The relation between real estate investment trust (REIT) returns and stock market returns is
of significant importance to investors, practitioners and academics. The temporal properties …

Funds of funds (FOFs) are created when investment companies invest in other investment
companies. Although the additional layer of fees incurred by FOFs has a negative effect on …

Sanders (1997), Karolyi and Sanders (1998), among others, show that the comovement of
real estate investment trust (REIT) returns with other asset classes declines over time. 1 …

Emerging market bonds improve the efficient frontier of a mixed-asset portfolio. The improvement
is based on the application of mean-variance spanning tests on returns that are free …

The study examines the ranking properties of the Morningstar risk-adjusted rating (RAR). We
find that the RAR and the excess return from the CAPM regression yield similar star ratings. …

The interplay between speculative levels in futures contracts and prospective price changes
is an important issue for hedgers, speculators, consumers, and regulators. The Commodity …

Fixed and variable inputs are analyzed in economic theories as well as management
accounting. In economic courses, optimal input combinations require that the ratios of marginal …

An innovative method to estimate the duration of investor sentiment is applied to closed-end
country fund returns and it finds that US investor sentiment has a short life. The effects of …

Cheating in a traditional test setting is estimated to be of a magnitude similar to the proportion
of firms that backdate employee stock options. This paper describes a methodology for the …

The study examines additions to and deletions from the Russell Value Index and the Russell
2000 Growth Index. The study documents stronger comovement in value reconstitutions …