This study is motivated by the dearth of models that provide good out-of-sample fit for exchange rates. That is, current models of exchange rate behaviour are poor predictors of subsequent currency movements. An attempt is made to determine if the relationship between exchange rates and...

Purpose – Most investors' retirement portfolios have inter-period cash inflows. The standard time-weighted mean return (or geometric mean return) is generally used to report returns on investors' retirement portfolios. The purpose of this paper is to examine the standard time-weighted mean...

This paper reexamines the use of the Sharpe ratio to measure the performance of large and small company stocks along with corporate bonds over different holding periods. It builds on previous research which cites the effects of serial correlation and non-normality in the creation of estimation...

This study explores the impact of systematic risk (beta) and systematic coskewness on EREIT returns. The test uses the Skewness Preference CAPM, which includes the impact of the third moment on returns. The findings are that systematic risk impacts return in the predicted manner. However, there...

Using refined preparation techniques, cadmium guest atoms have been positioned at different sites on the surfaces of nickel crystals. The magnetic hyperfine fields and the electric field gradients at the Cd nuclei were measured by time-dependent perturbed angular correlation (TDPAC) spectroscopy...

This study provides the most direct macro-level test to date of the tax-loss selling hypothesis as an explanation of the January effect. By examining relationships between macroeconomic variables that should be related to tax-loss selling and market index measures of the January effect, this...