Since the beginning of the economic reforms two decades ago, the economy in China has enjoyed a real growth rate of 9.6 percent per year. We believe that China is only in the early stages of its rapid-growth period. China is likely to enjoy rapid growth for decades to come at rates well above...

In his William S. Vickrey address to the International Atlantic Economic association in 2005, Franklin Allen examined the question of how China has managed to grow rapidly in the absence of many of the factors usually considered essential to economic expansion in Western economies. China had no...

Constructing a data base that is relatively free of bias, this paper provides measures of the returns of hedge fund s as well as the distinctly non-normal characteristics of the data. We provide risk-adjusted measures of performance as well as tests of the degree to which hedge funds live up to...

A striking feature of the United States stock market is the tendency of days with very large movements of stock prices to be clustered together. We define an extreme movement in stock prices as one that can be characterized as a three sigma event; that is, a daily movement in the broad...

It is well known that the voluntary reporting of hedge funds may cause biases in estimates of their investment returns. But wide disagreements exist in explaining why hedge funds stop reporting to the datagathering services. Academic studies have suggested that poor or failing funds stop...

Considerable recent interest has been shown in a new set of stock-market indices that are weighted by fundamental factors such as sales, earnings, dividends or book values, rather than by capitalization. In this paper, we analyze the performance of Fundamental Indexing™ (“FI”). First, we...

One of the best documented propositions in the field of finance is that, on average, investors have received higher rates of return on in- vestment securities for bearing greater risk. This paper looks at the historical evidence regarding risk and return, explains the fundamentals of portfolio...

A striking feature of the United States stock market is the tendency of days with very large movements of stock prices to be clustered together. We define an extreme movement in stock prices as one that can be characterized as a three sigma event; that is, a daily movement in the broad...

"Considerable recent interest has been shown in a new set of stock-market indices that are weighted by fundamental factors such as sales, earnings, dividends or book values, rather than by capitalization. In this paper, we analyze the performance of Fundamental Indexing™ ("FI"). First, we show...