- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Journal Article
Long-Only Style Investing: Don't Just Mix, Integrate
June 30, 2016
We contrast two common approaches to long-only style investing: the “portfolio mix” and the “integrated portfolio.” Our results suggest that long-only factor or smart beta investors should consider integrating styles in portfolio construction.
Journal Article
Deactivating Active Share
January 6, 2016
The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.
Journal Article
Modelling the Asset-Allocation and Liability Strategy for Canada’s Foreign Exchange Reserves
April 2, 2013
The 2007‒2009 global financial crisis led to rapid accumulation of foreign reserves in both developed and emerging countries and triggered discussions of how these reserves should be managed.
Journal Article
Decoding Inside Information
May 21, 2012
The authors employ a simple empirical strategy to identify “opportunistic” insider trading — that is, purchases or sales by traders with favored access to private information about the given firm — and conclude that portfolio strategy that focuses solely on “opportunistic” traders yields value-weighted abnormal returns of 82 basis points per month.
Working Paper
Is Bigger Better? Size and Performance in Pension Plan Management
June 1, 2011
Using a proprietary dataset, we examine the relationship between size and performance of asset management within defined benefit pension plans. We find a larger plan size is associated with better performance of the entire pension plan portfolio.
Working Paper
Investing in Disappearing Anomalies
December 1, 2013
It is important to allow for a prolonged decay when studying anomalies or their impact on portfolio choice. We propose a framework for modeling anomalies that specifically allows for a gradual disappearance.
Working Paper
Acting on the Most Valuable Information: “Best Idea” Trades of Mutual Fund Managers
March 17, 2009
This paper proposes an ex ante proxy for the ranking of mutual fund trades. We find that the most attractive trades—the “best ideas"—beat the benchmarks by up to about 0.30% per month and outperform other fund trades by even higher margins.
Working Paper
Follow the Leader: Peer Effects in Mutual Fund Portfolio Decisions
February 1, 2009
This paper demonstrates that mutual funds “follow the leaders"—Trades of well-performing funds are statistically and economically important determinants of subsequent portfolio decisions of the remaining managers.
Journal Article
Initiating Bargaining
June 9, 2011
The authors use a unique data set — more than 1,200 high-stakes poker tournaments — to investigate whether the success of bargaining and the agreed upon terms depend on the characteristics of the person who initiates negotiations (the "initiator").