This paper empirically examines the extent to which some of the different performance measures developed in the literature provide different evaluations of performance. It also examines how robust these performance scores are to the vhoice of benchmark portfolio. An analysis of 109 passive...

This paper argues that liquidity differences between government securities and short term Eurodollar borrowings account for interest rate swap spreads. It then models liquidity as a linear function of two mean- reverting state variables and values it. The interest rate swap spread for a swap of...

Prior experimental and empirical research documents that many investors have a lower propensity to sell those stocks on which they have a capital loss. This behavioral phenomenon, known as \the disposition effect," has implications for equilibrium prices. We investigate the temporal pattern of...

A model of security design based on the principle of information aggregation and alignment is used to show that (i) firms needing to finance their operations should issue different securities to different groups of investors in order to aggregate their disparate information and (ii) each...

This paper empirically examines the Jensen Measure, the Positive Period Weighting Measure, developed in Grinblatt and Titman (1987a), measures developed from the Treynor-Mazuy (1966) quadratic regression on a sample 179 mutual funds, using a variety of benchmark portfolios. We find that the...

This study analyzes the automobile purchase behavior of all residents of two Finnish provinces over several years. It finds that a consumer's purchases are strongly influenced by the purchases of his neighbors, particularly purchases in the recent past and by neighbors who are geographically...

This paper parsimoniously characterizes how past returns affect the cross-section of expected returns. Using Fama-MacBeth regressions, it shows that the momentum and reversals associated with past returns over various horizons are strongly affected by a turn-of-the-year seasonal that differs for...

An analysis of Finnish investors’ stock trades shows that they realize losses more than gains towards the end of December. Moreover, they repurchase the same stocks recently sold. The repurchase rate depends on loss magnitude, firm size, and how late in the year the sale takes place. This...