Two major conclusions follow from this very careful study. First, sophisticated prediction tools do not fare well relative to naive models predicting return based on past sample means. Second, there appear to be short-lived episodes of quite limited return predictability. These conclusions are...

In this paper, we find that existing classifications do a poor job at forecasting differences in future performance. We propose a different method for grouping mutual funds which is relatively impervious to strategic quot;gamingquot; of benchmarks. In particular, it captures active portfolio...

We explore performance persistence in mutual funds using absolute and relative benchmarks. Our sample, largely free of survivorship bias, indicates that relative risk-adjusted performance of mutual funds persists, however persistence is mostly due to funds that lag the Samp;P 500. A profit...

Using a complete set of the SEC filing information on hedge funds (Form ADV) and the TASS data, we develop a quantitative model called the ω-Score to measure hedge fund operational risk. The ω-Score is related to conflict of interest issues, concentrated ownership, and reduced leverage in the...

We provide evidence on the “principles vs. rules” standards debate by examining how changes in cash flow reporting methods required by SFAS 95 Statement of Cash Flows affected firms' information environments. We argue that adoption of SFAS 95 represented a change from a principle based...

Purpose: At a conference inspired by Hans Christian Andersen, this chapter makes the case for his shadowy American contemporary, Edgar Allan Poe. Methodology: Employing a comparative literary analysis, it contends that consumer culture theory (CCT) can learn more from Poe’s quothful raven than...

Purpose – Anthropomorphism abounds in contemporary consumer culture. This chapter evaluates the recent anthropomorphic uptick and shows how it can be utilized for pedagogic purposes – namely, a brand animal novel called The Penguin's Progress. Methods/approach – The chapter adopts a case...

Stephen A. Ross was one of the most influential scholars in the field of financial economics in the late twentieth century. Ross's work was central to several novel domains of economic inquiry. His contributions included the arbitrage pricing theory (APT), the risk-neutral pricing of contingent...

Whatever their philosophical, methodological and epistemological differences, marketing academics have one thing in common. They are writers. They publish or perish. They produce books, articles, case studies and, on occasion, articles for top-notch journals like JMM. Writing, however, is rarely...