Active Vs. Index: The Liquid Alternative Strategies Game Heats Up Joanne Hill Hedge Fund Indexation And Replication Marc Freed Building An LBO Index Jeff Hooke and Ted Barnhill The Half-Life Of Smart Beta Elisabeth Kashner Plus an interview with the CIO of the LSU Foundation, Blitzer on the importance of liquidity, Edhec’s Amenc and Goltz on smart-beta criticisms, Ossiam’s Rulik on rebalancing ...

We establish two previously undocumented patterns in the purchase selections of individual investors and confirm a related pattern. These patterns hinge on investors’ previous experience with a stock. We demonstrate that investors prefer to (1) repurchase stocks that they previously sold for a gain, (2) repurchase stocks that have lost value subsequent to a prior sale, and (3) purchase addition...

This paper presents an equilibrium model of the term structure of interest rates when investors have heterogeneous preferences. The basic model considers a pure exchange economy of two classes of investors with different (but constant) relative risk-aversion and gives closed-form solutions to bond prices. We sue the model to examine the effect of preference heterogeneity on the behavior of bond...

The terms of the Fellowship require that I organize a conference related in someway to ethics and business leadership, a rather broad and open-ended mandate. I think the importance of corporate governance in American public companies is clearly related to ethics and business leadership. And I would also say that the complex and rapidly evolving role of institutional owners will see a great deal...

Green investing, or socially responsible investing (SRI), which refers to making investment decisions according to both financial and ethical criteria, has become increasingly popular in recent years. This paper explores the effects of ethical screening on the investment decisions of firms that fail the screen (’polluting’ firms) and on their decisions to reform so as to pass the screen. The pa...

Entrepreneurs may undertake investments when returns cannot be precisely evaluated: they are decisive. Lenders may require high compensation to place funds in those ventures: they are cautious. We analyze optimal ̄nancing contracts between entrepreneurs and lenders. Decisiveness and cautiousness are characterized using Bewley's (1986) incomplete preferences framework. Preferences are represente...

Trading volume on the world’s markets seems high, perhaps higher than can be explained by models of rational markets. For example, the average annual turnover rate on the New York Stock Exchange (NYSE) is currently greater than 75 percent and the daily trading volume of foreign-exchange transactions in all currencies (including forwards, swaps, and spot transactions) is roughly one-quarter of t...

I nterest in foreign investment has been high among U.S. investors in recent years. The unprecedented growth of 401k pension plans has greatly increased the number of people who must make their own investment decisions in planning for their retirement. Many investors know that geographic diversification can improve investment returns without increasing risk. However, whether or not to invest ab...

the purpose of this research is to evaluate the ability of mutual funds investors to forecast the performance of mutual funds and selecting the best performed funds. it should be mentioned that both individual and institutional investors have been evaluated in this study. in order to answer the question whether the investors have the ability to forecast the performance of mutual funds or not, w...

Empirical studies show that individual investors do not always behave rationally and do not use standard investment portfolio selection tasks. In this paper we focus on investor choices and the basic elements affecting them. The paper presents optimization model based on a measure of investor satisfaction. The model is created on the basis of surveys conducted among Polish individual investors....