Vol. 16. No. 4, 2018 Survey and Crossovers Risk, Reward, and Beyond: On the Behavioral Sensitivities of Mean–Variance Efficient Portfolios Jürgen Vandenbroucke and Sanjiv Ranjan Das View PDF… Read more
Fourth Quarter (2018)
Practitioner’s Digest
Vol. 16, No. 4, 2018 Practitioner’s Digest View PDF… Read more
Book Review – The End of Theory by Richard Bookstaber
Vol. 16. No.4, 2018 The End of Theory by Richard Bookstaber reviewed by Savannah Smith View PDF… Read more
Illiquidity and Factor Returns: Exploring the Intersection Between Illiquidity, Small Cap and Popular Factors
Vol. 16 No.4, 2018 Jason C. Hsu and Vivek Viswanathan Factor returns are often reported as the average of factor returns among large stocks and the factor returns among small stocks. However, factor returns among small, illiquid stocks are significantly higher than those among larger, more liquid stocks, suggesting that the factor returns in the… Read more
Automation, Intermediation and the Flash Crash
Vol. 16 No.4, 2018 Andrei Kirilenko, Albert S. Kyle, Mehrdad Samadi and Tugkan Tuzun The Flash Crash of May 6, 2010, shook the confidence of market participants and raised questions about the market structure of electronic markets. In these markets, intraday intermediation has been increasingly provided by market participants without formal obligations to do so. We… Read more
Trading Methods and Trading Costs for Agency Mortgage-Backed Securities
Vol. 16 No.4, 2018 Pengjie Gao, Paul Schultz and Zhaogang Song Investors can trade individual agency mortgage-backed securities (MBS) as specified pools (SPs), or trade them through TBA forward contracts. Sellers in the TBA market deliver the cheapest possible pool that fulfills the contracts, so they are traded on a cheapest to deliver basis. More… Read more
Time Aggregation of Sharpe Ratio A Better Extrapolation Rule
Vol. 16 No.4, 2018 Ziemowit Bednarek, Pratish Patel and Cyrus Ramezani The √T rule extrapolates a one-period Sharpe Ratio to T periods. But the rule ignores compounding. By considering compounding, Levy (1972) and others show that the Sharpe Ratio changes non-monotonically with horizon. We also theoretically and empirically show that the Sharpe Ratio term structure… Read more
Explaining the High P/E Ratios: The Message from the Gordon Model
Vol. 16 No.4, 2018 Heinz Zimmermann Are the high valuation levels of equity prices, after controlling for the low interest rate level, driven by irrational exuberance and excessive growth expectations? The Gordon model helps for a consistent interpretation of commonly used valuation ratios. Overall, P/E ratios do not seem to be caused by irrational growth… Read more