually employ mean-variance analysis to determine optimal portfolio weights. Almost immediately upon implementation, however, the portfolio’s weights become sub-optimal as changes in asset prices cause the portfolio to drift away from the optimal targets. We apply a quadratic heuristic… Read more
Shorting Demand and Predictability of Returns
Lauren Cohen, Karl B. Diether and Christopher J. Malloy Volume 7, Number 1, First Quarter 2009 We examine the link between shorting and future returns in the equities market using a proprietary dataset of stock loan fees and quantities. We find that separating supply and demand shifts provides a richer view of the information contained… Read more
The Clustering of Extreme Movements: Stock Prices and the Weather
Atanu Saha, Burton G. Malkiel and Alex Grecu Volume 7, Number 1, First Quarter 2009 One striking feature of the United States stock market is the tendency of days with very large movements of stock prices to be clustered together. We define an extreme movement in stock prices as one that can be characterized as… Read more
INSIGHTS: Stockholder Rights and Carl Icahn
Harold Bierman, Jr. Volume 7, Number 1, First Quarter 2009 One might conject that shareholder activism should be praised and welcomed by shareholders. This paper suggests that actions, alleged to be on behalf of shareholders, can be shown to be on behalf of a small group of activist investors, and not for the broader group… Read more