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Content
March 2010, Volume 66, Issue 2
- 8-10 What Investors Really Want
by Meir Statman - 11-11 “Moral Hazard: The Long-Lasting Legacy of Bailouts”: A Comment
by James C. Allen - 11-14 “Moral Hazard: The Long-Lasting Legacy of Bailouts”: Author Response to James Allen
by William Poole - 14-15 “Moral Hazard: The Long-Lasting Legacy of Bailouts”: A Comment
by Eric Boughton - 15-15 “Moral Hazard: The Long-Lasting Legacy of Bailouts”: Author Response to Eric Boughton
by William Poole - 15-16 “Absence of Value: An Analysis of Investment Allocation Decisions by Institutional Plan Sponsors”: A Comment
by David T. Jack - 18-20 The Importance of Asset Allocation
by Roger G. Ibbotson - 22-30 The Equal Importance of Asset Allocation and Active Management
by James X. Xiong & Roger G. Ibbotson & Thomas M. Idzorek & Peng Chen - 31-39 In Defense of Optimization: The Fallacy of 1/N
by Mark Kritzman & Sébastien Page & David Turkington - 40-53 Capital Gains Overhang and the Earnings Announcement Volume Premium
by Wonseok Choi & Kenton Hoyem & Jung-Wook Kim - 54-68 The Shrinking Merger Arbitrage Spread: Reasons and Implications
by Gaurav Jetley & Xinyu Ji - 69-74 Hidden Survivorship in Hedge Fund Returns
by Rajesh K. Aggarwal & Philippe Jorion - 80-80 In the Future
by Rodney N. Sullivan
January 2010, Volume 66, Issue 1
- 6-7 Competence Trumps Style
by Rodney N. Sullivan - 10-11 2009 Report to Readers
by Rodney N. Sullivan - 17-22 Of Laws, Lending, and Limbic Systems
by William J. Bernstein - 24-27 Is the Recent Financial Crisis Really a “Once-in-a-Century” Event?
by Guofu Zhou & Yingzi Zhu - 28-40 Return Targets and Percentile Fans
by Martin L. Leibowitz & Anthony Bova - 41-52 Has the U.S. Stock Market Become More Vulnerable over Time?
by Avraham Kamara & Xiaoxia Lou & Ronnie Sadka - 54-64 Economic Growth and Equity Investing
by Bradford Cornell - 65-76 Implications for Asset Returns in the Implied Volatility Skew
by James S. Doran & Kevin Krieger - 77-87 Competitive Stock Markets: Evidence from Companies’ Dual Listings on the NYSE and NASDAQ
by Shantaram Hegde & Hao Lin & Sanjay Varshney - 88-88 In the Future
by Rodney N. Sullivan
November 2009, Volume 65, Issue 6
- 6-7 The Uncorrelated Return Myth
by Richard M. Ennis - 10-10 “Mind the Gap: Using Derivatives Overlays to Hedge Pension Duration”: A Comment
by Andrew Slater - 10-11 “Mind the Gap: Using Derivatives Overlays to Hedge Pension Duration”: Author Response
by James Adams & Donald J. Smith - 17-23 Moral Hazard: The Long-Lasting Legacy of Bailouts
by William Poole - 24-27 Will the Federal Reserve Monetize U.S. Government Debt?
by Jerry H. Tempelman - 28-33 Managing Systemic Counterparty Risk through a Redesigned Financial Architecture
by Viju Joseph - 34-51 Absence of Value: An Analysis of Investment Allocation Decisions by Institutional Plan Sponsors
by Scott D. Stewart & John J. Neumann & Christopher R. Knittel & Jeffrey Heisler - 52-64 Governance Role of Analyst Coverage and Investor Protection
by Jerry Sun - 65-78 Gender and Job Performance: Evidence from Wall Street
by Clifton Green & Narasimhan Jegadeesh & Yue Tang - 79-99 Using Auctions to Price Employee Stock Options: The Case of Zions Bancorporation ESOARS
by Sumon C. Mazumdar & Vikram Nanda & Rahul Surana - 104-104 In the Future
by Rodney N. Sullivan
September 2009, Volume 65, Issue 5
- 6-8 Big Bond Bust
by Richard M. Ennis - 17-23 Transparency through Financial Claims with “Fingerprints”: A Mechanism for Preventing Financial Crises
by Helmut Gründl & Thomas Post - 24-34 REIT Momentum and the Performance of Real Estate Mutual Funds
by Jeroen Derwall & Joop Huij & Dirk Brounen & Wessel Marquering - 35-50 The Rise and Demise of the Convertible Arbitrage Strategy
by Igor Loncarski & Jenke ter Horst & Chris Veld - 51-65 Voluntary vs. Forced Financial Restatements: The Role of Board Independence
by Dalia Marciukaityte & Samuel H. Szewczyk & Raj Varma - 66-79 Adjusted Earnings Yields and Real Rates of Return
by Darshana D. Palkar & Stephen E. Wilcox - 80-80 In the Future
by Rodney N. Sullivan
July 2009, Volume 65, Issue 4
- 6-10 Governance: Travel and Destinations
by Rodney N. Sullivan - 13-13 “The End of ‘Soft Dollars’?”: A Comment
by Barry Marshall - 14-16 “Equity Returns at the Turn of the Month”: Further Confirmation and Insights
by Robert S. Hudson & Christina V. Atanasova - 16-17 “Equity Returns at the Turn of the Month”: Extended Analysis with Evidence from the United Kingdom
by John J. McConnell & Wei Xu - 18-32 Liquidity and the Post-Earnings-Announcement Drift
by Tarun Chordia & Amit Goyal & Gil Sadka & Ronnie Sadka & Lakshmanan Shivakumar - 33-46 The Wages of Social Responsibility
by Meir Statman & Denys Glushkov - 47-59 Does Freezing a Defined-Benefit Pension Plan Increase Company Value? Empirical Evidence
by Brendan McFarland & Gaobo Pang & Mark Warshawsky - 60-67 Mind the Gap: Using Derivatives Overlays to Hedge Pension Duration
by James Adams & Donald J. Smith - 68-77 What Will the Likely Range of My Wealth Be?
by Raymond Kan & Guofu Zhou - 80-80 In the Future
by Rodney N. Sullivan
May 2009, Volume 65, Issue 3
- 6-10 Parsimonious Asset Allocation
by Richard M. Ennis - 12-12 “The Plan Sponsor’s Goal”: A Comment
by Perry Mehrling & Dimitry Mindlin - 12-14 “When Will Housing Recover?”: A Comment
by Jerry H. Tempelman - 14-15 “When Will Housing Recover?”: Authors’ Response
by Eli Beracha & Mark Hirschey - 17-20 A Simple Theory of the Financial Crisis; or, Why Fischer Black Still Matters
by Tyler Cowen - 22-31 Regulating Financial Markets: Protecting Us from Ourselves and Others
by Meir Statman - 32-35 The Birth of the Swap
by Raphael Hodgson - 36-38 Measurement Biases in Hedge Fund Performance Data: An Update
by William Fung & David A. Hsieh - 40-54 Do Security Analysts Reduce Noise?
by Maria Schutte & Emre Unlu - 55-62 Should Good Stocks Have High Prices or High Returns?
by Markku Kaustia & Heidi Laukkanen & Vesa Puttonen - 64-64 In the Future
by Rodney N. Sullivan
March 2009, Volume 65, Issue 2
- 6-8 Taming Global Markets
by Rodney N. Sullivan - 10-10 “Saving Social Security: A Better Approach”: An Update
by Arun Muralidhar - 17-30 Tumbling Tower of Babel: Subprime Securitization and the Credit Crisis
by Bruce I. Jacobs - 32-35 Setting National Priorities: Financial Challenges Facing the Obama Administration
by Marc R. Reinganum - 36-47 When Will Housing Recover?
by Eli Beracha & Mark Hirschey - 48-53 The End of “Soft Dollars”?
by John C. Bogle - 55-66 When Is Stock Picking Likely to Be Successful? Evidence from Mutual Funds
by Ying Duan & Gang Hu & R. David McLean - 67-84 Trading Volume and Stock Investments
by Jeffrey H. Brown & Douglas K. Crocker & Stephen R. Foerster - 88-88 In the Future
by Rodney N. Sullivan
January 2009, Volume 65, Issue 1
- 6-8 End of an Era
by Richard M. Ennis - 10-12 2008 Report to Readers
by Rodney N. Sullivan - 17-24 Markets in Crisis
by John C. Bogle & Rodney N. Sullivan - 25-27 Proposals Concerning the Current Financial Crisis
by Harry M. Markowitz - 28-33 Models
by Emanuel Derman - 34-36 The Second Moment
by Don Ezra - 37-42 Designing a Defined-Contribution Plan: What to Learn from Aircraft Designers
by David Blake & Andrew Cairns & Kevin Dowd - 43-53 Estimating Operational Risk for Hedge Funds: The ω-Score
by Stephen Brown & William Goetzmann & Bing Liang & Christopher Schwarz - 54-65 Classified Boards, Stability, and Strategic Risk Taking
by Olubunmi Faleye - 72-72 In the Future
by Rodney N. Sullivan
November 2008, Volume 64, Issue 6
- 6-8 Seeking a Better Way Forward
by Rodney N. Sullivan & Richard M. Ennis - 8-8 Errata
by The Editors - 10-10 Too Much Emphasis on Quantitative Methods Instead of Ethics?
by Russell McAlmond - 15-26 Future of Securities Markets: Competition or Consolidation?
by Hans R. Stoll - 27-44 Hedge Fund Performance Persistence: A New Approach
by Nicole M. Boyson - 45-61 The Returns to Hedge Fund Activism
by Alon Brav & Wei Jiang & Frank Partnoy & Randall S. Thomas - 62-73 Saving Social Security: A Better Approach
by Thomas K. Philips & Arun Muralidhar - 74-86 Creating a “Smart” Conditional Consensus Forecast
by Lawrence D. Brown & Gerald D. Gay & Marian Turac - 88-88 In the Future
by Rodney N. Sullivan
September 2008, Volume 64, Issue 5
- 8-10 Prediction Markets
by Richard M. Ennis - 12-12 “The Plan Sponsor’s Goal”: A Comment
by Colin J. Kerwin - 18-32 Do Professional Currency Managers Beat the Benchmark?
by Momtchil Pojarliev & Richard M. Levich - 34-44 Accruals, Capital Investments, and Stock Returns
by K.C. John Wei & Feixue Xie - 47-60 The Accruals Anomaly and Company Size
by Dan Palmon & Ephraim F. Sudit & Ari Yezegel - 62-76 Long-Term Price Effect of S&P 500 Addition and Earnings Quality
by Petya Platikanova - 77-87 Pre-Issue Investor Optimism and Post-Issue Underperformance
by Bingsheng Yi & Mohamed H. El-Badawi & Barry Lin - 88-100 Employee Stock Option Valuation with an Early Exercise Boundary
by Neil Brisley & Chris K. Anderson - 102-103 Your Money and Your Brain: How the New Science of Neuroeconomics Can Help Make You Rich (a review) (corrected)
by Martin S. Fridson & Martin S. Fridson - 104-104 In the Future
by Rodney N. Sullivan
July 2008, Volume 64, Issue 4
- 8-10 The New Organizational Paradigm: A Single Portfolio Manager and a Band of Scouts
by Richard M. Ennis - 16-24 Systemic Credit Risk: What Is the Market Telling Us?
by Vineer Bhansali & Robert Gingrich & Francis A. Longstaff - 25-39 Buy-Side vs. Sell-Side Analysts’ Earnings Forecasts
by Boris Groysberg & Paul Healy & Craig Chapman - 40-47 Valuing Illiquid Common Stock
by Edward A. Dyl & George J. Jiang - 48-61 How Variation in Signal Quality Affects Performance
by Jia Ye - 62-75 Stock Repurchases and the EPS Enhancement Fallacy
by Jacob Oded & Allen Michel - 76-91 Long-Term Impact of Russell 2000 Index Rebalancing
by Jie Cai & Todd Houge, CFA - 93-94 Capital Ideas Evolving (a review)
by Martin S. Fridson & Martin S. Fridson - 96-96 In the Future
by Rodney N. Sullivan, CFA
May 2008, Volume 64, Issue 3
- 6-6 “Patents on Intangibles” Continued
by Jack L. Treynor - 10-10 “The Pension Problem: On Demographic Time Bombs and Odious Debt”: A Comment on the Letter from Dean LeBaron, CFA
by Alberto L. Dominguez - 17-29 The Market for Dividends and Related Investment Strategies (corrected)
by Richard Manley & Christian Mueller-Glissmann - 31-52 Weak-Form Efficiency in Currency Markets
by Kuntara Pukthuanthong-Le & Lee R. Thomas - 54-66 Does the Measure Matter in the Mutual Fund Industry?
by Martin Eling - 67-79 Quarterly Accruals or Cash Flows in Portfolio Construction?
by Joshua Livnat & Germán López-Espinosa - 80-95 Portfolio Choice with Puts: Evidence from Variable Annuities
by Moshe A. Milevsky & Vladyslav Kyrychenko - 104-104 In the Future
by Rodney N. Sullivan
March 2008, Volume 64, Issue 2
- 6-8 The Herd Follows the Leader
by Richard M. Ennis - 12-12 Fundamental Disagreement
by Richard M. Ennis - 12-14 “Fundamentally Flawed Indexing”: Comments
by Robert D. Arnott & Harry M. Markowitz - 14-14 “Fundamentally Flawed Indexing”: Comments
by Jack Treynor - 14-17 “Fundamentally Flawed Indexing”: Author Response
by André F. Perold - 17-18 “Why Fundamental Indexation Might—or Might Not—Work”: A Comment
by Jason C. Hsu - 18-18 “Why Fundamental Indexation Might—or Might Not—Work”: Author Response
by Paul D. Kaplan - 20-29 Affect in a Behavioral Asset-Pricing Model
by Meir Statman & Kenneth L. Fisher & Deniz Anginer - 30-40 Black Monday and Black Swans
by John C. Bogle - 41-48 Where Is the Value Premium?
by Ludovic Phalippou - 49-64 Equity Returns at the Turn of the Month
by John J. McConnell & Wei Xu - 65-80 Forecasting Fund Manager Alphas: The Impossible Just Takes Longer
by M. Barton Waring & Sunder R. Ramkumar - 81-92 Custom Factor Attribution
by Jose Menchero & Vijay Poduri - 96-96 In the Future
by Rodney N. Sullivan
January 2008, Volume 64, Issue 1
- 6-7 2007 Report to Readers
by Rodney N. Sullivan - 8-8 “The Adjusted Earnings Yield”: A Comment
by Hollister B. Sykes - 16-30 Long–Short Extensions: How Much Is Enough?
by Roger Clarke & Harindra de Silva & Steven Sapra & Steven Thorley - 32-39 Why Fundamental Indexation Might—or Might Not—Work
by Paul D. Kaplan - 40-48 The Longevity Annuity: An Annuity for Everyone?
by Jason S. Scott - 49-60 Capital Structure, Staggered Boards, and Firm Value
by Pornsit Jiraporn & Yixin Liu - 61-73 Risk Management for Event-Driven Funds
by Philippe Jorion - 74-84 Combination Hedges Applied to U.S. Markets
by Lawrence Morgan - 85-86 Quantitative Management of Bond Portfolios (a review)
by Mark S. Rzepczynski & Martin S. Fridson - 86-87 Do Economists Make Markets? On the Performativity of Economics (a review)
by Martin S. Fridson & Martin S. Fridson - 88-88 In the Future
by Rodney N. Sullivan
November 2007, Volume 63, Issue 6
- 6-8 Editor’s Corner
by Rodney N. Sullivan - 10-10 Errata
by The Editors - 17-30 Ethical Decision Making: More Needed Than Good Intentions
by Robert A. Prentice - 31-37 Fundamentally Flawed Indexing
by André F. Perold - 38-43 What Ails Public Pensions?
by Richard M. Ennis - 44-54 The Anatomy of Value and Growth Stock Returns
by Eugene F. Fama & Kenneth R. French - 56-70 Industry Classifications and Return Comovement
by Louis K.C. Chan & Josef Lakonishok & Bhaskaran Swaminathan - 71-82 Behavioral Obstacles in the Annuity Market
by Wei-Yin Hu & Jason S. Scott - 86-86 In the Future
by Rodney N. Sullivan
September 2007, Volume 63, Issue 5
- 8-8 Editor’s Corner
by Richard M. Ennis - 12-12 “Executive Compensation: Much Ado about Nothing?”: A Comment
by John Benson - 12-14 “Do the Markets Care about the $2.4 Trillion U.S. Deficit?”: A Comment
by Samuel Lum - 15-15 Errata
by The Editors - 18-30 Expected Utility Asset Allocation
by William F. Sharpe - 32-44 Rebalancing Revisited: The Role of Derivatives
by David T. Brown & Gideon Ozik & Daniel Scholz - 46-52 The Statistics of Statistical Arbitrage
by Robert Fernholz & Cary Maguire - 54-68 The Adjusted Earnings Yield
by Stephen E. Wilcox - 69-81 Trading Patterns and Excess Comovement of Stock Returns
by Robin M. Greenwood & Nathan Sosner - 82-101 Corporate Pension Funding and Credit Spreads
by Mirko Cardinale - 104-104 In the Future
by Rodney N. Sullivan
July 2007, Volume 63, Issue 4
- 6-8 Editor’s Corner
by Richard M. Ennis - 10-10 “Do the Markets Care about the $2.4 Trillion U.S. Deficit?”: A Comment
by Robert M. Braun - 11-11 “Do the Markets Care about the $2.4 Trillion U.S. Deficit?”: A Comment
by Jerry H. Tempelman - 12-12 “Are Cover Stories Effective Contrarian Indicators?”: A Comment
by Thomas J. Healey - 14-14 “Are Cover Stories Effective Contrarian Indicators?”: Author Response
by Tom Arnold & John H. Earl & David S. North - 14-16 “Making Investment Choices as Simple as Possible, but Not Simpler”: Author Response
by Zvi Bodie & Jonathan Treussard - 16-17 “Making Investment Choices as Simple as Possible, but Not Simpler”: CFA Institute Response
by Jeffrey J. Diermeier - 19-26 20 Myths about Enhanced Active 120–20 Strategies
by Bruce I. Jacobs & Kenneth N. Levy - 28-39 Is Illiquidity a Risk Factor? A Critical Look at Commission Costs
by Jinliang Li & Robert Mooradian & Wei David Zhang - 40-51 Default Funds in U.K. Defined-Contribution Plans (corrected)
by Alistair Byrne & David Blake & Andrew Cairns & Kevin Dowd - 52-62 Gender Differences in Risk Aversion and Expected Retirement Benefits
by John Watson & Mark McNaughton - 63-71 Double Surprise into Higher Future Returns
by Alina Lerman & Joshua Livnat & Richard R. Mendenhall - 72-78 Currency Derivatives and Exchange Rate Forecastability
by Shinhua Liu - 80-80 In the Future
by Rodney N. Sullivan
May 2007, Volume 63, Issue 3
- 6-7 Editor’s Corner
by Richard M. Ennis - 10-10 “A Mutual Fund to Yield Annuity-Like Benefits”: A Comment
by Harry Klaristenfeld - 10-11 “Corporate Governance of Pension Plans: The U.K. Evidence”: A Comment
by Keith Wallace - 12-12 Errata
by The Editors - 17-27 On the Use (and Abuse) of Stock Option Grants
by Randall A. Heron & Erik Lie & Tod Perry - 28-31 Executive Compensation: Much Ado about Nothing?
by Denise Dickins & Robert Houmes - 32-41 Local Ethics in a Global World
by Meir Statman - 42-47 Making Investment Choices as Simple as Possible, but Not Simpler
by Zvi Bodie & Jonathan Treussard - 48-58 Migration
by Eugene F. Fama & Kenneth R. French - 59-70 Sector, Style, Region: Explaining Stock Allocation Performance
by Raman Vardharaj & Frank J. Fabozzi - 71-78 Interaction of Stock Return Momentum with Earnings Measures
by Ilya Figelman - 79-86 Trading Volume: NASDAQ and the NYSE
by Anne M. Anderson & Edward A. Dyl - 88-88 In the Future
by Rodney N. Sullivan
March 2007, Volume 63, Issue 2
- 8-8 Investment Policy: Bridle of Want
by Richard M. Ennis - 10-10 “Value Destruction and Financial Reporting Decisions”: A Comment
by Bruce Alan Ackermann - 12-12 Errata
by The Editors - 15-18 Interest Rate Swaps: Accounting vs. Economics
by Ira G. Kawaller - 21-35 FASB’s Quick Fix for Pension Accounting Is Only First Step
by C. Terry Grant & Gerry H. Grant & William R. Ortega - 37-47 Do the Markets Care about the $2.4 Trillion U.S. Deficit?
by Jagadeesh Gokhale & Kent Smetters - 48-54 Causes and Seasonality of Momentum Profits
by Richard Sias - 56-68 Is Cash Flow King in Valuations?
by Jing Liu & Doron Nissim & Jacob Thomas - 70-75 Are Cover Stories Effective Contrarian Indicators?
by Tom Arnold & John H. Earl & David S. North