This paper develops a novel framework for characterizing firms with respect to their intangible assets and investigates their impact on market valuations and operating performance. Our framework is based on a contemporary theoretical Knowledge Management concept, namely Intellectual Capital. We...

Determining the optimal mix of assets in the context of a portfolio construction involves “smart” forecasts of asset returns as well as good estimates of the asset return variances and covariances. Typically, sample moments are used as best estimates of the population moments. Several...

Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics. Ignoring the self-reported benchmark introduces biases in the measurement of stock selection and timing components...