Estimates of systematic risk or beta are an important determinant of the cost of capital. The standard technique used to compile beta estimates is an ordinary least squares regression of stock returns on market returns using 4 - 5 years of monthly data. This convention assumes that a longer time...

We measure the contribution of industry sector choice and individual stock selection to the performance of 3350 United States' equity funds from 1980 to 2005. First, we demonstrate that sector choice makes a relatively greater contribution to portfolio variance, holding constant manager skill in...

We measure the persistence and predictability of sales and earnings growth for Australian-listed firms from 1989 to 2006. In contrast to results from the United States, there is evidence of persistence in growth. There is close to a two-thirds chance that a firm reporting growth above the...

We measure the persistence and predictability of sales and earnings growth for Australian-listed firms from 1989 to 2006. In contrast to results from the United States, there is evidence of persistence in growth. There is close to a two-thirds chance that a firm reporting growth above the...

Lally (2007) concludes that regulators must esimate the risk-free rate as the yield-to-maturity on Government debt with a term-to-maturity equal to the regulatory period, to ensure that the present value of expected cash flows equals the investment base. The analytics behind this conclusion...

Rules governing superannuation investments are made with respect to investment-specific risks, rather than overall portfolio risks. In particular, legislation prohibits borrowing except in specific circumstances and on a non-recourse basis. We model the distribution of leveraged portfolio...