In this paper, we report the first empirical tests concerning the international investment strategies of a panel of investment houses from 1982 through 1999. The previously untapped data for this study comes from surveys published in the Financial Report, a confidential newsletter purchased by...

We introduce a decomposition showing precisely how actively-managed portfolio returns can be separated into three measurable components that we call Opportunity, Foresight, and Active Management Risk. Opportunity reflects the degree to which the investment opportunity set contains exploitable...

A central question in finance is how to measure portfolio performance. We assert that foresight (i.e., the ability of managers to forecast relative returns) and commitment (i.e., the aggressiveness with which managers act on their foresight) are necessary ingredients to generate portfolio...

This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993)....

The existence and implications of asymmetric information in financial markets have been the subject of extensive research in the finance literature. Two of the major propositions in this literature are that (1) corporate insiders take advantage of asymmetric information by trading on their...

Recent studies of portfolio performance have separately introduced the use of portfolio holdings and conditioning information. This paper combines these innovations to create a new performance measure. Our conditional weight-based measure has several advantages. By using conditioning...

This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993)....

Hallerbach (2004) derives an approximation formula to compute a Black-Scholes implied volatility. This formula is equivalent to equation (7) in Corrado and Miller (1996a), with the substitution of a geometric average of stock and strike prices in place of an arithmetic average. Ceteris paribus...