ADVANCES IN INVESTMENT ANALYSIS
AND PORTFOLIO MANAGEMENT
1. An Intertemporal Analysis of Optimal International Asset Allocation
Mitchell Ratner, Rider University
Keywords: Bull and Bear Markets, Foreign Exchange Rates, U.S. Stock Returns, Optimal Efficient Portfolios
2. Revisiting U.S. Stock Market Returns: Individual Retirement Accounts
A. G. Malliaris, Loyola University Chicago
Keywords: Individual Retirement Accounts, Adequacy of Savings for Retirement, Individual Retirement Contributions, Individual Portfolios, Index Investing, Investment Horizons
3. Asset Returns and Monetary Policy in the Emerging Taiwan Financial Markets
Ming-Hsiang Chen, National Chung Cheng University
Su-Jane Chen, Metropolitan State College of Denver
Yi-Chi Kuo, International Bills Finance Corporation
Keywords: Asset Returns, Monetary Policy, Industry Size, Financial
Markets, Taiwan
4. Distinguishing Quality within the IPO Market
James Ang, Florida State University
Carol Boyer, Long Island University
Keywords: Initial Public Offerings, Quality
5. Complexity and the Performance of Investment Portfolios
Sanjay Goel, University at Albany, State University of New York
Christopher Brown, University at Albany, State University of New York
Hany Shawky, University at Albany, State University of New York
Keywords: Portfolio Analysis, Investment Management, Complexity, Mutual Funds, Decision Making Style, PSN Database
6. The Similarity Between Mean-Variance and Mean-Gini: Testing for Equality of Gini Correlations
Edna Schechtman, Ben-Gurion University
Shlomo Yitzhaki, Central Bureau of Statistics
Yevgeny Artsev
Keywords: Mean-Variance, Mean-Gini, Portfolio, Beta
7. On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Stock Index Futures
Min-Hsien Chiang, National Cheng Kung University
Tsai-Yin Lin, Hsing Kuo University of Management
Chih-Hsien Yu, University of Baltimore
Hsiao-Lan Chen, Unilever Taiwan Ltd.
Keywords: Autoregressive Conditional Duration Model (ACD), High Frequency Data, Ultra-High Frequency GARCH
8. Does the Net Flow of Funds Help to Predict the S&P 500 Index?
Thomas A. Carnes, West Carolina University
Michael Mosebach, University of Arkansas
Mohammad Najand, Old Dominion University
Keywords: Dynamic Regression. State Space, Random Walk, Exponential Smoothing
9. Do IPO Firms have Lower Risk? Evidence from IPO Performance in Different States of the World?
Nianyun (Kelly) Cai, Univeristy of Michigan- Dearborn
Yong H. Kim, Hansei University
Xuejing, Xing, University of Alabama in Huntsville
Keywords: IPOs, IPO Risk, IPO Performance, States of the World
10. Estimating Capital Market Parameters: CRSP Versus Yahoo Data
Ronnie J. Clayton, Jacksonville State University
John S. Jahera, Auburn University
Bill Schmidt, Jacksonville State University
Keywords: CRSP, Yahoo Finance, Empirical Studies, Parameter Estimates, Data Availability, Data Reliability