Motivated by an obvious gap between the widespread use of Bloomberg terminals in the finance industry and the scant resources available to an instructor on how to incorporate the available information through the terminal into a finance course, we illustrate our experience using the terminal in...

We investigated the profitability of a simple and easily implementable pairs trading strategy that included trading costs and restrictions to short selling so as to replicate an effective strategy exploitable by an individual investor. Notwithstanding the limitations embodied in our model, pairs...

Do enhanced index funds beat traditional ones? The major companies that offer the new enhanced index international mutual funds are Dimensional Fund Advisors (DFA), RAFI, and WisdomTree. A major provider of traditional international index funds is DFA. We compare various enhanced international...

Factor investing asks: how well can a particular investor weather hard times relative to the average investor? Answering helps her reap long-run factor premiums by embracing risks that lose money during bad times, but make up for it the rest of the time with attractive rewards. When factor...

Perold (2007) shows that, given a diffuse prior that is being updated in light of a noisy market price, the posterior distribution says that value-weighting and equal-weighting one's portfolio makes no difference. We argue that the diffuse prior is hard to reconcile with reality and that a...

Warren Buffett is a long-term investor, but is required by law to disclose his trades on a quarterly basis. The market seems to under-react to the revelation of his trades. From 1980 to 2006, it has been possible to achieve investment results similar to Buffett's own simply by following his...

Securities selection attempts to distinguish prospective winners from losers conditional on beliefs and available information. This article surveys relevant academic research on this subject, including work about the combining of forecasts (Bates and Granger 1969), the Black-Litterman model...

This article introduces the Resampling approach to Portfolio modeling, targeted at reducing the effect of estimation error present in any practical implementation of a Portfolio Model. Resampling is a method used in portfolio modeling to try to obtain better out of sample performance for given...

Using a sample that post-dates important regulatory changes in Europe, we show that a buy recommendation from an analyst on a “consensus sell” stock is, on average, sufficient to cause the stock to start to rise in value. Similarly, a sell recommendation on a “consensus buy” stock can...

We compute optimally diversified international asset portfolios for banks located in France, Germany, Italy, the U.K., and the U.S., using the mean-variance portfolio model with currency hedging. We compare these benchmark portfolios to the actual cross-border asset positions of banks from...