Volume 11, Number 3, Third Quarter 2013 Successful Investing is a Process: Structuring Efficient Portfolios for Outperformance Jacques Lussier Reviewed by Bruce Grantier View PDF… Read more
Third Quarter (2013)
CASE STUDIES: The Work Force and Inflation
Jack L. Treynor Volume 11, Number 3, Third Quarter 2013 View PDF… Read more
INSIGHTS: The Intended and Collateral Effects of Short Sale Bans as a Regulatory Tool
Terrence Hendershott, Ethan Namvar and Blake Phillips Volume 11, Number 3, Third Quarter 2013 Short-sale bans have been utilized globally as a regulatory tool during periods of financial crisis. This paper reviews the observed intended and unintended effects of short-sale bans. Research has documented pervasive effects spanning many financial markets that include options, convertible bonds… Read more
Where the Boys Are Gender, Risk Taking and Authority in Institutional Equity Management
Margaret Stumpp Volume 11, Number 3, Third Quarter 2013 This paper examines the gender distribution of key investment professionals with decision making and oversight authority in institutional equity management. We find that women are heavily underrepresented among almost all key positions not just within portfolio management. We find no evidence that this is attributable to… Read more
Demystifying Managed Futures
Brian Hurst, Yao Hua Ooi and Lasse Heje Pedersen Volume 11, Number 3, Third Quarter 2013 We show that the returns of Managed Futures funds and CTAs can be explained by time series momentum strategies and we discuss the economic intuition behind these strategies. Time series momentum strategies produce large correlations and high R-squares with… Read more
Generating Superior Performance in Private Equity: A New Investment Methodology
S.P. Kothari, Gitanjali Swamy and Konstantin Danilov Volume 11, Number 3, Third Quarter 2013 This paper provides a new investment methodology for private equity portfolios that applies principles of investment management used in traditional asset classes. We apply Modern Portfolio Theory (MPT) with rational selection of portfolios that are on the efficient frontier of risk-reward… Read more
LIBOR Versus OIS: The Derivatives Discounting Dilemma
John Hull and Alan White Volume 11, Number 3, Third Quarter 2013 Traditionally practitioners have used LIBOR and LIBOR-swap rates as proxies for risk-free rates when valuing derivatives. This practice has been called into question by the credit crisis that started in 2007. Many banks now consider that overnight indexed swap (OIS) rates should be… Read more
SURVEYS AND CROSSOVERS: Value of Corporate Control: Some International Evidence
Paul Hanouna, Atulya Sarin and Alan C. Shapiro Volume 11, Number 3, Third Quarter 2013 Existing literature shows that the market values control because controlling shareholder can generate private benefits and improve the efficiency of the corporation. In this study, we provide a measure of the value of control for a set of domestic and… Read more
PRACTITIONER’S DIGEST
Volume 11, Number 3, Third Quarter 2013 View PDF… Read more