Adherents of Fundamental Indexing (FI) suggest that it is more protable to base portfolio weights on indirectly size-related indicators like accounting data rather than directly on market caps. In noisy markets a la Roll (1984), it is argued, underpriced stocks overperform but are underweighted...

Two regression coefficients often used in Finance, the <link rid="b23">Scholes-Williams (1977)</link> quasi-multiperiod 'thin-trading' beta and the <link rid="b19">Hansen-Hodrick (1980)</link> overlapping-periods regression coefficient, can both be written as instrumental-variables estimators. Competitors are Dimson's beta and the...

Does one make money trading on the deviations between observed bond prices and values proposed by bond-pricing models? We extend <link rid="b34">Sercu and Wu's (1997)</link> work to more models and more data, but we especially refine the methodology. In particular, we provide a normal-return benchmark that markedly...