Investors generally face inflation-linked obligations - a fact contributing to the popularity of TIPS and other inflation-linked bonds. With TIPS, one characterization of inflation, the Consumer Price Index, applies to all investors. Investors, however, face different flavors of inflation. To...

We study the relation between the percentage of outstanding shares held by a firm's largest institutional owner and the bid-ask spread on that firm's shares, a measure of information risk. We find that the greater the percentage of shares held by the largest institutional investor, the greater...

This paper demonstrates the dramatic effect of social security wealth on individuals' asset allocation. We first discuss why social security wealth should be included in portfolio asset-mix decisions. We then draw parallels between social security benefits and inflation-indexed treasury bonds to...

We examine relations between institutional ownership and quoted bid-ask spreads in general, and the adverse-selection component of the spread in particular. For our sample of Nasdaq stocks, we find that high institutional ownership leads to narrower spreads and spreads with a smaller proportion...

We examine whether market makers believe institutional trades are informed by examining relations between institutional ownership and quoted bid-ask spreads in general, and the adverse-selection component of the spread in particular. For our sample of Nasdaq stocks from 1983 through 1991, we...

Graphics distill and convey information. The clarity and power of the simple style box efficiently conveys two vital dimensions of investment style for equities-valuation and size. In promoting awareness of style variations, style boxes - Morningstar's particularly - have advanced investment...

I create a tool to help investors categorize an investment in a diversifying, alternative asset class. Using standard portfolio mathematics, I obtain a precise analytical solution to the proportion of the new investment that should be considered stock-like and the proportion that should be...

The behavioral asset allocation framework developed for individual investors can help foundation and endowment trustees become more comfortable with quot;uncomfortablequot; asset classes that would help overall portfolio efficiency. Eleemosynary investment, particularly at smaller charities, is...

While socially responsible investing (SRI) is large and growing, current SRI offerings have shortcomings - including style biases, excessive expenses, tracking error and an incomplete menu of screens. We propose using factor-based models in SRI-screened investment universes to create...