Fourth Quarter (2003)

Cheol S. Eun and Sanjiv Sabherwal We investigate price discovery for internationally traded stocks. For a sample of Canadian stocks cross-listed on the Toronto Stock Exchange (TSE) and the NYSE, we find that both markets contribute to price discovery. The US share of price discovery ranges from 0.4% to 98.1%, and averages 36%. The US… Read More

Eugene Y. LeeMomentum is now viewed as another factor of equity returns in addition to such factors as beta, market capitalization, and market-to-book ratio. In this paper, I propose indexation of momentum effects to pave the way for development of the momentum-based investment products and for improved performance evaluation of the actively-managed funds. In this… Read More

Robert Ferguson and Dean LeistikowFerguson and Leistikow [(1997). Journal of Financial Engineering 6, 1-13] (FLa) was the first long-run risk-neutral analysis of the performance volatility incentives created by investment management fee structures. This paper extends FLa in six ways. It allows the portfolio's value to change, incorporates expected investment performance, and addresses expenses and distributions… Read More

Harry M. Markowitz and Nilufer UsmenThe experiment reported here compares two methods for handling uncertain inputs to a mean-variance analysis. Specifically, it compares Michaud's resampled frontier versus Bayesian inference with diffuse prior. A simulated "referee" generates ten "truths" about 8 asset classes. For each truth it randomly generates one hundred histories. A simulated "Bayes Player"… Read More