Profitable predictability in the cross section of stock returns

Article Abstract:

Three recent papers that examine the patterns in the cross section of individual stock returns - Fama E. and French K., Jegadeesh and Titman, and Haugen R. and Baker N. - are analyzed. A comprehensive examination of transaction costs over a long sample is also presented.

Models, Criticism and interpretation, Works, Stock funds, Baker N., Fama E., French K., Haugen R.

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Mutual fund performance with learning across funds

Article Abstract:

The cross-sectional variability of fund alphas is assessed from a sampling of mutual funds. This data has been incorporated into a precision-weighted average measure of individual fund performance by means of the Bayesian framework.

Investment Offices, Mutual Fund Mgmt Companies, Portfolio Management, Bayesian statistical decision theory, Bayesian analysis, Mutual funds, Performance bonds

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Inflation risk premia and the expectations hypothesis

Article Abstract:

The dynamic models of interest rate term structure from the properties of inflation risk premium are examined.

Interest Rates, Inflation (Finance), Pension funds, Free trade, Inflation (Economics), Econometric models, Bond prices

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