We analyze the performances of Japanese open-type stock mutual funds for the 1981-1992 period. The results show that, regardless of the performance measures and benchmarks employed, most of the Japanese mutual funds underperform the benchmarks by between 3.6% to 10.8% per annum. These funds tend...

We analyze the performance of Japanese open-type stock mutual funds for the 1981-1992 period. The results show that, regardless of the performance measures and benchmarks employed, most of the Japanese mutual funds underperform the benchmarks by between 3.6% to 10.8% per annum. These funds tend...

This paper provides an analysis of the equity-market effects of a substantial increase in individual shareholder participation in the market for a firm. The data are based on reductions in lot sizes or Minimum Trade Units (MTUs) on the Tokyo Stock Exchange (TSE). There is a shift in order flow...

The yen provided foreign exchange market participants with 'once-in-a-generation' volatility movements in 1998. For instance, after many months of uneven yen depreciation a remarkable period of yen appreciation was experienced where, in one two-day period, the U.S. dollar dropped in value by 20...

Notions of positive dependence and copulas play important roles in modeling dependent risks. The invariant properties of notions of positive dependence and copulas under increasing transformations are often used in the studies of economics, finance, insurance and many other fields. In this...

Dependence structures of multiple risks play an important role in optimal allocation problems for insurance, quantitative risk management, and finance. However, in many existing studies on these problems, risks or losses are often assumed to be independent or comonotonic or exchangeable. In this...

In the individual risk model, one is often concerned about positively dependent risks. Several notions of positive dependence have been proposed to describe such dependent risks. In this paper, we assume that the risks in the individual risk model are positively dependent through the stochastic...