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Investment Management Information
“Bridging the theory & practice of investment management”
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First Quarter (2003)

0 comments / 23/11/2015 / Carr Bettis

Is U.S. Insider Trading Still Relevant? A Quantitative Portfolio Approach

Carr Bettis, John B. Guerard and Daniel McAuley Volume 13, Number 4, 2015 For 40 years academic literature has reported statistically significant excess returns to selected insiders trading in their firms’ shares, and similar evidence for outsiders who selectively mimic insider trading decisions spans three decades. However, constructing tradable signals leveraging insider trading data is… Read More

0 comments / 14/07/2014 /

PRACTITIONER’S DIGEST

Volume 1, Number 1, (2003) View PDF… Read More

0 comments / 09/07/2014 / tony.kao

STREET RESEARCH: Corporate Earnings and Credit Debacles

Tony Kao View PDF… Read More

0 comments / 07/07/2014 /

BOOK REVIEWS: All About Hedge Funds /Trading and Exchanges

All About Hedge Funds Robert A. Jaeger Reviewed by Mark Kritzman Trading and Exchanges Larry Harris Reviewed by Mark Kritzman View PDF… Read More

0 comments / 07/07/2014 / srdas

Working Paper: The Internet and Investors

Sanjiv R. Das PDF Article… Read More

0 comments / 07/07/2014 / srdas

Private Equity Returns: An Empirical Examination Of The Exit of Venture-Backed Companies

Sanjiv R. Das, Murali Jagannathan, and Atulya SarinIn this paper we examine 52,322 financing rounds in 23,208 unique firms, over the period 1980 through 2000 by venture and buyouts funds and estimate the probability of exit, time to exit, exit multiples and the expected gains from private equity investments. The expected multiple (after accounting for… Read More

0 comments / 07/07/2014 / Renato Staub

Segmentation, Illiquidity, and Returns

Renato Staub and Jeffrey Diermeier When investing in alternative assets, such as private equity or natural resources - which may be "locked-up" for prolonged periods of time - the question of compensation for illiquidity becomes important. No rational investor will choose the illiquid over the liquid asset unless he gets compensated for his loss of… Read More

0 comments / 07/07/2014 / Arik Ben Dor

Understanding Mutual Funds and Hedge Funds Styles Using Return-Based Style Analysis

Arik Ben Dor, Ravi Jagannathan, and Iwan Meier We illustrate the use of return-based style analysis in practice using several examples. We demonstrate the importance of selecting the right style benchmarks and how the use of inappropriate style benchmarks may lead to wrong conclusions. We show how asset turnover and style graphs over time can… Read More

0 comments / 07/07/2014 / alo@mit.edu

It’s 11PM – Do You Know Where Your Liquidity Is? The Mean-Variance Liquidity Frontier

Andrew W. Lo, Constantin Petrov, and Martin Wierzbicki We introduce liquidity into a mean-variance portfolio optimization framework by defining several measures of liquidity and then constructing three-dimensional mean-variance-liquidity frontiers in three ways - liquidity filtering, liquidity constraints, and a mean-variance-liquidity objective function. We show that portfolios close to each other on the traditional mean-variance efficient… Read More

0 comments / 07/07/2014 /

Great Moments in Financial Economics: I. Present Value

Mark Rubinstein This is the first in a series of articles to appear in this Journal on the history of significant ideas in financial economics. Perhaps the most basic of these is the idea of present value. Early contributors include Johan de Witt (1671), the famous mathematician Abraham de Moivre (1725), and the famous scientist… Read More

0 comments / 06/07/2014 / Jack Treynor

A Theory of Inflation

Jack L. Treynor Inflation entails a loop running from prices to wages and back again from wages to prices. Change in inflation rates result from two types of intervention in that otherwise closed loop. Inflation surprise intervenes when the labor productivity of the marginal plant, hence the real wage, turns out different from what negotiators… Read More

0 comments / 06/07/2014 / Robert Jarrow

Estimating Default Probabilities Implicit in Equity Prices

Tibor Janosi, Robert Jarrow, and Yildiray Yildirim This paper uses a reduced form credit risk model to estimate default probabilities implicit in equity prices. For a cross-section of firms, a time-series regression of monthly equity returns is estimated. We show that it is feasible to infer the firm's probability of default implicit in equity returns… Read More

0 comments / 07/08/2003 / JackBogle

INSIGHTS: Don’t Count On It! The Perils of Numeracy

John C. Bogle Author John C. Bogle argues that the Information Age has given birth to a worship of hard numbers, and, in turn, the attitude that “If you cannot measure it, it doesn’t matter.” Mr. Bogle disagrees with this syllogism, and offers four “Perils of Numeracy,” detailing the threats that each pose not only… Read More

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First Quarter (2003)

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