Purpose – The purpose of this paper is to introduce a non-normality premium (NNP) to identify the extra return that will compensate an investor for a non-normal return distribution. The NNP quantifies the economic significance of non-normality to complement a statistical significance test of...

Purpose – The purpose of this paper is to examine operating characteristics, risk and performance measures of all available vehicles for index investing in US bond funds during the 15-year period from April, 1994 to March, 2009. The results shed light on the important issue of bond index...

PPurpose – The purpose of paper is to provide students with a sorting methodology to select securities and build portfolios. Design/methodology/approach – This paper uses various accounting variables for all firms in the S&P 500, sorted by sector. The fundamental metrics are converted into...

Purpose – The purpose of this study is to develop an investment strategy designed both to enable student-managed investment fund (SMIF) students to more quickly build out their portfolio at the beginning of the academic year and to give them some exposure to quantitative approaches to...

Purpose – The purpose of this paper is to investigate green exchange-traded funds (ETFs) and propose a market-wide proxy for green returns and a green volatility factor. Design/methodology/approach – Identifying a unique sample of green funds, this paper investigates the time-series behavior...

Purpose -The purpose of this paper is to examine the value of active fund management using a sample of hybrid mutual funds. Design/methodology/approach - Instead of using traditional risk-adjusted measures, the paper employs an alternative attribution return methodology where the actual monthly...

Purpose –To examine the rationale for the investment principles adopted by faith-based funds from a biblical perspective and to evaluate the performance of faith-based ethical funds. Design/methodology/approach - A multi-factor Carhart model is applied to examine the risk-adjusted financial...

Purpose – The purpose of this paper is to examine how board compensation and holdings are related to mutual fund expense ratios. Previous studies find that compensation and expense ratios are positively correlated and argue that this relationship is potential evidence of rent sharing, whereby...

Purpose – This study seeks to examine the market returns of five domestic real estate investment trust (REIT) indices to determine whether they exhibit a turn-of-the-month (TOM) effect. Design/methodology/approach -A test is carried out for the TOM effect by employing a battery of parametric...

Purpose – This study aims to look into how volatility significantly impacts the tracking error for daily-rebalanced leveraged bull and bear ETFs. Design/methodology/approach – Using Morningstar return data and Chicago Board Options Exchange (CBOE) volatility index (VIX) data, the paper...