Previous research examining the price impact of institutional trading concludes that index funds incur higher liquidity costs due to the higher demand for trading immediacy. However, this conclusion has only been inferred by comparing the total price impact of active and index funds. This study...

This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We find index and enhanced funds earn returns and exhibit risk commensurate with underlying indices. Relative to index funds, enhanced index...

We present new direct empirical evidence in support of Rosen's (1982) 'cloning' hypothesis, explaining the overwhelming firm size-executive pay effect in terms of a predicted greater superiority in managerial talent the larger is the firm. We show that executives from better performing firms are...

This paper examines the market-impact cost of trades executed in futures markets, which is commonly referred to as quot;slippagequot;. Using a unique dataset provided by the Sydney Futures Exchange, this paper documents that slippage costs incurred in executing packages of trades in stock index...

This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We find index and enhanced funds earn returns and exhibit risk commensurate with underlying indices. Relative to index funds, enhanced index...

This article demonstrates that companies from a wide-range of industries are able to hedge against the volatility of their revenues more efficiently by resorting to non-standardized weather derivative contracts. In addition, including weather derivatives contracts as an additional asset class...

The article reviews six different temperature forecasting models propsoed by the prior literature for pricing weather derivatives. Simulation of these models is used to estimate daily temperature and, as a consequence, the metrics used for pricing temperature derivatives. The models that rely on...