This investigation of the cross‐section of mutual fund equity holdings for the years 1991 and
1992 shows that mutual funds have a significant preference towards stocks with high …

This paper explains and documents many issues related to default prediction based on
financial statements. The underlying methodology is completely revealed and addresses many …

The Capital Asset Pricing Model (CAPM) predicts a positive relation between risk and return,
but empirical studies find the actual relation to be flat, or even negative. This paper provides …

This paper documents two new facts. First over the past 30 years variance has been
negatively correlated with expected return for NYSE & AMEX stocks and this relationship is not …

Empirically, standard, intuitive measures of risk like volatility and beta do not generate a
positive correlation with average returns in most asset classes. It is possible that risk, however …

We examine issues in testing whether ratings, such as those issued by Moody’s, are
consistent across subgroupings. Our main findings are that sector and macroeconomic shocks …

Eric Falkenstein is een originele, breed geïnteresseerde financiële ‘pracademic’. Hij heeft een
academische achtergrond en past zijn kennis momenteel toe bij een commercieel bedrijf (…

In Falkenstein and Hanweck,(1996), we presented a technique for hedging fixed-income
portfolios against non-parallel yield curve shifts called covariance-consistent key rate hedging, …

Spurred by deregulation and advances in information technology, the required banking
regulatory capital assessment is becoming increasingly more archaic. Consider today, where …

This paper presents a method and testing of a corporate nonfinancial default model. Unique
among models, it uses agency ratings as as input within the model, as well as financial …