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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...
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...
The greater interest apparent in the recent academic literature in the impactof corporate earnings information on the valuation of shares has prompted an updatingof the seminal work of Ou and Penman (1989) on the role that accounting informationcan play in predicting future movements in earnings...
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...
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...
This paper examines the attitudes of gamblers to risk as displayed by their betting behaviour on horse races. Although traditional economic theory assumes that individuals are averse to risk, numerous authors (e.g. Ali 1977; Asch, Malkiel and Quandt 1982; Snyder 1978 and Weitzman 1965) have produced...