Socially responsible investors are similar to conventional investors in some ways but different in others. Like conventional investors, socially responsible investors want high returns and low risk, but socially responsible investors also want their portfolios to conform to their values, whether...

What do we know about socially responsible investments? What distinguishes socially responsible companies from conventional companies? Should investors expect socially responsible investments to yield higher or lower returns than conventional investments? What has been the performance of...

Hedge funds are often cited as attractive investments because of their diversification benefits and distinctive risk profiles - in contrast to traditional investments such as stocks and bonds, hedge-fund returns have more complex risk exposures that yield complementary sources of risk premia....

The need to develop securities market has, following the recent international financial crises increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong intertest in ensuring the stable growth of...

In this paper we investigate the risk return relationship of Private Equity (PE) relative to Public Market Equity (PM) investments to assess the adequateness of PE's return premium. We analyze cash flows of PE projects gross of fees and any other externalities. Our analysis is based on simulated...

We catalog the complete contents of All-American Analyst reports and examine the market reaction to their release. Including the justifications supporting an analyst's opinion reduces, and in some models eliminates, the significance of earnings forecasts and recommendation revisions. Analysts...

This paper assesses the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. Our contribution to the fixed income VaR literature is twofold in terms of the chosen interest rate process, and the method (Principal Components...

The term structure of interest rates gives the relationship between the yield on an investment and the term to maturity of the investment. Since the term structure is typically measured using default-free, continuously-compounded, annualized zero-coupon yields, it is not directly observable from...

In a recent paper, NBZ [2010] present a multidimensional transform for generating path-independent trees for pricing American options under low dimensional stochastic volatility models. For this class of models, this approach has higher accuracy than the GARCH tree method of Ritchken and Trevor...

This paper reviews the recent literature on CAPM and APT, and reaches a surprising conclusion. While APT died a silent death, CAPM's progeny is alive and well! We provide a short review of the recent literature on the conditional CAPMs, intertemporal CAPMs, and higher-order Co-Moments-based...