Reviews the book 'Financial Analysis and Corporate Strategy,' by Mark Grinblatt and Sheridan Titman.

In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...

This paper presents a capital asset pricing model in the presence of asymmetric information and transaction costs. The model is a generalized version of Merton's (1987) model and Black's (1974) model. Empirical tests show a negative relation between the expected rate of return and the shadow...

Asset allocation contribution to ex-post performance is of primary importance. Nobody denies its role, yet the subject of allocating assets remains controversial. To some contenders, the added value stems only from strategic asset allocation which aims at providing the long-term average exposure...

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is generally obtained through the use of the Kreps–Yan theorem.This paper deals with the validity of this theorem (see Kreps, D.M., 1981. Arbitrage and equilibrium in economies...

This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and inflation. The contribution of the paper is to derive and...

In this paper, we use online search engines and archive collections to examine the popularity of socially responsible investing (SRI) in newspapers and academic journals. A simple content analysis suggests that most of the papers on SRI focus on financial performance. This profusion of research...

The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo...