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Content
October 2004, Volume 5, Issue 3
- 148-148 Editorial
by Stephen E Satchell - 149-156 Good corporate governance works: More evidence from CalPERS
by Mark Anson & Ted White & Ho Ho - 157-175 The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2
by Ron Bird & Jonathan Whitaker - 176-191 Expect something sensible: Putting US returns in an international perspective
by Roelof Salomons - 192-202 How to profit from mean reverting risk premiums? Implications for stock selection
by Olaf Stotz - 203-216 Portfolio formations can affect asset pricing tests
by Ingrid Lo
August 2004, Volume 5, Issue 2
- 76-76 Editorial
by Stephen Satchell - 77-90 How do US and Japanese investors process information, and how do they form their expectations of the future? Evidence from quantitative survey based data
by Patricia Fraser - 91-104 Empirical evidence on corporate governance in Europe: The effect on stock returns, firm value and performance
by Rob Bauer & Nadja Guenster & Rogér Otten - 105-119 Active bond strategies: What link between forecasting ability, excess return and performance?
by Hubert de La Bruslerie - 120-143 Momentum investing: A survey
by Laurens Swinkels
June 2004, Volume 5, Issue 1
- 4-4 Editorial
by Stephen Satchell - 5-12 An alternative route to performance hypothesis testing
by Bernd Scherer - 13-24 Risk management: Survival of the fittest
by Jarrod Wilcox - 25-36 Momentum and the FTSE 350
by Mark Ellis & Dylan C Thomas - 37-48 Forecasting the direction of change in sector stock indexes: An application of neural networks
by Stanley R Stansell & Stanley G Eakins - 49-63 A fuller theory of short selling
by Harlan Platt - 64-71 Measuring style tilting and decomposing style risk
by Theofanis Darsinos & Stephen Satchell
April 2004, Volume 4, Issue 6
- 364-366 Editorial
by Greg Radner - 367-391 Predicting extreme performers in European equities
by Ying L. Becker & Richard J. Ochman - 393-405 How to calculate breadth: An evolution of the fundamental law of active portfolio management
by David Buckle - 407-414 Risk policies for active asset managers
by Dario Brandolini & Massimiliano Pallotta & Raffaele Zenti - 415-428 Towards a goal programming methodology for constructing equity mutual fund portfolios
by Konstantina Pendaraki & Michael Doumpos & Constantin Zopounidis - 429-430 Integrated wealth management: ‘The new direction’ for portfolio managers
by Greg N. Gregorion
October 2003, Volume 4, Issue 5
- 292-292 Editorial
by Stephen Satchell - 293-307 Region, sector and style selection in global equity markets
by Ronald van Dijk & Tjeert Keijzer - 308-317 The long-term performance of UK stocks after making rights issues
by Simon Harris - 318-325 Time and the payoff to value investing
by Roland Rousseau & Paul van Rensburg - 326-333 On the information ratio of tactical asset allocation
by Mark Lundin - 334-347 Explaining the cross-section of returns in South Africa: Attributes or factor loadings?
by Paul van Rensburg & Michael Robertson - 348-360 An analysis of the equity risk premium
by Rakesh Bali & Hany Guirguis
December 2003, Volume 4, Issue 4
- 220-220 Editorial — Benchmark Issues
by Stephen Satchell - 221-246 The performance of value and momentum investment portfolios: Recent experience in the major European markets
by Ron Bird & Jonathan Whitaker - 247-257 Estimating free cash flows and valuing a growth company
by Nancy L Beneda - 258-276 How did the Dow do today?
by Paul J Haensly - 277-287 GARCH models with changes in variance: An approximation to risk measurements
by Vicent Aragó & Ángeles Fernández-Izquierdo
September 2003, Volume 4, Issue 3
- 148-151 Editorial — Saving social security
by Franco Modigliani & Arun Muralidhar - 152-172 Selecting a risk-adjusted shareholder performance measure
by Christian S Pedersen & Ted Rudholm-Alfvin - 173-198 Optimal hedging of the currency exchange risk exposure of dynamically balanced strategic asset allocations
by Nikolaus Hautsch & Joachim Inkmann - 199-216 Emerging market economies: Inevitability of volatility and contagion
by Dilip K Das
August 2003, Volume 4, Issue 2
- 76-76 Editorial
by Stephen E Satchell - 77-95 Do the individual moments of REIT return distributions affect institutional ownership patterns?
by Scott D Below & Stanley Stansell - 96-118 Benefits and risks of alternative investment strategies
by Noël Amenc & Lionel Martellini & Mathieu Vaissié - 119-130 The impact of demand and liquidity on the informaton content and predictive power of the government bond yield curve: An illustration from the UK gilt market
by Moorad Choudhry - 131-144 Evolving financial market structure in the emerging market economies
by Dilip K Das
June 2003, Volume 4, Issue 1
- 4-4 Editorial
by Stephen Satchell - 5-9 Fundamental UK stock prices as determined by the macroeconomy
by Angela Black & Patricia Fraser & Nicolaas Groenewold - 10-21 Optimal portfolio allocation in a world without Treasury securities
by Antulio N Bomfim - 22-31 On the information content of going concern opinions: The effects of SAS numbers 58 and 59
by Mark Schaub & Michael Highfield - 32-72 UK pension fund management after Myners: The hunt for correlation begins
by David Blake
March 2003, Volume 3, Issue 4
- 296-300 Editorial — Investor activism and corporate responsibility
by Craig Mackenzie & Rory Sullivan - 303-312 Economic implications of passive investing
by Paul Woolley & Ron Bird - 313-322 The structure of multifactor equity risk models
by Jason MacQueen - 323-331 Market abuse
by Joe Coffey & Jonathan Overett Somnier - 333-344 Forecast dispersion and error versus size, book-to-market ratio and momentum: A comparison of anomalies from 1992 to 2001
by Stephen J Ciccone - 345-359 Financial liberalisation in the emerging market economies
by Dilip K Das - 361-382 Do hedge funds add value to a passive portfolio? Correcting for non-normal returns and disappearing funds
by Roy Kouwenberg
December 2002, Volume 3, Issue 3
- 200-201 Editorial — The use and abuse of risk management
by J MacQueen - 202-212 Asset allocation versus security selection: Evidence from global markets
by M Kritzman & S Page - 213-228 Non-parametric forecasting for conditional asset allocation
by S Beckers & B Blair - 229-236 Does European high yield lead or lag? Turning lead into gold …
by M C Garman - 237-252 Hedge fund survival lifetimes
by G N Gregoriou - 253-265 International stock market linkages: A factor analysis approach
by M Illueca & J A Lafuente - 266-278 The impact of technological alliances on the information set: Evidence from the Spanish stock exchange
by C Bayona & P Corredor & R Santamaría - 279-289 Are asset managers properly using tracking error estimates?
by R Zenti & M Pallotta - 290-291 Portfolio Construction and Risk Budgeting
by Stephen E Satchell
September 2002, Volume 3, Issue 2
- 100-100 Editorial
by S Satchell - 101-111 Bond Market volatility compared with stock market volatility: Evidence from the UK
by R Johnson & P Young - 112-123 Growth stocks outperform value stocks over the long term
by N Beneda - 124-141 International industry momentum
by L Swinkels - 142-172 The impact of monetary policy on value and growth stocks: An international evaluation
by A J Black - 173-194 Performance clustering and incentives in the UK pension fund industry
by D Blake & B N Lehmann & A Timmermann
July 2002, Volume 3, Issue 1
- 5-5 Editorial
by S Satchell - 9-16 Hazardous to your wealth? The early and long-term performance of Mexican ADRs on the New York Stock Exchange
by M Schaub - 17-28 What private equity investments are being made in Europe, who is investing and how are they doing?
by K Arundale - 29-38 Cross-country and intertemporal indexes of risk aversion
by M Kritzman & K Lowry & A-S van Royen - 39-54 Has Europe outgrown its national boundaries?
by T Goodwin & L Ross - 55-65 On a model of portfolio selection with benchmark
by N Wagner - 67-72 Beta and return: One-day effect
by M Feinberg & D Tokic - 73-89 Simulating skilled active management
by S M Fox
March 2002, Volume 2, Issue 4
- 300-302 Editorial: The boom in technology funds — Implications for the fund management industry
by J Mellon - 303-324 The evaluation of active manager returns in a non-symmetrical environment
by R Bird & DR Gallagher - 325-335 Conditional asset allocation using prediction intervals to produce allocation decisions
by B Blair - 336-352 Do exotic currencies improve the risk-adjusted performance of dynamic currency overlays?
by CL Dunis & N Levy - 353-367 Regime switching in currency markets and portfolio flows
by AJ Foley - 368-397 The record on small companies: A review of the evidence
by M Levis
December 2001, Volume 2, Issue 3
- 204-204 Editorial
by S Satchell - 205-222 Do tracking errors reliably estimate portfolio risk?
by A Scowcroft & J Sefton - 223-234 An alternative calculation of tracking error
by C Lawton-Browne - 235-240 A note on tracking error funding assumptions
by B Scherer - 241-246 Tracking error: Ex ante versus ex post measures
by SE Satchell & S Hwang - 247-259 Process attribution — A new way to measure skill in portfolio construction
by S Bridgeland - 260-273 Exchange-traded funds: A primer
by D Fuhr - 274-283 Highest-density forecast regions: An essay in the Spanish stock market
by N Blasco & R Santamaría - 284-292 Information flows among the major stock market areas
by FJ Climent & V Meneu & A Pardo
September 2001, Volume 2, Issue 2
- 101-106 Editorial: Torpedoes and Rockets
by AJ Brown - 107-127 Extreme stock returns
by D Glickman & AG DiRienzo & R Ochman - 128-135 How important is asset allocation?
by M Statman - 136-161 Portfolio insurance and market crashes
by F Longin - 162-179 Can profitable trading strategies be derived from investment best-sellers?
by C Brooks & W Chow & CWR Ward - 180-195 The prediction of earnings movements using accounting data: An update and extension of Ou and Penman
by R Bird & R Gerlach & AD Hall - 196-199 ‘The prediction of earnings movements using accounting data: An update and extension of Ou and Penman’ — A response
by D Damant
June 2001, Volume 2, Issue 1
- 5-7 Editorial
by B Maitra - 9-21 Strategic currency hedging
by A Dales & R Meese - 22-34 The optimal benchmark for a currency overlay mandate
by J Binny - 35-46 The search for a balanced hedge ratio policy
by B Lindenhovius & G de Vrij - 47-55 Views: Use and abuse
by A Muralidhar & P Pasquariello - 56-74 Trading style analysis of leveraged currency funds
by P Lequeux - 75-83 Empirical measures of liquidity — a new approach
by R Adams & R Williams & E Acar - 84-95 Measuring the degree of currency misalignment using offshore forward exchange rates: The case of the Korean Financial crisis
by D Park & C Rhee
April 2001, Volume 1, Issue 4
- 301-309 Editorial: Challenges and chances for European exchanges
by G Pozniak - 311-320 Index rebalancing and the technology bubble
by E Dimson & P Marsh - 321-343 Equity performance of segregated pension funds in the UK
by A Thomas & I Tonks - 344-365 Liquidity and best execution in the UK: A comparison of SETS and Tradepoint
by J Board & S Wells - 366-373 Marketing of hedge funds to German investors
by A Steck - 374-379 Active or passive?
by J J Mezrich & M S Rothman - 380-396 Does the expansion of Spanish firms into South America affect the price relations between the US and the Spanish stock markets?
by G Lozano-Arnica & B Pascual-Fuster
January 2001, Volume 1, Issue 3
- 213-214 Editorial
by K Coldiron - 217-230 A method of estimating changes in correlation between assets and its application to hedge fund investment
by R Spurgin & G Martin & T Schneeweis - 231-236 Constructing European property indices: Trends in European property shares
by H Op 't Veld - 237-244 Financial statements: The agony (of large changes and new complexities) and the ecstasy (of worldwide standards and better figures)
by D Damant - 245-256 Measuring the equity risk premium
by P Best & A Byrne - 257-266 The fallacy of large numbers revisited: The construction of a utility function that leads to the acceptance of two games, while one is rejected
by P de Brouwer & F van den Spiegel - 267-278 Distressed spreads for non-distressed bonds: Overcoming the stigma of ‘junk bonds’
by F Frick - 279-291 Persistence of UK real estate returns: A Markov chain analysis
by S L Lee & C W R Ward
September 2000, Volume 1, Issue 2
- 117-118 Editorial: With difficulty
by D Damant - 121-131 Constructing multinational macroeconomic factor models: Experience from Europe
by P Burns - 132-137 Optimal portfolio selection: The value at risk case
by R Bramante & B Cazzaniga - 138-150 A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction
by S Satchell & A Scowcroft - 151-171 Style analysis and performance evaluation of Spanish mutual funds
by J C Matallín Sáez & A Fernández Izquierdo - 172-195 Portfolio investment in emerging market economies: Trends, dimensions and issues
by D K Das - 196-206 Alpha transfer: Optimising the benefit of active management
by A R Harmstone
July 2000, Volume 1, Issue 1
- 5-5 Editorial
by S Satchell - 7-18 The manager beauty contest: Do the figures matter?
by S Beckers - 19-38 Benchmarks and indexing: A behavioural perspective
by H Shefrin - 39-59 Style and style analysis from a practitioner's perspective: What is it and what does it mean for European Equity investors?
by R Schwob - 60-71 Timing and diversification: Required information coefficients for tactical asset allocation
by N French & J W Kay & C W R Ward - 72-92 Performance of UK equity unit trusts
by G Quigley & R A Sinquefield - 93-109 Generalised style analysis of hedge funds
by V Agarwal & N Y Naik