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Content
July 2013, Volume 69, Issue 4
- 43-57 Flight to Quality and Asset Allocation in a Financial Crisis
by Terry Marsh & Paul Pfleiderer - 58-72 What Drives Corporate Pension Plan Contributions: Moral Hazard or Tax Benefits?
by Xuanjuan Chen & Tong Yu & Ting Zhang - 73-93 Active Share and Mutual Fund Performance
by Antti Petajisto - 94-105 “Sell in May and Go Away” Just Won’t Go Away
by Sandro C. Andrade & Vidhi Chhaochharia & Michael E. Fuerst - 112-112 In the Future
by Rodney N. Sullivan
May 2013, Volume 69, Issue 3
- 6-12 Fixing the “Loser’s Game”: What It Will Take
by Keith Ambachtsheer - 14-18 Mandatory Retirement Savings
by Meir Statman - 19-29 Factor-Based Asset Allocation vs. Asset-Class-Based Asset Allocation
by Thomas M. Idzorek & Maciej Kowara - 30-44 Liquidity as an Investment Style
by Roger G. Ibbotson & Zhiwu Chen & Daniel Y.-J. Kim & Wendy Y. Hu - 45-56 Minimum Maturity Rules: The Cost of Selling Bonds before Their Time
by Darrin DeCosta & Fei Leng & Gregory Noronha - 57-75 Media Coverage and Hedge Fund Returns
by Gideon Ozik & Ronnie Sadka - 88-88 In the Future
by Rodney N. Sullivan
March 2013, Volume 69, Issue 2
- 6-9 What to Do about High-Frequency Trading
by Larry Harris - 15-16 “Will My Risk Parity Strategy Outperform?”: Author Response
by Robert M. Anderson & Stephen W. Bianchi & Lisa R. Goldberg - 22-33 On a New Approach for Analyzing and Managing Macrofinancial Risks (corrected)
by Robert C. Merton & Monica Billio & Mila Getmansky & Dale Gray & Andrew W. Lo & Loriana Pelizzon - 34-41 The Arithmetic of Investment Expenses
by William F. Sharpe - 42-56 Industry-Based Alternative Equity Indices
by Frank Leclerc & Jean-François L’Her & Tammam Mouakhar & Patrick Savaria - 57-82 Earnings Manipulation and Expected Returns
by Messod D. Beneish & Charles M.C. Lee & D. Craig Nichols - 83-94 Sell-Side Analysts and Gender: A Comparison of Performance, Behavior, and Career Outcomes
by Xi Li & Rodney N. Sullivan & Danielle Xu & Guodong Gao - 12048157-12048157 “Do Finance Professors Invest Like Everyone Else?”: A Comment
by John E. Merseburg - 12048158-12048158 “Do Finance Professors Invest Like Everyone Else?”: Author Response
by Ann Marie Hibbert & Edward R. Lawrence & Arun J. Prakash - 12048159-12048159 “Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?”: A Comment
by Nassim N. Taleb - 12048160-12048160 “Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?”: Author Response
by Antti Ilmanen - 12048166-12048166 In the Future
by Rodney N. Sullivan - 12048167-12048167 “Will My Risk Parity Strategy Outperform?”: A Comment
by Clifford Asness & Andrea Frazzini & Lasse H. Pedersen
January 2013, Volume 69, Issue 1
- 6-9 Rebalancing Global Trade: No Quick Fix
by Rodney N. Sullivan - 12-13 2012 Report to Readers
by Rodney N. Sullivan - 21-25 Capitalism and Financial Innovation
by Robert J. Shiller - 26-32 Logical Implications of the GASB’s Methodology for Valuing Pension Liabilities
by Robert Novy-Marx - 33-44 Shedding Light on “Invisible” Costs: Trading Costs and Mutual Fund Performance
by Roger Edelen & Richard Evans & Gregory Kadlec - 45-52 How to Combine Long and Short Return Histories Efficiently
by Sébastien Page - 53-70 Change in Cash-Holding Policies and Stock Return Predictability in the Cross Section
by William R. Sodjahin - 12048153-12048153 Should the SEC Outsource Research to Academia?
by Murad J. Antia & Richard L. Meyer - 12048154-12048154 In the Future
by Rodney N. Sullivan
November 2012, Volume 68, Issue 6
- 4-6 Global Trade Imbalances Matter
by Rodney N. Sullivan - 9-9 Errata
by The Editors - 11-11 “Murder on the Orient Express: The Mystery of Underperformance”: Peter Drucker Redux
by Jeffrey E. Horvitz - 11-12 “Murder on the Orient Express: The Mystery of Underperformance”: A Comment
by Victor S. Sidhu - 12-12 “Asset Growth and Future Stock Returns: International Evidence”: Author Response
by Xi Li & Ying Becker & Didier Rosenfeld - 12-13 “Does IFRS Stand for InFormation RiSk?”: A Comment
by Charles Renwick - 13-14 “Does IFRS Stand for InFormation RiSk?”: Author Response
by Ginny W. Frings & Michael C. Frings & M. Christian Mastilak - 15-19 An Experienced View on Markets and Investing
by Eugene F. Fama & Robert Litterman - 20-37 Fewer, Richer, Greener: The End of the Population Explosion and the Future for Investors
by Laurence B. Siegel - 38-53 The Liquidity Style of Mutual Funds
by Thomas M. Idzorek & James X. Xiong & Roger G. Ibbotson - 54-74 Index Investment and the Financialization of Commodities
by Ke Tang & Wei Xiong - 75-93 Will My Risk Parity Strategy Outperform?
by Robert M. Anderson & Stephen W. Bianchi & Lisa R. Goldberg - 94-105 A Fully Integrated Liquidity and Market Risk Model
by Attilio Meucci - 112-112 In the Future
by Rodney N. Sullivan
September 2012, Volume 68, Issue 5
- 6-10 Household Alpha and Social Security
by Jason S. Scott - 12-12 Errata
by The Editors - 14-14 “Demographic Changes, Financial Markets, and the Economy”: A Comment
by Charles D. Ellis - 14-16 “Demographic Changes, Financial Markets, and the Economy”: Author Response
by Robert D. Arnott & Denis B. Chaves - 18-24 Systemic Risk, Multiple Equilibriums, and Market Dynamics: What You Need to Know and Why
by Mohamed A. El-Erian & Michael Spence - 26-36 Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?
by Antti Ilmanen - 38-56 Emerging Market Inflation-Linked Bonds
by Laurens Swinkels - 58-69 CVA and Wrong-Way Risk
by John Hull & Alan White - 70-88 Convertible Arbitrage Price Pressure and Short-Sale Constraints
by Abe de Jong & Marie Dutordoir & Nathalie van Genuchten & Patrick Verwijmeren - 89-94 Leverage Aversion and Portfolio Optimality
by Bruce I. Jacobs & Kenneth N. Levy - 95-105 Do Finance Professors Invest Like Everyone Else?
by Ann Marie Hibbert & Edward R. Lawrence & Arun J. Prakash - 112-112 In the Future
by Rodney N. Sullivan
July 2012, Volume 68, Issue 4
- 4-6 Against Quantitative Easing by the European Central Bank
by Jerry H. Tempelman - 8-8 Errata
by The Editors - 10-10 “Making Retirement Income Last a Lifetime”: Author Response
by Stephen C. Sexauer & Michael W. Peskin & Daniel Cassidy - 13-19 Murder on the Orient Express: The Mystery of Underperformance
by Charles D. Ellis - 20-35 Exchange-Traded Funds, Market Structure, and the Flash Crash
by Ananth Madhavan - 36-55 Inflation and Individual Equities
by Andrew Ang & Marie Brière & Ombretta Signori - 56-72 Exploiting Option Information in the Equity Market
by Guido Baltussen & Bart van der Grient & Wilma de Groot & Erik Hennink & Weili Zhou - 73-93 Emerging Local Currency Bond Markets
by John D. Burger & Francis E. Warnock & Veronica Cacdac Warnock - 96-96 In the Future
by Rodney N. Sullivan
May 2012, Volume 68, Issue 3
- 4-6 Investment Management Fees Are (Much) Higher Than You Think
by Charles D. Ellis - 10-10 “The Impact of Skewness and Fat Tails on the Asset Allocation Decision”: A Comment
by Steven P. Greiner - 10-12 “The Impact of Skewness and Fat Tails on the Asset Allocation Decision”: Author Response
by Thomas M. Idzorek & James X. Xiong - 12-12 “The Impact of Skewness and Fat Tails on the Asset Allocation Decision”: Editor Response
by Rodney N. Sullivan - 12-14 “Two Key Concepts for Wealth Management and Beyond”: A Comment
by James P. Dowd - 14-14 “Two Key Concepts for Wealth Management and Beyond”: Author Response
by William Reichenstein & Stephen M. Horan & William W. Jennings - 17-21 Does IFRS Stand for InFormation RiSk?
by Ginny W. Frings & Michael C. Frings & M. Christian Mastilak - 22-39 Regime Shifts: Implications for Dynamic Strategies (corrected)
by Mark Kritzman & Sébastien Page & David Turkington - 40-50 Improving Risk Forecasts for Optimized Portfolios
by Jose Menchero & Jun Wang & D.J. Orr - 51-62 Asset Growth and Future Stock Returns: International Evidence
by Xi Li & Ying Becker & Didier Rosenfeld - 63-80 Jump on the Post–Earnings Announcement Drift (corrected)
by Haigang Zhou & John Qi Zhu - 81-99 Private Equity Recommitment Strategies for Institutional Investors
by Gerben de Zwart & Brian Frieser & Dick van Dijk - 104-104 In the Future
by Rodney N. Sullivan
March 2012, Volume 68, Issue 2
- 6-12 Negative Real Interest Rates: The Conundrum for Investment and Spending Policies
by André F. Perold - 13-13 Errata
by The Editors - 18-29 Adaptive Markets and the New World Order (corrected May 2012)
by Andrew W. Lo - 30-50 What Makes Stock Prices Move? Fundamentals vs. Investor Recognition
by Scott Richardson & Richard Sloan & Haifeng You - 51-69 Information Uncertainty and the Post–Earnings Announcement Drift in Europe
by Xavier Gerard - 70-84 How Index Trading Increases Market Vulnerability
by Rodney N. Sullivan & James X. Xiong - 85-107 Allocating Assets in Climates of Extreme Risk: A New Paradigm for Stress Testing Portfolios
by Stacy L. Cuffe & Lisa R. Goldberg - 108-123 Is There a Cost to Transparency?
by Rajesh K. Aggarwal & Philippe Jorion - 128-128 In the Future
by Rodney N. Sullivan
January 2012, Volume 68, Issue 1
- 4-6 Future Directions for Investment Management—Call for Papers
by Robert Litterman & Rodney N. Sullivan - 8-9 2011 Report to Readers
by Rodney N. Sullivan - 10-10 “Fault the Tax Code for Low Dividend Payouts”: A Comment
by Murad J. Antia & Richard L. Meyer - 14-22 Two Key Concepts for Wealth Management and Beyond (corrected March 2012)
by William Reichenstein & Stephen M. Horan & William W. Jennings - 23-46 Demographic Changes, Financial Markets, and the Economy
by Robert D. Arnott & Denis B. Chaves - 47-59 Leverage Aversion and Risk Parity
by Clifford S. Asness & Andrea Frazzini & Lasse H. Pedersen - 60-73 Informed Traders: Linking Legal Insider Trading and Share Repurchases
by Konan Chan & David L. Ikenberry & Inmoo Lee & Yanzhi (Andrew) Wang - 74-84 Making Retirement Income Last a Lifetime
by Stephen C. Sexauer & Michael W. Peskin & Daniel Cassidy - 88-88 In the Future
by Rodney N. Sullivan
November 2011, Volume 67, Issue 6
- 4-10 Deploying Financial Emotional Intelligence
by Rodney N. Sullivan - 11-11 Errata
by The Editors - 14-16 “A Survey of Alternative Equity Index Strategies”: A Comment
by Noël Amenc & Felix Goltz & Lionel Martellini - 16-20 “A Survey of Alternative Equity Index Strategies”: Author Response
by Tzee-man Chow & Jason Hsu & Vitali Kalesnik & Bryce Little - 21-28 Most Likely to Succeed: Leadership in the Fund Industry
by Robert Pozen & Theresa Hamacher - 29-45 Active Management in Mostly Efficient Markets
by Robert C. Jones & Russ Wermers - 46-60 When Two Anomalies Meet: The Post–Earnings Announcement Drift and the Value–Glamour Anomaly
by Zhipeng Yan & Yan Zhao - 61-76 The Impact of International Institutional Investors on Local Equity Prices: Reversal of the Size Premium
by Hao Jiang & Takeshi Yamada - 77-93 Trading Relative Performance with Alpha Indexes
by Jacob S. Sagi & Robert E. Whaley - 96-96 In the Future
by Rodney N. Sullivan
September 2011, Volume 67, Issue 5
- 1-12 Errata
by The Editors - 1-88 In the Future
by Rodney N. Sullivan - 4-10 Pricing Climate Change Risk Appropriately
by Robert Litterman - 15-22 Hidden Debt: From Enron’s Commodity Prepays to Lehman’s Repo 105s
by Donald J. Smith - 23-36 To Trade or Not to Trade? Informed Trading with Short-Term Signals for Long-Term Investors
by Roni Israelov & Michael Katz - 37-57 A Survey of Alternative Equity Index Strategies
by Tzee-man Chow & Jason Hsu & Vitali Kalesnik & Bryce Little - 58-68 Decomposing Global Equity Cross-Sectional Volatility
by Jose Menchero & Andrei Morozov - 69-85 A Network Value Theory of a Market, and Puzzles
by Robert Snigaroff & David Wroblewski
July 2011, Volume 67, Issue 4
- 4-7 Alpha Orbits
by Martin L. Leibowitz - 8-8 “The Possible Misdiagnosis of a Crisis”: A Comment
by Ben Giele - 11-17 The Winners’ Game
by Charles D. Ellis - 18-29 What Factors Drive Analyst Forecasts?
by Boris Groysberg & Paul Healy & Nitin Nohria & George Serafeim - 30-40 Identifying Characteristics to Predict Separately Managed Account Performance
by James D. Peterson & Michael J. Iachini & Wynce Lam - 42-49 Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle
by Scott Willenbrock - 50-66 The Limits to Arbitrage Revisited: The Accrual and Asset Growth Anomalies
by Xi Li & Rodney N. Sullivan - 67-76 Pricing Credit Default Swaps with Option-Implied Volatility
by Charles Cao & Fan Yu & Zhaodong Zhong - 80-80 In the Future
by Rodney N. Sullivan
May 2011, Volume 67, Issue 3
- 6-11 Who Should Hedge Tail Risk?
by Robert Litterman - 13-13 “The Possible Misdiagnosis of a Crisis”: A Comment
by Paul D. Kaplan - 13-14 “The Possible Misdiagnosis of a Crisis”: Author Response
by Richard Roll - 16-22 Another Clue to Volatility
by Martin S. Fridson - 24-38 International Diversification Works (Eventually)
by Clifford S. Asness & Roni Israelov & John M. Liew - 39-50 Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe
by Noël Amenc & Felix Goltz & Abraham Lioui - 51-62 Liquidity Level or Liquidity Risk? Evidence from the Financial Crisis
by Xiaoxia Lou & Ronnie Sadka - 63-75 Capturing Credit Spread Premium
by Kwok-Yuen Ng & Bruce D. Phelps - 76-93 The Margin of Safety and Turning Points in House Prices: Observations from Three Developed Markets
by Mitsuru Mizuno & Isaac T. Tabner - 104-104 In the Future
by Rodney N. Sullivan
March 2011, Volume 67, Issue 2
- 6-9 The Increasing Need for Financial Analysis in Public Accounting Standards
by Larry Harris - 12-17 The Possible Misdiagnosis of a Crisis
by Richard Roll - 18-22 Proposed GASB Rules Show Why Only Market Valuation Fully Captures Public Pension Liabilities
by Andrew G. Biggs - 23-35 The Impact of Skewness and Fat Tails on the Asset Allocation Decision
by James X. Xiong & Thomas M. Idzorek - 36-44 Are You Trading Predictably?
by Steven L. Heston & Robert A. Korajczyk & Ronnie Sadka & Lewis D. Thorson - 45-58 Spending Retirement on Planet Vulcan: The Impact of Longevity Risk Aversion on Optimal Withdrawal Rates (corrected July 2011)
by Moshe A. Milevsky & Huaxiong Huang - 59-73 When Do TIPS Prices Adjust to Inflation Information?
by Quentin C. Chu & Deborah N. Pittman & Linda Q. Yu - 80-80 In the Future
by Rodney N. Sullivan
January 2011, Volume 67, Issue 1
- 4-8 Post-Crisis Investment Management
by Mark Kritzman - 10-12 2010 Report to Readers
by Rodney N. Sullivan - 15-25 The ABCs of Hedge Funds: Alphas, Betas, and Costs
by Roger G. Ibbotson & Peng Chen & Kevin X. Zhu - 26-39 Detecting Crowded Trades in Currency Funds
by Momtchil Pojarliev & Richard M. Levich - 40-54 Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly
by Malcolm Baker & Brendan Bradley & Jeffrey Wurgler - 55-71 Demand and Supply and Their Relationship to Liquidity: Evidence from the S&P 500 Change to Free Float
by David Lam & Bing-Xuan Lin & David Michayluk - 72-84 Asymmetric Changes in Stock Prices and Investor Recognition around Revisions to the S&P 500 Index
by Haigang Zhou - 96-96 In the Future
by Rodney N. Sullivan
November 2010, Volume 66, Issue 6
- 6-9 The Art of the Better Forecast
by Rodney N. Sullivan - 17-26 Performance Attribution: Measuring Dynamic Allocation Skill
by Jason C. Hsu & Vitali Kalesnik & Brett W. Myers - 27-39 TIPS, Inflation Expectations, and the Financial Crisis
by Aleksandar Andonov & Florian Bardong & Thorsten Lehnert - 40-54 Is A Better than B? How Affect Influences the Marketing and Pricing of Financial Securities
by James Ang & Ansley Chua & Danling Jiang - 55-72 Not All Buybacks Are Created Equal: The Case of Accelerated Stock Repurchases
by Allen Michel & Jacob Oded & Israel Shaked - 74-92 Misdeeds Matter: Long-Term Stock Price Performance after the Filing of Class-Action Lawsuits
by Rob Bauer & Robin Braun - 104-104 In the Future
by Rodney N. Sullivan
September 2010, Volume 66, Issue 5
- 6-9 Big Risks in the Big Bill
by James Allen - 12-12 “Adaptive Asset Allocation Policies”: A Comment
by William J. Bernstein - 13-14 “Adaptive Asset Allocation Policies”: Author Response
by William F. Sharpe - 14-15 “Speculative Leverage: A False Cure for Pension Woes”: A Comment
by Clifford Asness - 15-16 Risk Parity: Classical Finance Properly Implemented, or Misunderstood?
by Laurence B. Siegel - 18-28 Opportunities for Patient Investors
by Seth A. Klarman & Jason Zweig - 30-41 Skulls, Financial Turbulence, and Risk Management
by Mark Kritzman & Yuanzhen Li - 42-53 Simulating Security Markets in Dynamic and Equilibrium Modes
by Bruce I. Jacobs & Kenneth N. Levy & Harry M. Markowitz - 54-67 The Risk of Tranches Created from Mortgages
by John Hull & Alan White - 68-84 A TIPS Scorecard: Are They Accomplishing Their Objectives?
by Michelle L. Barnes & Zvi Bodie & Robert K. Triest & J. Christina Wang - 85-93 Cashing In on Managerial Malfeasance: A Trading Strategy around Forecasted Executive Stock Option Grants
by Ivo Ph. Jansen & Lee W. Sanning - 96-96 In the Future
by Rodney N. Sullivan
July 2010, Volume 66, Issue 4
- 6-10 Black Swan or Black Turkey? The State of Economic Knowledge and the Crash of 2007–2009
by Laurence B. Siegel - 12-12 “Of Laws, Lending, and Limbic Systems”: A Comment
by Peter Eickelberg - 12-14 “Speculative Leverage: A False Cure for Pension Woes”: A Comment
by Ralph Goldsticker - 14-16 “Speculative Leverage: A False Cure for Pension Woes”: Author Response
by Rodney N. Sullivan - 16-17 “The Equal Importance of Asset Allocation and Active Management”: A Comment
by Edouard Sénéchal & Brian Singer - 17-18 “The Equal Importance of Asset Allocation and Active Management”: Author Response
by James X. Xiong & Roger G. Ibbotson & Thomas M. Idzorek & Peng Chen - 18-18 “The Shrinking Merger Arbitrage Spread: Reasons and Implications”: A Comment
by Joel Tillinghast - 19-19 “The Shrinking Merger Arbitrage Spread: Reasons and Implications”: Author Response
by Gaurav Jetley & Xinyu Ji - 20-32 Relative Sentiment and Stock Returns
by Roger M. Edelen & Alan J. Marcus & Hassan Tehranian - 33-45 Having Your Cake and Eating It Too: The Before- and After-Tax Efficiencies of an Extended Equity Mandate
by Andrew L. Berkin & Christopher G. Luck - 46-66 Style Timing with Insiders
by Heather S. Knewtson & Richard W. Sias & David A. Whidbee - 67-82 Explaining and Forecasting Bond Risk Premiums
by Gerardo Palazzo & Stefano Nobili - 83-95 Does Simple Pairs Trading Still Work?
by Binh Do & Robert Faff - 96-107 Conflicts of Interest and Analyst Behavior: Evidence from Recent Changes in Regulation
by Armen Hovakimian & Ekkachai Saenyasiri - 112-112 In the Future
by Rodney N. Sullivan
May 2010, Volume 66, Issue 3
- 6-8 Speculative Leverage: A False Cure for Pension Woes
by Rodney N. Sullivan - 10-12 “What Will the Likely Range of My Wealth Be?”: A Comment
by Wade D. Pfau - 12-12 “What Will the Likely Range of My Wealth Be?”: Author Response
by Raymond Kan & Guofu Zhou - 17-24 Ending Moral Hazard
by William Poole - 26-37 Dimensioning the Housing Crisis
by Laurie S. Goodman - 38-44 What Analysts Should Know about FAS No. 141R and FAS No. 160
by James W. Deitrick - 45-59 Adaptive Asset Allocation Policies
by William F. Sharpe - 60-77 Return Predictability along the Supply Chain: The International Evidence
by Husayn Shahrur & Ying L. Becker & Didier Rosenfeld - 78-90 Another Look at Portfolio Optimization under Tracking-Error Constraints
by Philippe Bertrand - 92-103 Sovereign Wealth Funds’ Impact on Debt and Equity Markets during the 2007–09 Financial Crisis
by Vincent Gasparro & Michael S. Pagano - 104-104 In the Future
by Rodney N. Sullivan