Q&A: Public vs. Private Equity
Should investors expect higher returns from private equity investments as compensation for the lack of liquidity? Does private equity offer a useful diversification benefit in a balanced portfolio?...
View ArticleQ&A: The Limits of Arbitrage
To what extent do the limits of arbitrage (Schleifer and Vishny, 1997) discredit the idea of market efficiency? (Read the full entry)
View ArticleQ&A: Are Chief Executives Overpaid?
What model for executive compensation at public companies would you like to see? Should shareholders vote on these matters? (Read the full entry)
View ArticleQ&A: Are Treasury Bonds Risk-Free?
Does the deteriorating financial condition of the U.S. government diminish the appeal of U.S. Treasury securities as a risk-free asset? Should investors consider adding government securities from other...
View ArticleQ&A: Dividends: Is Bigger Better?
Does an equity strategy focusing on stocks with above-average dividend yield offer an appealing risk/reward tradeoff? Have dividend-paying stocks outperformed non-dividend payers in the U.S.? (Read the...
View ArticleQ&A: High Frequency Trading and the "Flash Crash"
The "Flash Crash" on May 6, 2010, is generally attributed to the growth of automated or "high frequency" trading programs. How have they affected market volatility and security valuation and what, if...
View ArticleQ&A: Commodity Exposure through Stocks?
How can investors achieve exposure to commodities by investing in stocks? (Read the full entry)
View ArticleQ&A: A "Stock Picker's Market"?
Many experts characterize the current environment as a "stock picker's market." Is there any evidence that stock selection is more successful under certain market conditions? (Read the full entry)
View ArticleQ&A: Market Timing with Moving Averages
Some researchers argue that a market timing strategy based on buy/sell signals generated by a 50- or 200-day moving average offers a more appealing combination of risk and return than a buy-and-hold...
View ArticleQ&A: When Does Active Management Shine?
If you are familiar with a recent survey of mutual fund performance by Fundquest (Jane Li, "When Active Management Shines vs. Passive," June 2010), your comments would be appreciated. (Read the full...
View ArticleQ&A: What Role for Commodities?
There seems to be some confusion about your opinion on the role of commodities in a portfolio, based on a conference presentation for financial advisors in 2004. Have your views changed since then?...
View ArticleQ&A: Seeking the Optimal Country Weighting Scheme
Financial theory suggests that a global value-weight market portfolio is the logical default position for an equity investor seeking the optimal allocation scheme across countries. What are the...
View ArticleQ&A: Bond Funds or Ladders?
Can you address the pros and cons of short-term bond funds versus laddered bond strategies holding individual issues? (Read the full entry)
View ArticleQ&A: Beta and Stock Returns
Do high-beta stocks have high expected returns? Do stocks with historically above-average betas exhibit above-average realized returns? (Read the full entry)
View ArticleQ&A: Should Investors Diversify Among Government Bonds?
If US Treasury bonds are not risk-free due to inflation risk, does it make sense to diversify a portfolio of government bonds with obligations of other countries? (Read the full entry)
View ArticleComment on Suzuki's rebuttal of Batra and Casas. (arXiv:1711.10138v1 [q-fin.EC])
Batra and Casas (1976) claimed that 'a strong Rybczynski result' arises in the three-factor two-good general equilibrium trade model. In subsequent comments, Suzuki (1983) contended that this could not...
View ArticleThe energy price - commodity output relationship and the commodity price -...
We analyze how energy price and commodity price affect commodity output in a three-factor, two-good general equilibrium trade model with three factors (capital, labor, and imported energy),...
View ArticleValuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model....
In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy...
View ArticleRemarks At The Third Annual Conference On The Evolving Structure Of The U.S....
Thank you, Michael [Strine], for that kind introduction.[1] I am delighted to join all of you at the Third Annual Conference on the Evolving Structure of the U.S. Treasury Market. I also want to...
View ArticleRemarks Of Craig Phillips, Counselor To The US Treasury Secretary, On Market...
IntroductionGood morning. Let me begin by thanking the Federal Reserve Bank of New York for co-hosting this important conference on the evolving structure of the U.S. Treasury Market. This conference...
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