Search Results - isPartOf:"Review of Quantitative Finance and Accounting"

Further Evidence on Performance Evaluation: Portfolio Holdings, Recommendations, and Turnover Costs.

Rubio, Gonzalo - In: Review of Quantitative Finance and Accounting 5 (1995) 2, pp. 127-53

This paper analyzes the performance of mutual funds in Spain between January 1980 and June 1990. The robustness of results to alternative measurements and benchmarks are analyzed. The results indicate that, with monthly returns alone, it is not possible to distinguish between selectivity and...

Persistent link: https://www.econbiz.de/10005673907

An Empirical Investigation of the Two-Factor Brennan-Schwartz Term Structure Model.

Hsin, Chin-Wen - In: Review of Quantitative Finance and Accounting 5 (1995) 1, pp. 71-92

This paper studies the pricing behaviors of default-free bonds based on the two-factor model by Brennan and Schwartz (1979), where a short-term spot rate and a long-term consol rate are the state variables. The logarithm of these two factors is assumed to follow a linear transformation of an...

Persistent link: https://www.econbiz.de/10005673934

Persistent performance in the mutual fund market : tests with funds and investment advisers

Shukla, Ravi - In: Review of quantitative finance and accounting 4 (1994) 2, pp. 115-135

Persistent link: https://www.econbiz.de/10001166091

A re-examination of the impact of credit ratings and economic factors on state bond yields

Kao, Chihwa - In: Review of quantitative finance and accounting 4 (1994) 1, pp. 59-78

Persistent link: https://www.econbiz.de/10001166092

Option pricing with random volatilities in complete markets

Eisenberg, Laurence K. - In: Review of quantitative finance and accounting 4 (1994) 1, pp. 5-17

Persistent link: https://www.econbiz.de/10001166094

Temporal aggregation and unit roots in nominal foreign exchange rates

Fujihara, Roger Arnold - In: Review of quantitative finance and accounting 4 (1994) 3, pp. 291-303

Persistent link: https://www.econbiz.de/10001174249

Seasonals, price adjustment delays and estimated systematic risk

Taube, Paul M. - In: Review of quantitative finance and accounting 4 (1994) 3, pp. 265-289

Persistent link: https://www.econbiz.de/10001174253

Expressed cost consciousness in the president's "letter to stockholders" : words, deeds, and dividends

Frankfurter, George M. - In: Review of quantitative finance and accounting 4 (1994) 3, pp. 253-264

Persistent link: https://www.econbiz.de/10001174254

A stochastic domincance analysis of the turnover related performance of mutual funds

Taylor, Walton R. L. - In: Review of quantitative finance and accounting 4 (1994) 3, pp. 239-251

Persistent link: https://www.econbiz.de/10001174255

Estimating the bid-ask spread in a heteroskedastic market : the case of foreign currency futures

Laux, Paul A. - In: Review of quantitative finance and accounting 4 (1994) 3, pp. 219-237

Persistent link: https://www.econbiz.de/10001174256