We investigate how shareholder trading practices might be linked to corporate investment horizons. We examine two possible linkages and analyze a range of data relevant to them. The first is excess volatility, which occurs when stock prices react not only to news about economic fundamentals, but...

Fundamental indexers argue that capitalization weighting is an inferior investment strategy because it necessarily invests more in overvalued stocks and less in undervalued stocks. This article shows that this claim is false. Capitalization weighting does not, by itself, create a performance drag

SUBJECT AREAS: equity index funds, total return swaps, index-linked notes, index futures, implementation costs (transaction costs, custody fees, withholding taxes), portable alpha.CASE SETTING: 1992, U.S.SYNOPSISBEA's enhanced index fund product uses derivatives and cash market securities to...

This paper examines the basic mechanisms in the financial system that function to manage the risks and costs associated with the clearing and settlement of securities transactions. Transactions risk arises because of failure to consummate a trade, perhaps because the buyer could not arrange...

SUBJECT AREAS: Insurance, Investment management, Personal finance, Risk, Risk management.In May 2006, a resident of Key West, FL had to decide whether to renew his policy to insure against hurricane damage. The policy would cost $13,000 for one year, $5,000 more than what he paid in 2005. At the...

We document a large decrease in autocorrelation and increase in variance of recent short-run returns on several broad stock market indexes, over the 1983-89 period, 15-minute returns went from being highly positively serially correlated to practically uncorrelated. Over the past twenty years,...

Dollarama is the leading operator of dollar stores in Canada. The firm performed extraordinarily well after a leveraged buyout in 2004, and recently executed a highly successful IPO. The company sources its goods primarily from Asia. It has strong brand recognition and competitive advantages in...