Implementing a passive strategy with significant assets under management affects market values and thus gives rise to implicit costs in addition to the explicit costs, such as commissions and transaction-related fees. This article presents a conceptual framework and mathematical model for...

Conventional risk measures may not accurately describe the volatility investors actually experience, especially for portfolios servicing their retirement spending needs. Return volatility rises as its calculated holding period nears 1 year and falls as it lengthens to 10 years. Lower volatility...

The paper addresses the question of whether financial liberalisation and innovation have significantly altered consumption behaviour by reducing liquidity constraints as capital markets have become more flexible. A consumption model in which the permanent income hypothesis and extreme Keynesian...

We investigate the ability of several international asset pricing models to price the returns on 36 FTSE global industry portfolios. The models are the international capital asset pricing model (ICAPM) the ICAPM with exchange risks, and global two-factor and three-factor Fama-French (1996, 1998)...