The focus of this study is the effect that portfolio composition has on the tracking performance of indexed portfolios. Indexed portfolios from high-capitalization indices are shown to have a lower tracking error and standard deviation of tracking error than indexed portfolios from...

Previous research provides evidence that much of the cross-sectional variation in equity returns can be explained by firm characteristics or sectors such as market capitalization, price-to-earnings ratios, change in operating earnings, and book-to-market ratios. One popular money management...

Recent theoretical work suggests that definitions of market efficiency that allow for the possibility of time-varying risk-premia will generally lead to return sign predictability. Consistent with this theory, we show that a logit model based on the lagged value of the market risk premium is...

Much of the empirical work on hedging exchange rate exposure in portfolios of financial assets has used a unitary hedge ratio, or a currency overlay. Alternatively, the currencies themselves can be treated as assets and the position in them optimized. This study empirically tests whether the ex...

"The scope and content of international finance have been fast evolving due to deregulation of financial markets, product innovations, and technological advancements. As capital markets of the world are becoming more integrated, a solid understanding of international finance has become essential...

Foundations of international financial management -- Globalization and the multinational firm -- International monetary system -- Balance of payments -- Corporate governance around the world -- The foreign exchange market, exchange rate determination, and currency derivatives -- The market for...