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Corporate management is torn betweeneither focusing solely on the interests of stockholders (theneo-classical view) or taking into account the interests ofa wide spectrum of stakeholders (the stakeholder theoryview). Of course, there need be no conflict where takingthe wider view is also...
Determining which types of mutual (or managed) investment funds are goodfinancial investments is complicated by potential survivorship biases. This projectadds to a small recent international literature on the patterns and determinants ofmutual fund survivorship. We use statistical techniques...
This paper re-examines the sensitivity and importance of interest rates and stock market price behavior on securitised property by decomposing their long-run impact between transient and permanent effects. This is achieved in a framework that accounts for endogenously determined structural...
The realized GARCH framework is extended to incorporate the realized range, and the intra-day range, as potentially more efficient series of information than re- alized variance or daily returns, for the purpose of volatility and tail risk forecasting in a financial time series. A Bayesian...
This paper examines the moments of the active return distributions ofinvestment managers. While modern portfolio theory assumes asset return distributionsare Gaussian normal, the empirical evidence overwhelmingly documents asset returns tobe leptokurtic and fat tailed. In addition, the...
Value and momentum investing are two approaches to investing which havebeen increasingly utilised either overtly or covertly by fund managers. Consistent withtheir increasing popularity, a number of academic studies have found such strategiescapable of outperforming traditional benchmarks. The...
Index funds have grown significantly in recent years in most of thedeveloped markets as investors have become less satisfied with the performance ofactive managers. Further, the flow of funds to passive investing has been supplementedby a high level of quasi-indexing undertaken by numerous...
It has become more apparent in recent years that equity analysts come under much internal andexternal pressure that is likely to dilute the value of their forecasts and recommendations. In this paperwe find, similar to Jegadeesh et al. (Jegadeesh, N., Kim, J., Krische, S., Lee, c., 2004,...
The well-documented market underperformance of the majority of value and growth stocksover a 12-month holding period reflects that traditional valuation metrics might tell us whether a stockis potentially cheap or expensive but little about when, or even if, it will experience a market...
In a previous paper ('The Performance of Value and Momentum Investment:Portfolios: Recent Experience in the Major European Markets', Journal of AssetManagement, 4(4), 221-46, 2003), the authors found that simple value and momentuminvestment strategies achieved good performance when applied to...