It is shown that the ML estimates of the popular GARCH(1,1) model are significantly negatively biased in small samples and that in many cases converged estimates are not possible with Bollerslev's non-negativity conditions. Results also indicate that a high level of persistence in GARCH(1,1)...

In this paper, we propose the average <italic>F</italic>-statistic for testing linear asset pricing models. The average pricing error, captured in the statistic, is of more interest than the <italic>ex post</italic> maximum pricing error of the multivariate <italic>F</italic>-statistic that is associated with extreme long and short positions and...

Thus paper reports on an investigation into what is an appropriate level of investment management fees. Existing results are extended and several formulae are provided for the case of power utility and normal returns. Using the CRRA utility function with the range of the coefficient of the CRRA...