Particularly since the passage of ERISA, institutional investors have increasingly been willing to consider potential investments that traditionally have been considered highly speculative. Indeed, some institutional investors now routinely use options and futures, instruments that formerly were...

Previous estimates of a "size effect" based on daily returns data are biased. Several properties of quoted closing prices impart an upward bias to computed returns on individual stocks. Returns computed for buy-and-hold portfolios largely avoid the bias induced by closing prices. Based on such...