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Articles 1 - 13 of 13
Full-Text Articles in Finance and Financial Management
Fragmentation And Consolidation Of Dark Order Books, Julia Henker, Thomas Henker, Jay Majtyka
Fragmentation And Consolidation Of Dark Order Books, Julia Henker, Thomas Henker, Jay Majtyka
Thomas Henker
No abstract provided.
Is It Time To Reconsider The Semivariance Again? A Note, Ladd Kochman
Is It Time To Reconsider The Semivariance Again? A Note, Ladd Kochman
Ladd Kochman
Building on the assumption that stock returns are less-than-symmetric, the semivariances (SV) are computed for 14 domestic and foreign stock indices as well as their respective arithmetic means (AM) and standard deviations (SD) and hypotheses that the correlation between SVs and AMs will be both positive and greater than the correlation between SDs and AMs.
Falling Knives: Extreme Value Investing, Ladd Kochman, James Tompkins
Falling Knives: Extreme Value Investing, Ladd Kochman, James Tompkins
Ladd Kochman
We identified 979 stocks with year-ending losses of 60 percent or more during the 1993-2002 period. Post-fall returns extended our analysis through 2005. Unlike previous research, we screened our "falling knives" for financial strength to promote a greater likelihood of recovery and minimize any survivorship bias. When we added the constraint of Altman Z-Scores > 3.0, our data set shrank to 790 stocks and produced two-year and three-year average annual returns that tripled their market counterparts.
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.
Portfolio Evaluation, Downside Risk And An Anomaly, Ladd Kochman
Portfolio Evaluation, Downside Risk And An Anomaly, Ladd Kochman
Ladd Kochman
Owing to the developments in portfolio theory in the 1960s, the evaluation of portfolio performance has evolved from a return-only mentality to a process that makes risk no less important than return. Earliest efforts to combine the two dimensions into a single (or composite) measure belong to Treynor (1965) and Sharpe (1966), who suggested dividing a portfolio's return in excess of the risk-free rate by the portfolio's bets and standard deviation, respectively. When Fama (1972) recommended that portfolios pay premiums that capture both market and diversification risk, he was implicitly asking whether Jensen's (1968) use of beta sufficiently measures the …
Securities Market Efficiency And The Reigning Super Bowl Champions, Ladd Kochman
Securities Market Efficiency And The Reigning Super Bowl Champions, Ladd Kochman
Ladd Kochman
The vulnerability of stock prices has long intrigued investors and researchers. Beating the market has an inescapable appeal. The overwhelming evidence that regular above average returns are denied to all but those with inside information has not slowed efforts to find market errors or tap into profitable trends. One reason for hope is that past studies have never truly resolved how long securities must be held before a particular trading strategy can be measured. Pankoff has proposed that the market for bets on National Football League games can serve as a proxy for the securities market. Examining recent studies using …
The Why And How Of Mutual Fund Standard Deviations, Ladd Kochman, Randy Goodwin
The Why And How Of Mutual Fund Standard Deviations, Ladd Kochman, Randy Goodwin
Ladd Kochman
To the interested observer, mutual fund standard deviations raise two tantalizing questions: Are standard deviations relevant when funds, by definition, eliminate the unsystematic component of total risk? and How can two respected giants in the investments field like Fidelity and Morningstar use the same returns, intervals and measurement period for the same fund and end up with glaringly different standard deviations? To answer the question of relevance, we recall Evans and Archer's (1968) argument that as much as 90 percent of a portfolio's unsystematic risk can be diversified away with 12 to 18 stocks. Since that diversifiable risk is a …
New Ventures: Control Of Risks Through Strategies, Simone Kelly, Raymond Mcnamara
New Ventures: Control Of Risks Through Strategies, Simone Kelly, Raymond Mcnamara
Ray McNamara
This paper uses case studies and interview data to explore the relationship between control and new venture success/survival. A model of the new venture control process is distilled and explored in six new venture cases. The control processes were traced through an examination of the everyday language of venture principals to determine a grounded lower order model. Integrating these models into contingency theory locates strategic risk reduction choices as the crucial link between contingent variables and organizational control packages. In this sense the process of organizing is seen as a tiered process of risk reduction: successful firms analyze and control …
New Ventures: Control Of Risks Through Strategies, Simone Kelly, Raymond Mcnamara
New Ventures: Control Of Risks Through Strategies, Simone Kelly, Raymond Mcnamara
Simone Kelly
This paper uses case studies and interview data to explore the relationship between control and new venture success/survival. A model of the new venture control process is distilled and explored in six new venture cases. The control processes were traced through an examination of the everyday language of venture principals to determine a grounded lower order model. Integrating these models into contingency theory locates strategic risk reduction choices as the crucial link between contingent variables and organizational control packages. In this sense the process of organizing is seen as a tiered process of risk reduction: successful firms analyze and control …
Retail Investor Preferences And The Idiosyncratic Volatility Puzzle, Julia Henker, Thomas Henker, Deborah Tan
Retail Investor Preferences And The Idiosyncratic Volatility Puzzle, Julia Henker, Thomas Henker, Deborah Tan
Thomas Henker
We explain the negative relation between idiosyncratic volatility and future stock returns observed by previous researchers. We argue that, based on the observation described in prospect theory, retail investors prefer stocks with a high level of idiosyncratic volatility and are consequently willing to overpay for those stocks. In support of our argument, we find that the negative idiosyncratic-volatility return relation is present in the Australian market, and that this relation is affected by the magnitude of retail trading. The relation is particularly strong when returns and realized volatility are measured at a daily frequency.
When Less Is More: The Benefit Of Limits On Executive Pay, Peter Cebon, Benjamin Hermalin
When Less Is More: The Benefit Of Limits On Executive Pay, Peter Cebon, Benjamin Hermalin
Peter Cebon
We derive conditions under which limits on executive compensation can enhance efficiency and benefit shareholders (but not executives). Having their hands tied in the future allows a board of directors to credibly enter into relational contracts with executives that are more efficient than performance-contingent contracts. This has implications for the ideal composition of the board. The analysis also offers insights into the political economy of executive-compensation reform.
Determinants Of Acquirer-Target Distance In M&A, Bumseok Chun, Taenyun Kim
Determinants Of Acquirer-Target Distance In M&A, Bumseok Chun, Taenyun Kim
Bumseok Chun
No abstract provided.
Discussions On Long-Term Financial Choice, Kuan Kiat Cheah, Douglas F. Foster, Richard Heaney, Timothy Higgins, Barry Oliver, Terry O'Neill, Roslyn Russell
Discussions On Long-Term Financial Choice, Kuan Kiat Cheah, Douglas F. Foster, Richard Heaney, Timothy Higgins, Barry Oliver, Terry O'Neill, Roslyn Russell
Terry O'Neill