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An investor saving for retirement attempts to allocate as sets in a manner that provides enough savings to produce a secure post retirement income. Falling short of the desired saving level has a large negative impact on retirement income and is a major concern for the investor. We empirically...
This study empirically examines the relationship between the effective bid‐ask spread on foreign currency options traded on the Philadelphia Stock Exchange and the likelihood of a transaction occurring. Important contributions of this research include the use of a more precise measure of the...
This work presents evidence that cross‐isted stocks (ADRs) are traded in markets that are not completely integrated, and it is the presence of high frequency arbitrage activity that forces these stock pairs to be most commonly in relative equilibrium. A Threshold Autoregressive (TAR) model tests...
In this study, a formula is derived for the period specific beta (market risk) for a portfolio of financial assets that has been formed on the basis of directional forecasts. This is an important contribution to the literature since measuring the risk of an actively managed portfolio is...
This article reexamines the “doing well while doing good” debate within the financial management literature, using comparisons among socially responsible mutual funds (SRMF(, the NYSE Composite Index, and a portfolio made up of firms most valued by SRMF managers )MostSRF(. The performance of...
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