This paper examines the risk of value investing from the point of view of a myopic loss-averse investor holding a diversified portfolio and relying on infrequent portfolio rebalancing. This closely resembles purchasing a large portfolio, such as those created by BARRA, and following a...

This paper distinguishes between the principles upon which testing statistical hypotheses may be based and the practical methods these principles generate. Seber's (1964) conclusion that the Wald, Lagrange Multiplier and Likelihood Ratio Principles all yield the same test statistic for linear...

This paper considers the relations between the classical identifiability test statistic and corresponding significance tests of the coefficients of endogenous variables of one equation of a linear interdependent system in the context of Generalized Classical Linear (GCL) estimation. Known...