Recent empirical findings suggest that equity returns are predictable. These findings document persistent cross-sectional and time series patterns in returns that are not predicted by extant theory, and are, therefore, often classified as anomalies. In this paper we synthesize the evidence on...

This paper examines the return characteristics of low-grade bonds using dealer bid prices. The volatility of an index of these bonds is less than the volatility of indexes of higher-grade bonds such as long-term Treasury bonds. This reduced volatility is due in large part to the shorter duration...

Particularly since the passage of ERISA, institutional investors have increasingly been willing to consider investments that traditionally have been considered highly speculative. Indeed, some institutional investors now routinely use options and futures, instruments that formerly were viewed as...

Returns computed with closing bid or ask prices that may not represent "true" prices imparts measurement error into portfolio returns if investor buying and selling behavior displays systematic patterns. This paper finds systematic tendencies for closing prices to be recorded at the bid in...