This paper examines managerial skill of U.S. equity mutual funds in the context of both abnormal return and risk. We recognize the role of fund life cycle and use different evaluation horizons to control for fund age and the overall state of the market. We find that a small percentage of equity...

My dissertation consists of three chapters covering mutual fund terminations, survivorship bias, and smart money effect, respectively. The first chapter examines domestic equity fund terminations through the determinants of the hazard function. It finds that the lagged 3-month return, the...

This paper derives formulas for higher order duration measures, including D(1) (i.e. Macaulay duration), D(2) (i.e., slope duration), D(3) (curvature duration), etc. We develop a general iterative method to obtain formulas for any higher order measure D(m), for an arbitrary positive integer...

Between 1986 and 1990, the Small Business Administration made approximately $800 million in hurricane and flood disaster loans. The President's 1999 budget submission proposes that these loans be sold to private investors. Using data on over 130,000 disaster loans, and employing a stochastic...

Closed-form formulas for Macaulay duration, as given by Babcock and Chua, provide the user with a less cumbersome and more efficient procedure for calculating duration. Recent developments, however, have suggested alternative measures of bond portfolio immunization designed to overcome the...

This paper tests empirically whether convexity is return enhancing (the traditional view based upon parallel term structure shifts), or return diminishing (the equilibrium view suggesting convexity is priced). Results of empirical tests over different time periods show bond convexity to be...