This paper examines properties of mean-variance inefficient proxieswith respect to producing a linear relation between expected returnsand betas. The numerical results of a Monte Carlo simulation showthat in the CAPM slightly inefficient, positively weighted proxies causean almost perfect linear...

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...

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...

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...

We present a regression-based generalization of the calendar time portfolio approach which allows for decomposing the risk-adjusted performance of private investors (or firms or mutual funds) into multivariate and continuous subject characteristics. Our technique remedies several well-known...

This paper empirically investigates the impact of both the first release of analysts' stock recommendations to a limited clientele and the subsequent dissemination of the same information in a major newspaper to a broader audience. For a sample of 1460 stock recommendations published in FuW,...

This paper presents an integrated analysis of the relationships between managerial share ownership (or alternatively the percentage of equity-based compensation), four additional corporate governance mechanisms, and firm value by explicitly incorporating the simultaneity of the process...

Einleitung: In der zweiten Hälfte der neunziger Jahre ist die Verbesserung der CorporateGovernance börsennotierter Gesellschaften zu einem intensiv diskutiertenThema geworden. Im Unterschied zu früheren Debatten, wie sie vor etwazwanzig Jahren anlässlich der Arbeit von Jensen/Meckling (1976)...

The doctoral thesis of Louis Bachelier (1900) is widely considered as the seminal work inoption pricing theory. However, only a few years later, 1908, Vinzenz Bronzin, who wasa professor of actuarial science at the Accademia di Commercio e Nautica in Trieste,published a booklet (in German) on...

Recent empirical work shows evidence of a positive relationship between firm-specific corporate governance and firm valuation. Instead of looking at a single control mechanism, we use a broad corporate governance index and additional variables related to ownership structure, board...