Many financial institutions employ outside portfolio managers to manage part or all of their investable assets. These institutions include pension funds, private endowments (e.g., colleges and charities), and private trusts. In 1999, the investment company institute estimated that these...

Many financial institutions employ outside portfolio managers to manage part or all of their investable assets. These institutions include pension funds, private endowments (e.g., colleges and charities), and private trusts. Pension funds are the largest and most likely organizations to employ...

The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate...

Portfolio theory is a well-developed paradigm. There are excellent textbooks on the subject. Of course, we are especially partial to our own Modern Portfolio Theory and Investment Analysis. There are also good reviews in more advanced doctoral-level texts such as Ingersoll (1987) or Huang and...

To implement mean variance analysis one needs a technique for forecasting correlation coefficients. In this article we investigate the ability of several techniques to forecast correlation coefficients between securities. We find that separately forecasting the average level of pair-wise...

The valuation of corporate debt is an important issue in asset pricing. While there has been an enormous amount of theoretical modeling of corporate bond prices, there has been relatively little empirical testing of these models 1 . Recently there has been extensive development of rating based...

The valuation of corporate debt is an important issue in asset pricing. While there has been an enormous amount of theoretical modeling of corporate bond prices, there has been relatively little empirical testing of these models. Recently there has been extensive development of rating based...

The valuation of corporate debt is an important issue in asset pricing. While there has been an enormous amount of theoretical modeling of corporate bond prices, there has been relatively little empirical testing of these models. Recently there has been extensive development of rating based...

Many investors confine their mutual fund holdings to a single fund family, either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within than between fund families. As a result, restricting...

Many financial institutions employ outside portfolio managers to manage part or all of their investable assets. These institutions include pension funds, private endowments (e.g., colleges and charities), and private trusts. Pension funds are the largest and most likely organizations to employ...