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First Quarter (2016)

0 comments / 18/02/2016 / / Archives, Practitioner’s Digest

PRACTITIONER’S DIGEST

Volume 14, Number 1, 2016 View PDF… Read more

0 comments / 18/02/2016 / / Archives, Book Reviews

BOOK REVIEW: Global Asset Allocation: A Survey of theWorld’s Top Asset Allocation Strategies (by Mebane Faber)

Javier Estrada Volume 14, Number 1, 2016 Global Asset Allocation: A Survey of the World’s Top Asset Allocation Strategies (by Mebane Faber) View PDF… Read more

0 comments / 18/02/2016 / the JOIM / Archives, Case Studies

CASE STUDIES: “Case”Weatherman’s Bias

Jack Treynor Volume 14, Number 1, 2016 View PDF… Read more

0 comments / 18/02/2016 / the JOIM / Archives, Articles

Optimal Municipal Bond Portfolios for Dynamic Tax Management

Volume 14, Number 1, 2016 Andrew Kalotay As currently practiced, tax-loss selling of municipal bonds is typically an ad hoc year-end exercise. Under dynamic tax management the right to execute a tax-beneficial trade is considered to be a valuable option. Selling a bond and reinvesting in another entails swapping the associated tax options. The generalized… Read more

0 comments / 18/02/2016 / the JOIM / Archives, Articles

The Information Content of Analysts’ Recommendations Revisited

Volume 14, Number 1, 2016 Daniel Bradley, Jonathan Clarke, Suzanne Lee and Chayawat Ornthanalai Bradley et al. (BCLO, 2014) find evidence that the time stamps reported in I/B/E/S for analysts’ recommendations are systematically delayed giving the appearance that recommendations are uninformative.We review the findings of BCLO and extend their analyses along three dimensions. First, we… Read more

0 comments / 18/02/2016 / the JOIM / Archives, Articles

The Self-Fulfilling Prophecy of Popular Asset Pricing Models

Volume 14, Number 1, 2016 Bradford Cornell and Jason Hsu The assumption that asset prices are determined by the efforts of end investors to maximize intertemporal utility supports a pricing theory that is both elegant and intuitive. Unfortunately, the assumption is counterfactual. End investors, with few exceptions, lack the capacity to behave in a fashion… Read more

0 comments / 18/02/2016 / / Archives, Articles

Tax-Cognizant Portfolio Analysis: A Methodology for Maximizing After-Tax Wealth

Kenneth A. Blay and Harry M. Markowitz Volume 14, Number 1, 2016 The most prevalent methods of incorporating taxes into the portfolio construction process are the preliminary adjustment of asset allocation inputs for taxes and the post-optimization application of asset location heuristics. We argue that these methods are unsatisfactory in that they fail to address… Read more

0 comments / 18/02/2016 / the JOIM / Archives, Insight

INSIGHTS: By the Numbers: 10 Things My Hobbies Have Taught Me About Investing

Volume 14, Number 1, 2016 Vineer Bhansali I discuss ten common themes between non-investment related activities that shed practical and useful light on investing. While readers might not be familiar with these particular activities, I believe that combining analogies from any accumulated skill in intrinsically rewarding activities (also known as hobbies), with a disciplined analytical… Read more

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