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Full-Text Articles in Business
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.
Major League Baseball: What Really Puts Fans In The Stands?, Ladd Kochman
Major League Baseball: What Really Puts Fans In The Stands?, Ladd Kochman
Ladd Kochman
Attendance at Major League Baseball games has long been thought to be a function of the uncertainty of a game's outcome. Optimal uncertainty and, in turn, maximal attendance are said to occur when there is a 60% chance that the home team will win. This study reexamined the data used by past researchers and found that the betting odds associated with a 60% probability of winning (7-8) are more consistent with outcome certainty than with the accepted conclusion of outcome uncertainty. One explanation for the counterintuitive finding may be that it simply costs too much to attend a MLB game …
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 …
So Easy A Caveman Can Beat The Football Betting Market, Ladd Kochman
So Easy A Caveman Can Beat The Football Betting Market, Ladd Kochman
Ladd Kochman
No abstract provided.
Sell In May And Go Away Revisited, Ladd Kochman
Football Market Efficiency And Contrary Opinion, Ladd Kochman
Football Market Efficiency And Contrary Opinion, Ladd Kochman
Ladd Kochman
No abstract provided.
Betting On Market Efficiency: A Note, Ladd Kochman
Market Efficiency And The Big ‘Dog Bias, Ladd Kochman
Market Efficiency And The Big ‘Dog Bias, Ladd Kochman
Ladd Kochman
No abstract provided.
Basketball Betting And The Embarrassment Hypothesis: A Note, Ladd Kochman
Basketball Betting And The Embarrassment Hypothesis: A Note, Ladd Kochman
Ladd Kochman
No abstract provided.
Is Market Volatility Illusory? A Brief Response, Ladd Kochman
Is Market Volatility Illusory? A Brief Response, Ladd Kochman
Ladd Kochman
No abstract provided.
Performance Appraisal And Football Point Spreads, Ladd Kochman
Performance Appraisal And Football Point Spreads, Ladd Kochman
Ladd Kochman
No abstract provided.
The Halloween Effect: An Enduring Market Anomaly, Ladd Kochman
The Halloween Effect: An Enduring Market Anomaly, Ladd Kochman
Ladd Kochman
No abstract provided.
Falling Knives: Extreme Value Investing, Ladd Kochman
Falling Knives: Extreme Value Investing, Ladd Kochman
Ladd Kochman
No abstract provided.
Summarizing Annualized Returns: Easier Said Than Done, Ladd Kochman
Summarizing Annualized Returns: Easier Said Than Done, Ladd Kochman
Ladd Kochman
No abstract provided.
Index Funds For Sports Bettors: Taking A Cue From Wall Street, Ladd Kochman
Index Funds For Sports Bettors: Taking A Cue From Wall Street, Ladd Kochman
Ladd Kochman
No abstract provided.
Performance Evaluation: Another Use Of Point Spreads?, Ladd Kochman
Performance Evaluation: Another Use Of Point Spreads?, Ladd Kochman
Ladd Kochman
No abstract provided.
Behavioral Finance And Football Betting, Ladd Kochman
Behavioral Finance And Football Betting, Ladd Kochman
Ladd Kochman
No abstract provided.
An Under Bias In The Football Betting Market: Fact Or Fiction?, Ladd Kochman
An Under Bias In The Football Betting Market: Fact Or Fiction?, Ladd Kochman
Ladd Kochman
No abstract provided.
The Nonsubstitutability Of Market Indices And Other Shortcomings Of Beta Estimation, Ladd Kochman
The Nonsubstitutability Of Market Indices And Other Shortcomings Of Beta Estimation, Ladd Kochman
Ladd Kochman
No abstract provided.
The Home Field Disadvantage: A Test Of Football Market Efficiency, Ladd Kochman
The Home Field Disadvantage: A Test Of Football Market Efficiency, Ladd Kochman
Ladd Kochman
No abstract provided.
Market Efficiency And The Arena Football League: A Note, Ladd Kochman
Market Efficiency And The Arena Football League: A Note, Ladd Kochman
Ladd Kochman
No abstract provided.
The Predictiveness Of An Embarrassing Loss: A Test Of Basketball Market Efficiency, Ladd Kochman
The Predictiveness Of An Embarrassing Loss: A Test Of Basketball Market Efficiency, Ladd Kochman
Ladd Kochman
No abstract provided.
Market Efficiency And The Women’S Nba, Ladd Kochman
Market Efficiency And The Women’S Nba, Ladd Kochman
Ladd Kochman
No abstract provided.
Hockey Market Efficiency: New Evidence, Ladd Kochman
Hockey Market Efficiency: New Evidence, Ladd Kochman
Ladd Kochman
No abstract provided.
Going Public And The Enrichment Of A Supportive Network: Some Evidence From Italian Initial Public Offerings, D. Ravasi, Gaia Marchisio
Going Public And The Enrichment Of A Supportive Network: Some Evidence From Italian Initial Public Offerings, D. Ravasi, Gaia Marchisio
Gaia Marchisio
No abstract provided.
Mutual Fund Standard Deviations: Confusion, Ladd Kochman
Mutual Fund Standard Deviations: Confusion, Ladd Kochman
Ladd Kochman
No abstract provided.