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Content
April 2018, Volume 74, Issue 2
- 24-31 High-Frequency Trading as Viewed through an Electron Microscope
by Albert J. Menkveld - 41-53 The “Roll Yield” Myth
by Hendrik Bessembinder - 55-68 Commodities for the Long Run
by Ari Levine & Yao Hua Ooi & Matthew Richardson & Caroline Sasseville - 70-83 Sell-Side Financial Analysts and the CFA® Program
by Qiang Kang & Xi Li & Tie Su - 84-97 STEM Parents and Women in Finance
by Renée B. Adams & Brad M. Barber & Terrance Odean
February 2018, Volume 74, Issue 1
- 12-20 An Interview with Nobel Laureate Robert C. Merton
by Mark P. Kritzman & Robert C. Merton - 21-36 Sharpening the Arithmetic of Active Management
by Lasse Heje Pedersen - 44-58 What Free Lunch? The Costs of Overdiversification
by Shawn McKay & Robert Shapiro & Ric Thomas - 59-76 All That’s Gold Does Not Glitter
by Gerald R. Jensen & Robert R. Johnson & Kenneth M. Washer - 77-87 Investing in the Presence of Massive Flows: The Case of MSCI Country Reclassifications
by Terence C. Burnham & Harry Gakidis & Jeffrey Wurgler - 88-107 Taxes, Shorting, and Active Management
by Clemens Sialm & Nathan Sosner - 12043514-12043514 Errata
by The Editors - 12043516-12043516 “History Is Repeating Itself”: A Comment
by Ted Carey - 12043519-12043519 “The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy”: A Comment
by Robert D. Arnott & William J. Bernstein - 12043520-12043520 “History Is Repeating Itself”: Author Response
by Ramzi Ben-Abdallah & Michèle Breton - 12043522-12043522 “The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy”: Author Response
by Philip U. Straehl & Roger G. Ibbotson
October 2017, Volume 73, Issue 4
- 6-7 Help Us Embrace Sustainability by Forgoing Print
by Gary Baker - 8-8 Letter to the Editor
by The Editors - 10-14 Systematic Investment Strategies
by Daniel Giamouridis - 16-21 An Interview with Nobel Laureate Harry M. Markowitz
by Mark Kritzman & Harry M. Markowitz - 23-33 Time to Change Your Investment Model
by Feng Gu & Baruch Lev - 41-54 Estimating Time-Varying Factor Exposures (Corrected October 2017)
by Andrew Ang & Ananth Madhavan & Aleksander Sobczyk - 55-73 Global Equity Country Allocation: An Application of Factor Investing
by Timotheos Angelidis & Nikolaos Tessaromatis - 75-89 Optimal Tilts: Combining Persistent Characteristic Portfolios
by Malcolm Baker & Ryan Taliaferro & Terence Burnham - 91-103 Reducing Sequence Risk Using Trend Following and the CAPE Ratio
by Andrew Clare & James Seaton & Peter N. Smith & Stephen Thomas
July 2017, Volume 73, Issue 3
- 5-7 In Memoriam: Stephen A. Ross
by Stephen J. Brown - 8-20 Funding Ratio Peaks and Stalls
by Martin L. Leibowitz & Stanley Kogelman & Anthony Bova - 32-52 The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy
by Philip U. Straehl & Roger G. Ibbotson - 53-66 Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?
by Marie Brière & Jonathan Peillex & Loredana Ureche-Rangau - 67-83 News vs. Sentiment: Predicting Stock Returns from News Stories
by Steven L. Heston & Nitish Ranjan Sinha - 85-105 Stick to the Fundamentals and Discover Your Peers
by Jens Overgaard Knudsen & Simon Kold & Thomas Plenborg - 106-130 History Is Repeating Itself: Get Ready for a Long Dry Spell
by Ramzi Ben-Abdallah & Michèle Breton - 12048383-12048383 Errata
by The Editors
April 2017, Volume 73, Issue 2
- 6-10 2016 Report to Readers
by Stephen J. Brown & Barbara S. Petitt - 12-12 Our Thanks to Reviewers
by The Editors - 14-23 Balancing Professional Values and Business Values
by John C. Bogle - 25-32 How Do Investors Compute the Discount Rate? They Use the CAPM (Corrected June 2017)
by Jonathan B. Berk & Jules H. van Binsbergen - 34-50 Accounting’s Tower of Babel: Key Considerations in Assessing Non-GAAP Earnings
by Jack T. Ciesielski & Elaine Henry - 61-79 Active Share and the Three Pillars of Active Management: Skill, Conviction, and Opportunity
by Martijn Cremers - 81-99 Facts about Formulaic Value Investing
by U-Wen Kok & Jason Ribando & Richard Sloan - 100-115 Factor Investing in the Corporate Bond Market
by Patrick Houweling & Jeroen van Zundert - 116-132 Mononationals: The Diversification Benefits of Investing in Companies with No Foreign Sales
by Cormac Mullen & Jenny Berrill - 12048374-12048374 Errata
by The Editors
January 2017, Volume 73, Issue 1
- 5-9 From the Editor
by Barbara S. Petitt - 12-12 “In Memoriam: Jack Treynor”: A Comment
by The Editors - 24-54 Inefficiencies in the Pricing of Exchange-Traded Funds
by Antti Petajisto - 56-71 Global Equity Fund Performance: An Attribution Approach
by David R. Gallagher & Graham Harman & Camille H. Schmidt & Geoffrey J. Warren - 73-99 Are Cash Flows Better Stock Return Predictors Than Profits?
by Stephen Foerster & John Tsagarelis & Grant Wang - 101-120 Fundamental Indexing in Global Bond Markets: The Risk Exposure Explains It All
by Lidia Bolla - 121-144 When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds
by Michael Melvin & Duncan Shand
November 2016, Volume 72, Issue 6
- 5-7 Why Hedge Funds?
by Stephen J. Brown - 9-26 Fundamentals of Efficient Factor Investing (corrected May 2017)
by Roger Clarke & Harindra de Silva & Steven Thorley - 28-40 What Difference Do Dividends Make?
by C. Mitchell Conover & Gerald R. Jensen & Marc W. Simpson - 42-55 Option-Implied Equity Risk and the Cross Section of Stock Returns
by Te-Feng Chen & San-Lin Chung & Wei-Che Tsai - 57-85 Betting against Beta with Bonds: Worry or Love the Steepener?
by J. Benson Durham
September 2016, Volume 72, Issue 5
- 5-5 “Conquering Misperceptions about Commodity Futures Investing”: A Comment
by Bob Greer - 5-6 “Conquering Misperceptions about Commodity Futures Investing”: Author Response
by Claude B. Erb & Campbell R. Harvey - 8-13 The Evolution and Success of Index Strategies in ETFs
by Joanne M. Hill - 14-30 The (Time-Varying) Importance of Disaster Risk
by Ivo Welch - 32-56 Two Centuries of Price-Return Momentum
by Christopher C. Geczy & Mikhail Samonov - 58-82 Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs
by Noah Beck & Jason Hsu & Vitali Kalesnik & Helge Kostka - 84-99 Information in the Tails of the Distribution of Analysts’ Quarterly Earnings Forecasts
by Cameron Truong & Philip B. Shane & Qiuhong Zhao
July 2016, Volume 72, Issue 4
- 5-6 In Memoriam: Jack Treynor
by Stephen J. Brown - 7-10 Long-Term Investing
by Jack L. Treynor - 11-12 Author Response to “Deactivating Active Share”
by Antti Petajisto - 14-16 Statement of the Financial Economists Roundtable: Crowdfunding
by Jennifer Conrad & Jonathan Karpoff & Craig Lewis & Jay R. Ritter - 17-25 Q Group Panel Discussion: Looking to the Future
by Martin Leibowitz & Andrew W. Lo & Robert C. Merton & Stephen A. Ross & Jeremy Siegel - 26-35 Conquering Misperceptions about Commodity Futures Investing
by Claude B. Erb & Campbell R. Harvey - 36-48 A Bottom-Up Approach to the Risk-Adjusted Performance of the Buyout Fund Market
by Jean-François L’Her & Rossitsa Stoyanova & Kathryn Shaw & William Scott & Charissa Lai - 49-61 The Effect of Management Design on the Portfolio Concentration and Performance of Mutual Funds
by Eitan Goldman & Zhenzhen Sun & Xiyu (Thomas) Zhou - 62-82 Interconnectedness in the CDS Market
by Mila Getmansky & Giulio Girardi & Craig Lewis
May 2016, Volume 72, Issue 3
- 5-6 2015 Report to Readers
by Stephen J. Brown & Barbara S. Petitt - 9-10 Climate Risk
by Stephen J. Brown - 13-32 Hedging Climate Risk
by Mats Andersson & Patrick Bolton & Frédéric Samama - 34-39 Weathered for Climate Risk: A Bond Investment Proposition
by Marielle de Jong & Anne Nguyen - 41-50 The Shiller CAPE Ratio: A New Look
by Jeremy J. Siegel - 51-66 Which Trend Is Your Friend?
by Ari Levine & Lasse Heje Pedersen - 68-82 Neither “Normal” nor “Lognormal”: Modeling Interest Rates across All Regimes
by Attilio Meucci & Angela Loregian
March 2016, Volume 72, Issue 2
- 5-6 Editor’s Corner
by Barbara S. Petitt - 8-12 It’s Time to Retire Ruin (Probabilities)
by Moshe A. Milevsky - 14-21 Deactivating Active Share
by Andrea Frazzini & Jacques Friedman & Lukasz Pomorski - 23-29 Most People Need Longevity Insurance rather than an Immediate Annuity
by Don Ezra - 31-40 Fees Eat Diversification’s Lunch
by William W. Jennings & Brian C. Payne - 41-51 An Investigation of Administrative Fees in Defined Contribution Plans
by Thomas W. Doellman & Sabuhi H. Sardarli - 52-70 The Impact of Constraints on Minimum-Variance Portfolios
by Tzee-Man Chow & Engin Kose & Feifei Li
January 2016, Volume 72, Issue 1
- 4-41 Errata
by The Editors - 5-6 From the Editor
by Stephen J. Brown - 8-8 From the Editor
by Barbara S. Petitt - 9-13 The Index Mutual Fund: 40 Years of Growth, Change, and Challenge
by John C. Bogle - 15-20 The Asset Manager’s Dilemma: How Smart Beta Is Disrupting the Investment Management Industry
by Ronald N. Kahn & Michael Lemmon - 22-35 The Misrepresentation of Earnings
by Ilia Dichev & John Graham & Campbell R. Harvey & Shiva Rajgopal - 36-47 The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing
by Xi Li & Rodney N. Sullivan & Luis Garcia-Feijóo - 48-57 Tax-Efficient Trading of Municipal Bonds
by Andrew Kalotay
November 2015, Volume 71, Issue 6
- 5-8 Statement of the Financial Economists Roundtable, April 2015: The Structure of Trading in Bond Markets
by Larry Harris & Albert S. Kyle & Erik R. Sirri - 10-28 A Risk- and Complexity-Rating Framework for Investment Products
by Benedict S.K. Koh & Francis Koh & David Lee Kuo Chuen & Lim Kian Guan & David Ng & Phoon Kok Fai - 30-43 Liquid Betting against Beta in Dow Jones Industrial Average Stocks
by Benjamin R. Auer & Frank Schuhmacher - 44-57 Covered Calls Uncovered
by Roni Israelov & Lars N. Nielsen - 58-71 Idiosyncratic Volatility and Expected Returns at the Global Level
by Mehmet Umutlu
September 2015, Volume 71, Issue 5
- 4-4 From the Editor
by Barbara S. Petitt - 6-7 “Determinants of Levered Portfolio Performance”: A Comment
by Clifford S. Asness & Benjamin T. Hood & John J. Huss - 8-9 “Determinants of Levered Portfolio Performance”: Author Response
by Robert M. Anderson & Stephen W. Bianchi & Lisa R. Goldberg - 10-12 The Role of Institutional Investors in Curbing Corporate Short-Termism
by Robert C. Pozen - 14-16 How Public Pension Plans Can (and Why They Shouldn’t) Ignore Financial Economics
by Lawrence N. Bader - 20-37 Did Analyst Forecast Accuracy and Dispersion Improve after 2002 Following the Increase in Regulation?
by Hassan Espahbodi & Pouran Espahbodi & Reza Espahbodi - 38-56 Asset Allocation Implications of the Global Volatility Premium
by William Fallon & James Park & Danny Yu - 57-74 Can Long-Only Investors Use Momentum to Beat the US Treasury Market?
by J. Benson Durham
July 2015, Volume 71, Issue 4
- 4-7 In Defense of Active Investing
by Charles D. Ellis - 10-23 What Would Yale Do If It Were Taxable? (corrected January 2016)
by Patrick Geddes & Lisa R. Goldberg & Stephen W. Bianchi, CFA - 24-42 Differences in Conference Call Tones: Managers vs. Analysts
by Paul Brockman & Xu Li & S. McKay Price - 43-50 The Public Market Equivalent and Private Equity Performance
by Morten Sorensen & Ravi Jagannathan - 51-62 Crystallization: A Hidden Dimension of CTA Fees
by Gert Elaut & Michael Frömmel & John Sjödin
May 2015, Volume 71, Issue 3
- 4-5 From the Editor
by Barbara S. Petitt - 7-7 Errata
by The Editors - 8-8 In Memoriam
by The Editors - 11-12 David Swensen on the Fossil Fuel Divestment Debate
by Robert Litterman - 15-33 No Portfolio Is an Island
by David M. Blanchett & Philip U. Straehl - 34-46 The Crash Risks of Style Investing: Can They Be Internationally Diversified?
by Timothy K. Chue & Yong Wang & Jin Xu - 47-60 Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios
by Luis Garcia-Feijóo & Lawrence Kochard & Rodney N. Sullivan & Peng Wang - 61-83 Investment Analysis of Autocallable Contingent Income Securities
by Rui Albuquerque & Raquel M. Gaspar & Allen Michel
March 2015, Volume 71, Issue 2
- 4-5 2014 Report to Readers
by Barbara S. Petitt - 10-14 The British Origins of the US Endowment Model
by David Chambers & Elroy Dimson - 16-29 Tax-Efficient Withdrawal Strategies
by Kirsten A. Cook & William Meyer & William Reichenstein - 32-46 Bond Ladders and Rolling Yield Convergence
by Martin L. Leibowitz & Anthony Bova & Stanley Kogelman - 47-60 Optimal Right- and Wrong-Way Risk from a Practitioner Standpoint
by Ignacio Ruiz & Piero Del Boca & Ricardo Pachón - 64-64 In the Future
by Barbara S. Petitt
January 2015, Volume 71, Issue 1
- 6-15 After 70 Years of Fruitful Research, Why Is There Still a Retirement Crisis?
by Laurence B. Siegel - 18-28 In Search of the Liability Asset
by Richard Bookstaber & Jeremy Gold - 29-34 What Practitioners Need to Know . . . About Time Diversification (corrected)
by Mark Kritzman - 35-42 What Rate of Return Can You Reasonably Expect . . . or What Can the Long Run Tell Us about the Short Run?
by Peter L. Bernstein - 43-48 Thoughts on the Future: Life-Cycle Investing in Theory and Practice
by Zvi Bodie - 49-53 Why We Need a Pension Revolution
by Keith Ambachtsheer - 56-60 Defined-Benefit and Defined-Contribution Plans of the Future
by Don Ezra - 61-69 The Longevity Annuity: An Annuity for Everyone?
by Jason S. Scott - 70-77 Two Key Concepts for Wealth Management and Beyond
by William Reichenstein & Stephen M. Horan & William W. Jennings - 79-89 Making Retirement Income Last a Lifetime
by Stephen C. Sexauer & Michael W. Peskin & Daniel Cassidy - 91-107 The Only Spending Rule Article You Will Ever Need
by M. Barton Waring & Laurence B. Siegel - 108-108 In the Future
by The Editors
November 2014, Volume 70, Issue 6
- 6-12 Investing in a Multidimensional Market
by Bruce I. Jacobs & Kenneth N. Levy - 16-22 Past, Present, and Future Financial Thinking
by William F. Sharpe & Robert Litterman - 23-31 Covered Call Strategies: One Fact and Eight Myths
by Roni Israelov & Lars N. Nielsen - 33-48 Dark Trading and Equity Market Quality
by Rhodri Preece & Sviatoslav Rosov - 64-64 In the Future
by The Editors
September 2014, Volume 70, Issue 5
- 4-6 Question: How Does Investment Return Affect Pension Cost?
by Lawrence Bader - 13-23 The Not-So-Well-Known Three-and-One-Half-Factor Model
by Roger Clarke & Harindra de Silva & Steven Thorley - 24-52 Exotic Beta Revisited
by Mark Carhart & Ui-Wing Cheah & Giorgio De Santis & Harry Farrell & Robert Litterman - 53-72 Determinants of Levered Portfolio Performance
by Robert M. Anderson & Stephen W. Bianchi & Lisa R. Goldberg - 73-93 Flows, Price Pressure, and Hedge Fund Returns
by Katja Ahoniemi & Petri Jylhä - 96-96 In the Future
by The Editors
July 2014, Volume 70, Issue 4
- 4-8 Why We Need to Change the Conversation about Pension Reform
by Keith Ambachtsheer - 9-9 “My Top 10 Peeves”: A Comment
by Hans Tallis - 9-12 “The Global Multi-Asset Market Portfolio, 1959–2012”: Author Response
by Ronald Doeswijk & Trevin Lam & Laurens Swinkels - 14-23 The Rise and Fall of Performance Investing
by Charles D. Ellis - 24-41 Low-Risk Investing without Industry Bets
by Clifford S. Asness & Andrea Frazzini & Lasse H. Pedersen - 42-54 Is Effective Junior Equity Market Regulation Possible?
by J. Ari Pandes & Michael J. Robinson - 55-71 The Career Paths of Mutual Fund Managers: The Role of Merit
by Gary E. Porter & Jack W. Trifts - 80-80 In the Future
by The Editors
May 2014, Volume 70, Issue 3
- 6-12 A New Era of Fiduciary Capitalism? Let’s Hope So
by John Rogers - 12-12 Errata
by The Editors - 14-16 “The Arithmetic of ‘All-In’ Investment Expenses”: A Comment
by Joseph Matthews - 16-17 “The Arithmetic of ‘All-In’ Investment Expenses”: Author Response
by John C. Bogle - 18-27 High-Frequency Trading and Its Impact on Markets
by Maureen O’Hara - 28-33 Duration Targeting: No Magic for High-Yield Investors
by Martin S. Fridson & Xiaoyi Xu - 34-45 Asset Allocation: Risk Models for Alternative Investments
by Niels Pedersen & Sébastien Page & Fei He - 46-56 Valuing Derivatives: Funding Value Adjustments and Fair Value
by John Hull & Alan White - 72-72 In the Future
by Rodney N. Sullivan
March 2014, Volume 70, Issue 2
- 6-10 Hard Choices: Where We Are
by Charles D. Ellis - 11-11 “Knowing the World”: A Comment
by Laurence B. Siegel - 14-19 Rational Expectations and Ambiguity (corrected)
by Thomas J. Sargent - 20-25 Investing in Emotional Assets
by Elroy Dimson & Christophe Spaenjers - 26-41 The Global Multi-Asset Market Portfolio, 1959–2012
by Ronald Doeswijk & Trevin Lam & Laurens Swinkels - 43-58 The Low-Risk Anomaly: A Decomposition into Micro and Macro Effects
by Malcolm Baker & Brendan Bradley & Ryan Taliaferro - 59-77 Contingent Convertible (CoCo) Bonds: A First Empirical Assessment of Selected Pricing Models
by Sascha Wilkens & Nastja Bethke - 88-88 In the Future
by Rodney N. Sullivan
January 2014, Volume 70, Issue 1
- 5-8 Statement of the Financial Economists Roundtable, October 2013: Financial Transaction Taxes
by Larry Harris & Jay Ritter & Stephen Schaefer - 10-11 2013 Report to Readers
by Rodney N. Sullivan - 13-21 The Arithmetic of “All-In” Investment Expenses
by John C. Bogle - 22-30 My Top 10 Peeves
by Clifford S. Asness - 31-51 Long-Term Bond Returns under Duration Targeting
by Martin L. Leibowitz & Anthony Bova & Stanley Kogelman - 52-63 The Limits to Arbitrage and the Low-Volatility Anomaly
by Xi Li & Rodney N. Sullivan & Luis Garcia-Feijóo - 72-72 In the Future
by Rodney N. Sullivan
November 2013, Volume 69, Issue 6
- 5-6 Knowing the World
by Emanuel Derman - 8-9 Errata
by The Editors - 13-32 A Pension Promise to Oneself
by Stephen C. Sexauer & Laurence B. Siegel - 33-39 Prospects for and Ramifications of the Great Central Banking Unwind
by William Poole - 40-54 Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks
by Yaniv Konchitchki - 55-67 Trading Activity and Transaction Costs in Structured Credit Products
by Hendrik Bessembinder & William F. Maxwell & Kumar Venkataraman - 72-72 In the Future
by Rodney N. Sullivan
September 2013, Volume 69, Issue 5
- 6-9 Confronting Ethical Dilemmas in the Workplace
by John R. Boatright - 10-10 “Mandatory Retirement Savings”: A Comment
by Stephen Mauzy - 10-12 “Mandatory Retirement Savings”: Author Response
by Meir Statman - 14-14 “Earnings Manipulation and Expected Returns”: A Comment
by Andrew S. Pike - 18-25 The Paradox of Wealth
by William J. Bernstein - 26-44 Do (Some) University Endowments Earn Alpha?
by Brad M. Barber & Guojun Wang - 45-60 The Floor-Leverage Rule for Retirement
by Jason S. Scott & John G. Watson - 61-75 The Value and Use of the IRA Recharacterization Option
by David L. Stowe & Andy Fodor & John D. Stowe - 80-80 In the Future
by Rodney N. Sullivan
July 2013, Volume 69, Issue 4
- 6-9 Lessons on Grand Strategy
by Charles D. Ellis - 10-42 The Golden Dilemma
by Claude B. Erb & Campbell R. Harvey