Ananth Madhavan Exchange traded funds (ETFs) have grown substantially in diversity, market significance and size in recent years. As a consequence, there is increased interest by practitioners in the pricing and trading of these investment vehicles. This paper develops a model to examine ETF price discovery and premium dynamics, and estimates the model individually for… Read more
First Quarter (2015)
PRACTITIONER’S DIGEST
PRACTITIONER’S DIGEST
Volume 13, Number 1, First Quarter 2015 View PDF… Read more
Impact of Credit Markets on Dynamic Stochastic Real Aggregate Production
Volume 13, Number 1, First Quarter 2015 Thomas S. Y. Ho and Sang Bin Lee This paper provides a dynamic stochastic macro-financial model that describes the impact of the credit market on real production risk and provides some empirical evidence of the reasonableness of the model. Our model shows that the uncertain real sector output… Read more
CASE STUDIES: Cobb-Douglas
Volume 13, Number 1, First Quarter 2015 Jack L. Treynor View PDF… Read more
INSIGHTS: Investment, Financial System, Real Output and Macro-Risk Management
Volume 13, Number 1, First Quarter 2015 Thomas S. Y. Ho and Sang Bin Lee Loan underwriting standards and quantitative easing are examples of macro-risk management tools that affect the financial sector, which in turn affects real sector outputs. And therefore asset returns, real sector outputs, financial sector, and macro-risk management are interrelated. This paper… Read more
BOOK REVIEW: Asset Management: A Systematic Approach to Factor Investing
Volume 13, Number 1, First Quarter 2015 Asset Management: A Systematic Approach to Factor Investing Andrew Ang Reviewed by Bruce Grantier View PDF… Read more
Momentum, Acceleration, and Reversal
Volume 13, Number 1, First Quarter 2015 James X. Xiong and Roger G. Ibbotson This paper studies the impact of accelerated stock price increases on future performance. Accelerated stock price increases are a strong contributor to both poor future performance and a higher probability of reversals. It implies that accelerated growth is not sustainable and… Read more
Investing With Style
Volume 13, Number 1, First Quarter 2015 Clifford S. Asness, Antti Ilmanen, Ronen Israel and Tobias J. Moskowitz Investors are bombarded by a variety of investment strategies from a growing and increasingly complex financial industry, each claiming to improve returns and reduce risk. Amid the clamor, academic research has sifted through the vast landscape and… Read more
OIS Discounting, Interest Rate Derivatives, and the Modeling of Stochastic Interest Rate Spreads
Volume 13, Number 1, First Quarter 2015 John Hull and Alan White Before 2007, derivatives practitioners used a zero curve that was bootstrapped from LIBOR swap rates to provide “risk-free” rates when pricing derivatives. In the last few years, when pricing fully collateralized transactions, practitioners have switched to using a zero curve bootstrapped from overnight… Read more
Reserve Primary: Fools Rush in Where Wise Men Fear to Tread!
Volume 13, Number 1, First Quarter 2015 Ozgur (Ozzy) Akay, Mark D. Griffiths and Drew B. Winters This is a clinical analysis of the demise of the Reserve Primary Fund, the first ever money market fund. Reserve Primary was caught in a perfect storm of its own making when the financial markets went into a… Read more