Portfolio and Security Analysis Commons^™

Asset Prices And Information Traders’ Abilities: Evidence From Experimental Asset Markets, Lucy F. Ackert, Bryan K. Church, Ping Zhang

Faculty Articles

This study reports the results of fifteen experimental asset markets designed to investigate the effects of forecasts on market prices, traders’ abilities to assess asset value, and the link between the two. Across the fifteen markets, the authors investigate alternative forecast-generating processes. In some markets the process produces an unbiased estimate of asset value and in others a biased estimate. The processes generating the biased forecasts, though, are less variable than the process generating the unbiased forecast. The authors find that, in general, periodend asset price reflects private forecasts, regardless of the forecast-generating process. Subsequently, they investigate whether traders’ abilities …

Advanced Portfolio Theory: Why Understanding The Math Matters, Tom Arnold

Finance Faculty Publications

The goal of this paper is to motivate the use of efficient set mathematics for portfolio analysis [as seen in Roll, 1977] in the classroom. Many treatments stop at the two asset portfolio case (avoiding the use of matrix algebra) and an alarming number of treatments rely on illustration and templates to provide a heuristic sense of the material without really teaching how efficient portfolios are generated. This is problematic considering that the benefits of understanding efficient set mathematics go beyond portfolio analysis and into such topics as regression analysis (as demonstrated here).

Investing In Hedge Funds: Risks, Returns And Pitfalls, Francis Koh, Winston T. H. Koh, David Kuo Chuen Lee, Kok Fai Phoon

Research Collection Lee Kong Chian School Of Business

Hedge funds are collective investment vehicles fast becoming popular with high net worth individuals as well as institutional investors. These are funds that are often established with a special legal status that allows their investment managers a free hand to use derivatives, short sell, and exploit leverage to raise returns and cushion risk. Given that that they have substantial latitude to invest, it is instructive to examine the performance of hedge funds compared to other forms of managed funds. This paper provides an overview of hedge funds and discusses their empirical risk and return profiles. It also poses some concerns …

The Search For Stock Market Bubbles: An Examination Of The Nyse Index, Andrew J. Economopoulos, Avinash G. Shetty

Business and Economics Faculty Publications

Many have put forth reasons why the stock market has climbed to new and unprecedented heights. Two reasons are examined: (1) investors are expecting prices to increase and are bidding up price irrationally; (2) investors have moved to a long-term strategy and are requiring a lower risk premium. For the latter reason, the rise in stock prices is due to a change in the fundamentals, and for the former reason the rise represents the classical bubble. The evidence indicates that risk preferences have changed while price momentum does not appear during bubble periods.

An Assessment Of Air Force Development Portfolio Management Practices, Michael A. Greiner, Kevin J. Dooley, Dan L. Shunk, Ross T. Mcnutt

Faculty Publications

Selecting and managing development project portfolios is a critical function within the Air Force’s weapon systems development process. Decision makers must weigh benefits, costs, and mission needs for a variety of proposed new initiatives and current weapon systems programs in order to develop an effective portfolio that provides the best value to the User. This research examines current Air Force development portfolio management practices as perceived by those involved with the decision making process. Research findings indicate several gaps between Air Force practices and those commercial best practices as found in the literature. A general approach for bridging the differences …

Sampling Concepts, Paul Boyd, Ph.D.

MBA Faculty Conference Papers & Journal Articles

The usefulness of any research is dependent upon how well the group studied represents the group about which decisions are to be made or conclusions drawn. That is, it depends upon how well the sample reflects relevant characteristics of the population. When it is possible to study every member of that group there is no problem, for on these occasions we can easily calculate the exact attribute (parameter) of interest for our population.

For example, if we were interested in determining the average number of gallons of gasoline sold to customers at our service station yesterday, we …

Diversification Benefits From Foreign Real Estate Investment, C. Mitchell Conover, H. Swint Friday, G. Stacy Sirmans

Finance Faculty Publications

Previous research has questioned the stability of international equity diversification. This study examines whether foreign real estate exists in a more segmented market and whether foreign real estate provides any diversification benefit beyond that obtainable from foreign stocks. Using data encompassing the stock market crash of 1987, foreign real estate was found to have a lower correlation with U.S. stocks than foreign stocks. This lower correlation is shown to be stable through time as foreign real estate has a lower correlation in nearly the entire time period. Foreign real estate was also found to have a significant weight in efficient …

Evidence Of Short-Run Persistence In Unit Trusts Performance In Malaysia, Chien Hwa Chong, Puay Eng Kho

Student Works (2000-2009)

The objective of this research is to determine whether there is statistical evidence in performance persistence of Malaysia unit trusts. Tests for performance persistence is also tests for weak form market efficiency of unit trusts in Malaysia. The study is also of practical value since performance persistence indicates that past performance is good prediction of future performance. If there was statistical evidence on performance persistence, then Investors should select the unit trusts to invest based on past performance of the unit trusts. Both parametric and non-parametric statistical tests were carried out to test for performance persistence. Parametric tests employed the …

A Study Of Benjamin Graham's Stock Selection Criteria In The Kuala Lumpur Stock Exchange, Lee Fah Thong

Student Works (2000-2009)

The fundamentalists believe that all securities have an intrinsic value, which can differ from its market price and eventually. the market price of a security will gravitate towards its true value. Graham believed that even though securities market could be overall efficient. any conscientious investor could gain superior returns through pockets of inefficiencies by paying close attention to investment fundamentals and taking advantage of undervaluation and mispricing of individual securities. He also proposed ten selection criteria to identify underpriced securities. The study aims to investigate whether the portfolios formed using Grahams selection criteria could achieve superior performance in the Kuala …