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Third Quarter (2012)

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

BOOK REVIEWS: What Investors Want / Pension Finance: Putting the Risk and Cost of Defined Benefit Plans Under Your Control

Volume 10, Number 3, Third Quarter 2012 What Investors Want Meir Statman Reviewed by Manny Hunjan Pension Finance: Putting the Risk and Costs of Defined Benefit Plans Under Your Control M. Barton Waring Reviewed by Bruce Grantier View PDF… Read more

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

CASE STUDIES: Investing Early for Retirement

Jack L. Treynor Volume 10, Number 3, Third Quarter 2012 View PDF… Read more

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

A New Perspective on the Validity of the CAPM: Still Alive and Well

Moshe Levy and Richard Roll Volume 10, Number 3, Third Quarter 2012 The Capital Asset Pricing Model (CAPM) has far-reaching practical implications for both investors and corporate managers. The model implies that the market portfolio is mean-variance efficient, and thus advocates passive investment. It also provides the most widely used measure of risk, beta, which… Read more

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

Estimating the Negative Impact of “Noise” on the Returns of Cap-Weighted Portfolios In Various Segments of the Equity Markets

Russell J. Fuller, Bing Han and Yining Tung Volume 10, Number 3, Third Quarter 2012 Capital Market Theory assumes that the ex ante market portfolio (which is cap-weighted) lies on the (ex ante) efficient frontier. However, we show that ex ante cap-weighted portfolios will always be interior portfolios relative to the end-of-investment-period ex post efficient… Read more

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

The Relative Strength of Industries versus Countries in Global Equity Markets

Jose Menchero and Andrei Morozov Volume 10, Number 3, Third Quarter 2012 The relative strength of industries versus countries is of great practical interest for global equity investors. In this article, we investigate the relative strength of these effects in the global equity markets over the sample period 1994-2010. In particular, we examine three market… Read more

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

How Does Your State Stack Up? Participation Costs in Higher Education Optional Retirement Plans

Daniel Bradley and Lei Wedge Volume 10, Number 3, Third Quarter 2012 We examine the costs to higher education employees investing in optional retirement plans (ORP). We find vast differences across states in terms of the number of providers, number of funds offered per provider, and fees. We find the same provider offering the same… Read more

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

Redemption Fees and the Risk-Adjusted Performance of International Equity Mutual Funds

Iuliana Ismailescu and Matthew Morey Volume 10, Number 3, Third Quarter 2012 In the wake of the market timing and late trading mutual fund scandals, many mutual funds adopted redemption fees to limit market timing. In this paper we investigate the impact of redemption fees on the risk-adjusted performance of U.S. based international equity funds… Read more

0 comments / 14/07/2014 / / Archives, Practitioner’s Digest

PRACTITIONER’S DIGEST

Volume 10, Number 3, Third Quarter 2012 View PDF… Read more

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