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“Bridging the theory & practice of investment management”
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First Quarter (2009)

0 comments / 11/03/2015 /

PRACTITIONER’S DIGEST

Volume 7, Number 1, (2009) View PDF… Read More

0 comments / 14/07/2014 /

BOOK REVIEWS: Plight of the Fortune Tellers: Why We Need to Manage Risk Differently

Plight of the Fortune Tellers: Why We Need to Manage Risk Differently Riccardo Rebonato Reviewed by Lisa R. Goldberg View PDF… Read More

0 comments / 14/07/2014 / Robert Hendershott

SURVEY OF THE LITERATURE: The Housing Bubble and Resulting Mortgage Crisis

Robert Hendershott, Patric Hendershott and James Shilling In the late 1990s, United States house prices began a long boom that peaked in mid 2006. The subsequent reversal of the housing boom has spawned a major crisis in the credit markets. This paper reviews the financial developments that stimulated the house price bubble and the financial… Read More

0 comments / 14/07/2014 / Jack Treynor

CASE STUDIES: Never Look a Gift Horse In the Mouth

Jack L. Treynor View PDF… Read More

0 comments / 14/07/2014 / mkritzman

Optimal Rebalancing: A Scalable Solution

Mark Kritzman, Simon Myrgren and Sébastien Page Institutional investors usually employ mean-variance analysis to determine optimal portfolio weights. Almost immediately upon implementation, however, the portfolio's weights become sub-optimal as changes in asset prices cause the portfolio to drift away from the optimal targets. We apply a quadratic heuristic to address the optimal rebalancing problem, and… Read More

0 comments / 14/07/2014 / Lauren Cohen

Shorting Demand and Predictability of Returns

Lauren Cohen, Karl B. Diether and Christopher J. Malloy We examine the link between shorting and future returns in the equities market using a proprietary dataset of stock loan fees and quantities. We find that separating supply and demand shifts provides a richer view of the information contained in the securities lending market. Specifically, when… Read More

0 comments / 14/07/2014 / Atanu Saha

The Clustering of Extreme Movements: Stock Prices and the Weather

Atanu Saha, Burton G. Malkiel and Alex Grecu One striking feature of the United States stock market is the tendency of days with very large movements of stock prices to be clustered together. We define an extreme movement in stock prices as one that can be characterized as a three sigma event; that is, a… Read More

0 comments / 14/07/2014 / Harold Bierman

INSIGHTS: Stockholder Rights and Carl Icahn

Harold Bierman, Jr. One might conject that shareholder activism should be praised and welcomed by shareholders. This paper suggests that actions, alleged to be on behalf of shareholders, can be shown to be on behalf of a small group of activist investors, and not for the broader group of stock owners. To investigate the issue… Read More

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First Quarter (2009)

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