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Full-Text Articles in Business
Two Essays In Finance: “Selection Biases And Long-Run Abnormal Returns” And “The Impact Of Financialization On The Benefits Of Incorporating Commodity Futures In Actively Managed Portfolios”, Ramesh Adhikari
University of New Orleans Theses and Dissertations
This dissertation consists of two essays. First essay investigates the implications of researcher data requirement on the risk-adjusted returns of firms. Using the monthly CRSP data from 1925 to 2013, we present evidence that firms which survive longer have higher average returns and lower standard deviation of annualized returns than the firms which do not. I further demonstrate that there is a positive relation between firms’ survival and average performance. In order to account for the positive correlation between survival and average performance, I model the relation of survival and pricing errors using a Farlie-Gumbel-Morgenstern joint distribution function and fit …
Time Diversification: Tool, Fallacy Or Both?, Ladd Kochman, Randy Goodwin
Time Diversification: Tool, Fallacy Or Both?, Ladd Kochman, Randy Goodwin
Ladd Kochman
It seems fair to conclude that time diversification is more nearly a fallacy than a tool. Total periodic returns based on random annual outcomes expose the practice of diversifying with time not only as unproductive but as extremely risky as well. Yet, as the contrived distribution of alternating returns of 30% and -10% demonstrated, it is impossible to completely reject the idea that risk can actually decrease over time.