I have collected together 10 results concerning marginal distributions, joint distributions, univariate normality, bivariate normality, correlation and independence. Some of these results are well known, but some are relatively unknown. My experience has been that no single source presents more...

I present a simple mathematical model of mutual fund outperformance in terms of the information ratio (IR), that is, a Sharpe ratio in active space. The strength of the model is that it can be used to deduce the likelihood of K-year persistence as a function of IR, either in time series for a...

The dramatic increase in the importance of U.S. dividends since 2001 means that financial analysts may soon demand access to updated dividend discount models (DDMs). To address this need, we introduce a new “super annuity formula” that can be used in the modular construction of...

Limit order markets are a common method for trading stocks based on the use of a limit order book to represent buy and sell orders. The issue of market manipulation is a fundamental concern both in terms of market integrity and the ability to detect manipulation cases by market authorities. This...

Neither existing theory nor prior empirical work can tell us the impact of non-normality on required sample sizes for Student-t tests of the mean in U.S. stock returns. Prior empirical work and bounds from a modified Berry-Esseen theorem do suggest, however, that the answer should vary with...