Content
November 2004, Volume 60, Issue 6
- 15-15 “Are Professional Traders Too Slow to Realize Their Losses?”: A Comment
by Robert F. Richards - 19-25 Defining Risk
by Glyn A. Holton - 27-32 A Do-It-Yourself Forecasting Kit Updated
by Peter L. Bernstein - 34-39 Fairness Outside the Cocoon
by Meir Statman - 40-54 Style Management in Equity Country Allocation
by Stéphanie Desrosiers & Jean-François L'Her & Jean-François Plante - 55-64 Divergent Opinions and the Performance of Value Stocks
by John A. Doukas & Chansog (Francis) Kim & Christos Pantzalis - 65-77 What Determines Chinese Stock Returns?
by Fenghua Wang & Yexiao Xu - 78-82 Using the WACC to Value Real Options
by Tom Arnold & Timothy Falcon Crack - 83-83 Enron: Corporate Fiascos and Their Implications (a review)
by Michael A. Martorelli & Martin S. Fridson - 83-84 Seeing What's Next: Using the Theories of Innovation to Predict Industry Change (a review)
by Ronald L. Moy & Martin S. Fridson - 85-86 Investment Management: Portfolio Diversification, Risk, and Timing—Fact and Fiction (a review)
by Murad J. Antia & Martin S. Fridson - 88-88 In The Future
by Rodney N. Sullivan
September 2004, Volume 60, Issue 5
- 6-9 Sustainable Spending in a Lower-Return World
by Robert D. Arnott - 11-11 Insider Trading: More Comments
by Tom Arnold - 12-12 Insider Trading: LeBaron Response
by Dean LeBaron - 13-13 Errata
by The Editors - 15-16 Tommy Armour on Investing
by Charles D. Ellis - 17-20 What Investors Can Learn from a Very Alternative Market
by Ronald N. Kahn - 21-37 Valuing Employee Stock Options: Does the Model Matter?
by Manuel Ammann & Ralf Seiz - 38-51 Asset Allocation without Unobservable Parameters
by Michael Stutzer - 52-64 TIPS, the Dual Duration, and the Pension Plan
by Laurence B. Siegel & M. Barton Waring - 65-80 Hedge Fund Benchmarks: A Risk-Based Approach
by William Fung & David A. Hsieh - 81-94 Term-Structure Factor Shifts and Economic News
by W. Brian Barrett & Thomas F. Gosnell & Andrea J. Heuson - 95-95 The Pension Challenge: Risk Transfers and Retirement Income Security (a review)
by Martin S. Fridson & Martin S. Fridson - 96-96 In The Future
by Rodney N. Sullivan
July 2004, Volume 60, Issue 4
- 6-8 The Policy Portfolio Problem
by Robert D. Arnott - 9-14 Stock Options and the Lying Liars Who Don't Want to Expense Them
by Clifford S. Asness - 15-22 Why Some Dealers and Exchanges Have Been Slow to Automate
by Thomas Peterffy & David M. Battan - 23-28 Combining Value Estimates to Increase Accuracy
by Kenton K. Yee - 29-34 Nonsecular Regularities in Returns and Volume
by Laura Frieder & Avanidhar Subrahmanyam - 35-43 Are Professional Traders Too Slow to Realize Their Losses?
by Ryan Garvey & Anthony Murphy - 44-53 The Diversification Puzzle
by Meir Statman - 54-75 Can Fuzzy Logic Make Technical Analysis 20/20?
by Xu-Shen Zhou & Ming Dong - 76-91 Multiperiod Arithmetic Attribution
by Jose Menchero - 92-93 Firms' Investment and Financing Decisions: Theory and Empirical Methodology (a review)
by Murad J. Antia & Martin S. Fridson - 93-95 Trading and Exchanges: Market Microstructure for Practitioners (a review)
by Mark S. Rzepczynski & Martin S. Fridson - 96-96 In the Future
by Rodney N. Sullivan
May 2004, Volume 60, Issue 3
- 6-8 Ethics and Unintended Consequences
by Robert D. Arnott - 10-12 Insider Trading: Two Comments
by Jack L. Treynor & Dean LeBaron - 15-21 Pension Deficits: An Unnecessary Evil
by Lawrence N. Bader - 22-32 Protecting Fund Shareholders from Costly Share Trading
by Gary L. Gastineau - 33-43 Board Composition and Corporate Fraud
by Hatice Uzun & Samuel H. Szewczyk & Raj Varma - 44-51 Some Insider Sales Are Positive Signals
by James Scott & Peter Xu - 52-66 Bond Games
by George S. Oldfield - 67-78 Asset Management and Affiliated Analysts' Forecasts
by Paul Irvine & Paul J. Simko & Siva Nathan - 79-89 Effect of Regulation FD on Asymmetric Information
by Chun I. Lee & Leonard Rosenthal & Kimberly Gleason - 91-92 The New Economy: What It Is, How It Happened, and Why It Is Likely to Last (a review)
by Martin S. Fridson & Martin S. Fridson - 92-93 Detecting Earnings Management (a review)
by Michael A. Martorelli & Martin S. Fridson - 94-94 Investment Leadership: Building a Winning Culture for Long-Term Success (a review)
by Ronald L. Moy & Martin S. Fridson - 96-96 In the Future
by Rodney N. Sullivan
March 2004, Volume 60, Issue 2
- 6-8 The Meaning of a Slender Risk Premium
by Robert D. Arnott - 12-12 “Who's Minding the Store?”: A Comment
by Joseph C. Zavalishin - 14-14 “Why Ethics Codes Don't Work”: A Comment
by Jonathan A. Hayes - 16-22 Statement of Cash Flows: Time for Change!
by O. Whitfield Broome - 24-30 What Analysts Need to Know about Accounting for Derivatives
by Ira G. Kawaller - 32-38 Global Risk Factors and the Cost of Capital
by Kees G. Koedijk & Mathijs A. van Dijk - 39-46 Impact of Employee Stock Options on Cash Flow
by Conrad S. Ciccotello & C. Terry Grant & Gerry H. Grant - 47-56 Long-Run Stock Returns Following Briloff's Analyses
by Hemang Desai & Prem C. Jain - 57-73 Value at Risk and Expected Stock Returns
by Turan G. Bali & Nusret Cakici - 74-85 Bias in European Analysts' Earnings Forecasts
by Stan Beckers & Michael Steliaros & Alexander Thomson - 86-99 How Regimes Affect Asset Allocation
by Andrew Ang & Geert Bekaert - 100-101 Asset Price Bubbles: The Implications for Monetary, Regulatory, and International Policies (a review)
by Ronald L. Moy & Martin S. Fridson - 101-102 Beyond the Random Walk: A Guide to Stock Market Anomalies and Low Risk Investing (a review)
by Martin S. Fridson & Martin S. Fridson - 102-103 Integrating Investments and the Tax Code (a review)
by Murad J. Antia & Martin S. Fridson - 104-104 In the Future
by Rodney N. Sullivan
January 2004, Volume 60, Issue 1
- 6-8 Is Our Industry Intellectually Lazy?
by Robert D. Arnott - 10-10 With Growth, a Growing Obligation
by Robert D. Arnott & Harry M. Markowitz - 12-12 “Points of Inflection: Investment Management Tomorrow”: Author's Response
by Peter L. Bernstein - 12-14 “Misconceptions about Optimal Equity Allocation and Investment Horizon”: A Comment
by Michael Stutzer - 14-14 “Misconceptions about Optimal Equity Allocation and Investment Horizon”: Authors' Response
by R. Douglas Van Eaton & James A. Conover - 15-25 Irrational Optimism
by Elroy Dimson & Paul Marsh & Mike Staunton - 26-30 Risk Avoidance and Market Fragility
by Bruce I. Jacobs - 31-53 Empirical TIPS
by Richard Roll - 54-70 Asset Allocation with Inflation-Protected Bonds
by S.P. Kothari & Jay Shanken - 71-86 Value and Growth Investing: Review and Update
by Louis K.C. Chan & Josef Lakonishok - 87-99 Changing Risks in Global Equity Portfolios
by Wenling Lin & Lisa Kopp & Phillip Hoffman & Mark Thurston - 100-113 The Changing Nature of Stock and Bond Volatility
by Charles P. Jones & Jack W. Wilson - 114-119 How to Value Employee Stock Options
by John Hull & Alan White - 120-120 In the Future
by Rodney N. Sullivan
November 2003, Volume 59, Issue 6
- 4-8 Who's Minding the Store?
by Robert D. Arnott - 20-28 Accounting Valuation: Is Earnings Quality an Issue?
by Bradford Cornell & Wayne R. Landsman - 29-34 Why Ethics Codes Don't Work
by John Dobson - 35-45 Capturing the Value Premium in the United Kingdom
by Elroy Dimson & Stefan Nagel & Garrett Quigley - 46-53 Geometric or Arithmetic Mean: A Reconsideration
by Eric Jacquier & Alex Kane & Alan J. Marcus - 54-65 Bayesian Asset Allocation and U.S. Domestic Bias
by Ulf Herold & Raimond Maurer - 66-74 A Close Look at Short Selling on Nasdaq
by James J. Angel & Stephen E. Christophe & Michael G. Ferri - 75-84 Investor Underreaction to Goodwill Write-Offs
by Mark Hirschey & Vernon J. Richardson - 85-94 The Profitability of Day Traders
by Douglas J. Jordan & J. David Diltz
September 2003, Volume 59, Issue 5
- 4-7 The Mystery of TIPS
by Robert D. Arnott - 17-17 “The Statistics of Sharpe Ratios”: A Comment
by Michael Wolf - 18-18 “What Risk Matters? A Call for Papers!”: A Comment
by William L. Valentine - 19-23 Hedge Fund Existential
by Richard Bookstaber - 24-27 Reading the Stars: Age Bias in Morningstar Ratings
by J.A. Adkisson & Don R. Fraser - 28-31 The Higher Equity Risk Premium Created by Taxation
by Martin L. Leibowitz - 32-46 Predictability in Hedge Fund Returns (corrected)
by Noël Amenc & Sina El Bied & Lionel Martellini - 47-55 Earnings Growth: The Two Percent Dilution
by William J. Bernstein & Robert D. Arnott - 56-69 Outlier-Resistant Estimates of Beta
by R. Douglas Martin & Timothy T. Simin - 70-82 Portfolio Optimization with Tracking-Error Constraints
by Philippe Jorion - 83-96 Preference-Based Strategic Currency Hedging
by Greg van Inwegen & John Hee & Kenneth Yip - 100-101 Famous Fables of Economics: Myths of Market Failures (a review)
by Martin S. Fridson & Martin S. Fridson - 102-102 Risk Management and Value Creation in Financial Institutions (a review)
by Murad J. Antia & Martin S. Fridson - 103-103 Take on the Street: What Wall Street and Corporate America Don't Want You to Know; What You Can Do to Fight Back (a review)
by Daren E. Miller & Martin S. Fridson
July 2003, Volume 59, Issue 4
- 4-8 Managing Investments for the Long Term
by Robert D. Arnott - 18-23 Points of Inflection: Investment Management Tomorrow
by Peter L. Bernstein - 24-25 How to Regulate a Monopoly
by Jack Treynor - 26-35 Monetary Policy and Stock Price Returns
by J. Benson Durham - 36-50 Macroeconomic Variables and Corporate Performance
by Lars Oxelheim - 51-64 The Russell Reconstitution Effect
by Ananth Madhavan - 65-77 Internet Investment Advice: Investing with a Rock of Salt
by Michaël Dewally - 78-90 A December Effect with Tax-Gain Selling?
by Honghui Chen & Vijay Singal - 91-102 Tax Management, Loss Harvesting, and HIFO Accounting
by Andrew L. Berkin & Jia Ye - 103-103 The Theory and Practice of Investment Management (a review)
by Ronald L. Moy & Martin S. Fridson
May 2003, Volume 59, Issue 3
- 6-8 What Risk Matters? A Call for Papers!
by Robert D. Arnott - 17-17 “Portfolio Resampling: Review and Critique”: A Comment
by Richard Michaud & Robert Michaud - 18-18 Errata
by The Editors - 19-24 Treatment of Pension Plans in a Corporate Valuation
by Lawrence N. Bader - 25-29 Wall Street Research: Will New Rules Change Its Usefulness?
by Leslie Boni & Kent L. Womack - 30-41 Is the Insurance Business Viable?
by Robert Ferguson & Dean Leistikow & John R. Powers - 42-51 Liquidation Risk
by Darrell Duffie & Alexandre Ziegler - 52-59 A Century of Investors
by Meir Statman - 60-68 Quasi-Private Information and Insider Trading
by Martha L. Carter & Sattar A. Mansi & David M. Reeb - 69-77 Insider Trading When an Underlying Option Is Present
by David C. Hyland & Salil K. Sarkar & Niranjan Tripathy - 78-92 Quantifying Credit Risk II: Debt Valuation
by Stephen Kealhofer - 93-102 Nondefault Components of Investment-Grade Bond Spreads
by James H. Dignan - 103-103 Financial Instruments and Institutions: Accounting and Disclosure Rules (a review)
by Martin S. Fridson & Martin S. Fridson
March 2003, Volume 59, Issue 2
- 4-6 Dividends and the Three Dwarfs
by Robert D. Arnott - 7-7 Errata
by The Editors - 20-29 Demographics and Capital Market Returns
by Robert D. Arnott & Anne Casscells - 30-44 Single-Period Mean–Variance Analysis in a Changing World (corrected)
by Harry M. Markowitz & Erik L. van Dijk - 45-54 News, Not Trading Volume, Builds Momentum
by James Scott & Margaret Stumpp & Peter Xu - 55-68 Currency Overlay in Performance Evaluation
by Cornelia Paape - 69-79 Global/Industrial Diversification and Analyst Herding
by Chansog (Francis) Kim & Christos Pantzalis - 80-87 FEVA: A Financial and Economic Approach to Valuation
by Xavier Adserà & Pere Viñolas - 88-96 Reassessing the Returns to Analysts' Stock Recommendations
by Brad Barber & Reuven Lehavy & Maureen McNichols & Brett Trueman - 97-109 A Negative Equilibrium Interest Rate
by Moshe Levy & Haim Levy & Avi Edry - 110-111 Compensation Committee Handbook (a review)
by Victor F. Morris & Martin S. Fridson
January 2003, Volume 59, Issue 1
- 3-3 From the Editor
by Robert D. Arnott - 4-4 Dividends and Dividend Taxation
by Robert D. Arnott - 15-15 “Stale Prices and Strategies for Trading Mutual Funds”: Authors' Response
by Jacob Boudoukh & Marti Subrahmanyam & Matthew Richardson & Robert Whitelaw - 15-16 “An Examination of Resampled Portfolio Efficiency”: A Comment
by Richard O. Michaud - 16-16 “An Examination of Resampled Portfolio Efficiency”: Authors' Response
by Jonathan Fletcher & Joe Hillier - 17-23 Thoughts on the Future: Theory and Practice in Investment Management
by Robert C. Merton - 24-29 Thoughts on the Future: Life-Cycle Investing in Theory and Practice
by Zvi Bodie - 30-44 Quantifying Credit Risk I: Default Prediction
by Stephen Kealhofer - 45-53 “Wall $treet Week”: Information or Entertainment?
by Eurico J. Ferreira & Stanley D. Smith - 54-69 The Equity Premium: Why Is It a Puzzle? (corrected)
by Rajnish Mehra - 70-87 Surprise! Higher Dividends = Higher Earnings Growth
by Robert D. Arnott & Clifford S. Asness - 88-98 Long-Run Stock Returns: Participating in the Real Economy
by Roger G. Ibbotson & Peng Chen - 99-106 Dividend-Yield Strategies in the Canadian Stock Market
by Sue Visscher & Greg Filbeck - 107-108 The A.R.T. of Risk Management: Alternative Risk Transfer, Capital Structure, and the Convergence of Insurance and Capital Markets (a review)
by Mark S. Rzepczynski & Martin S. Fridson - 108-109 The Fundamentals of Risk Measurement (a review)
by Daren E. Miller & Martin S. Fridson - 109-110 The Man Who Beats the S&P: Investing with Bill Miller (a review)
by Murad J. Antia & Martin S. Fridson
November 2002, Volume 58, Issue 6
- 17-17 To the AIMR Board of Governors
by Jeffrey S. Molitor - 18-18 “The Statistics of Sharpe Ratios”: A Comment
by Daniel Morillo & Larry Pohlman - 19-19 Review of Investor Relations for the Emerging Company: A Comment
by Ralph A. Rieves & John R. Lefebvre - 19-30 Global Hedge Funds: Risk, Return, and Market Timing
by Hung-Gay Fung & Xiaoqing Eleanor Xu & Jot Yau - 31-40 Replicating Default Risk in a Defined-Benefit Plan
by Richard A. Ippolito - 42-55 Relative Implied-Volatility Arbitrage with Index Options
by Manuel Ammann & Silvan Herriger - 56-67 Growth, Corporate Profitability, and Value Creation
by Cyrus A. Ramezani & Luc Soenen & Alan Jung - 68-77 The Levered P/E Ratio
by Martin L. Leibowitz - 78-97 Cross-Industry, Cross-Country Allocation
by Stefano Cavaglia & Vadim Moroz - 98-109 Portfolio Resampling: Review and Critique
by Bernd Scherer - 110-111 Alan Shrugged: Alan Greenspan, the World's Most Powerful Banker (a review)
by Martin S. Fridson & Martin S. Fridson
September 2002, Volume 58, Issue 5
- 16-27 Asset-Based Style Factors for Hedge Funds
by William Fung & David A. Hsieh - 28-42 Market Microstructure: A Practitioner's Guide
by Ananth Madhavan - 43-47 Is There a Gap in Your Knowledge of GAAP?
by Stephen R. Moehrle & Jennifer A. Reynolds-Moehrle & Wilbur L. Tomlinson - 48-66 Portfolio Constraints and the Fundamental Law of Active Management
by Roger Clarke & Harindra de Silva & Steven Thorley - 67-73 Cross-Sectional Volatility and Return Dispersion
by Ernest M. Ankrim & Zhuanxin Ding - 74-86 Budgeting and Monitoring Pension Fund Risk
by William F. Sharpe - 85-85 Ethics in Finance (a review)
by Martin S. Fridson & Martin S. Fridson - 87-97 Model Choice and Value-at-Risk Performance
by Chris Brooks & Gita Persand - 99-100 Financial Crime Investigation and Control (a review)
by Martin S. Fridson & Martin S. Fridson - 100-101 Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (a review)
by Mark S. Rzepczynski & Martin S. Fridson - 101-103 The Microstructure Approach to Exchange Rates (a review)
by Mark S. Rzepczynski & Martin S. Fridson
July 2002, Volume 58, Issue 4
- 11-18 Buffett in Foresight and Hindsight
by Meir Statman & Jonathan Scheid - 19-27 Do Microsoft Acquisitions Benefit the Computer Industry?
by Aigbe Akhigbe & Anna D. Martin - 28-35 Individual-Analyst Characteristics and Forecast Error
by Hiromichi Tamura - 36-52 The Statistics of Sharpe Ratios
by Andrew W. Lo - 53-71 Stale Prices and Strategies for Trading Mutual Funds
by Jacob Boudoukh & Matthew Richardson & Marti Subrahmanyam & Robert F. Whitelaw - 72-82 Conditional Hedging and Portfolio Performance
by David VanderLinden & Christine X. Jiang & Michael Hu - 83-84 Engines That Move Markets: Technology Investing from Railroads to the Internet and Beyond (a review)
by Martin S. Fridson & Martin S. Fridson - 84-85 Investor Relations for the Emerging Company (a review)
by Martin S. Fridson & Martin S. Fridson - 85-86 Security Market Imperfections in World Wide Equity Markets (a review)
by Mark S. Rzepczynski & Martin S. Fridson
May 2002, Volume 58, Issue 3
- 18-26 Bubbles, Human Judgment, and Expert Opinion
by Robert J. Shiller - 28-44 Pricing Credit Derivatives with Rating Transitions
by Viral V. Acharya & Sanjiv Ranjan Das & Rangarajan K. Sundaram - 45-59 The Nature of Market Growth, Risk, and Return
by Michael J. Dempsey - 60-72 A Sensible Mutual Fund Selection Model
by Hakan Saraoglu & Miranda Lam Detzler - 74-81 Closed-End Funds and Turnover Restrictions
by Nusret Cakici & Anthony Tessitore & Nilufer Usmen - 82-90 Using the Yield Curve to Time the Stock Market
by Bruce G. Resnick & Gary L. Shoesmith - 91-99 The Mismeasurement of Risk
by Mark Kritzman & Don Rich - 100-100 Forbes Greatest Investing Stories (a review)
by Martin S. Fridson & Martin S. Fridson - 101-102 Paving Wall Street: Experimental Economics and the Quest for the Perfect Market (a review)
by Martin S. Fridson & Martin S. Fridson - 102-103 Fooled by Randomness: The Hidden Role of Chance in the Markets and in Life (a review)
by Mark S. Rzepczynski & Martin S. Fridson
March 2002, Volume 58, Issue 2
- 16-36 Battle for Alphas: Hedge Funds versus Long-Only Portfolios
by Duen-Li Kao - 38-42 A Proposal for Quoting Money Market Rates
by Miles Livingston & Lei Zhou - 44-54 Multiples Used to Estimate Corporate Value
by Erik Lie & Heidi J. Lie - 56-63 Mutual Fund Age and Morningstar Ratings
by Matthew R. Morey - 64-85 What Risk Premium Is “Normal”?
by Robert D. Arnott & Peter L. Bernstein