This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...

Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium feedback effects of lumpy investments on optimal...

The Sharpe ratio is adequate for evaluating investment funds when the returns ofthose funds are normally distributed and the investor intends to place all his risky assetsinto just one investment fund. Hedge fund returns differ significantly from anormal distribution. For this reason, other...

Data envelopment analysis (DEA) is a nonparametric method from the area of operationsresearch that measures the relationship of produced outputs to assignedinputs and determines an efficiency score. This efficiency score can be interpretedas a performance measure in investment analysis. Recent...

This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...

Performance fees for portfolio managers are designed to align the managers' goals withthose of the investors and to motivate managers to aquire "superior" information and tomake better investment decisions. A part of the literature analyzes performance fees on thebasis of market valuation. In...

This paper argues that book-to-market and size attributes represent sensitivities of firm returns to several risk factors, and in so doing they subsume the information in other attributes.

We study a number of large international military conflicts sinceWorld War II where we establish a news analysis as a proxy for theestimated likelihood that the conflict will result in a war. We findthat in cases when there is a pre-war phase, an increase in the warlikelihood tends to decrease...

In this paper, we investigate the German stock market with regard to negative stubvalues or parent company puzzles. These are situations where a firms marketvalue is less than the value of its ownership stake in a publicly traded subsidiary.According to MITCHELL/PULVINO/STAFFORD (2002), negative...

Recent studies suggest that the correlation of stock returnsincreases with decreasing geographical distance. However, there is some debateon the appropriate methodology for measuring the effects of distanceon correlation. We modify a regression approach suggested in the literatureand complement...