User profiles for Jack Clark Francis
Jack Clark FrancisProfessor of Economics & Finance, Baruch College Verified email at baruch.cuny.edu Cited by 5399 |
Beta as a random coefficient
FJ Fabozzi, JC Francis - Journal of Financial and Quantitative …, 1978 - cambridge.org
After Markowitz [14, p. 100] and Sharpe [19, 20] suggested estimating the beta systematic risk
coefficient for market assets, finance professors, stock brokers, investment managers, and …
coefficient for market assets, finance professors, stock brokers, investment managers, and …
Stability tests for alphas and betas over bull and bear market conditions
FJ Fabozzi, JC Francis - The Journal of Finance, 1977 - JSTOR
THIS PAPER EMPLOYS standard econometric significance tests to determine whether the
regression statistics from a sample of 700 NYSE stocks differ significantly when measured …
regression statistics from a sample of 700 NYSE stocks differ significantly when measured …
[BOOK][B] Modern portfolio theory: Foundations, analysis, and new developments
JC Francis, D Kim - 2013 - books.google.com
A through guide covering Modern Portfolio Theory as well as the recent developments
surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal …
surrounding it Modern portfolio theory (MPT), which originated with Harry Markowitz's seminal …
Basis speculation in commodity futures: The maturity effect
MG Castelino, JC Francis - The Journal of Futures Markets …, 1982 - search.proquest.com
… Castelino Jack Clark Francis … Jack Clark Francis is professor at Bernard M. Baruch
College, City University of New York. …
College, City University of New York. …
Skewness and investors' decisions
JC Francis - Journal of Financial and Quantitative Analysis, 1975 - cambridge.org
It has been suggested by many [1, 2, 5, 6, 7, 10 and more] and denied by few that, ceteris
paribus, a well-informed risk-averse investor should prefer investments which have positively …
paribus, a well-informed risk-averse investor should prefer investments which have positively …
Investment performance of common stocks in relation to insider ownership
WS Kim, JW Lee, JC Francis - Financial Review, 1988 - Wiley Online Library
In this paper, the authors empirically examine whether corporations with high degrees of
insider ownership enjoy superior returns compared with firms with more diffuse ownership. In …
insider ownership enjoy superior returns compared with firms with more diffuse ownership. In …
Portfolio analysis of asset and liability management in small-, medium-and large-sized banks
JC Francis - Journal of Monetary economics, 1978 - Elsevier
The paper presents an analysis of the commercial banking firm based on Markowitz portfolio
analysis. A bank is treated as a portfolio of five banking assets and three banking liabilities. …
analysis. A bank is treated as a portfolio of five banking assets and three banking liabilities. …
The effects of changing macroeconomic conditions on the parameters of the single index market model
JC Francis, FJ Fabozzi - Journal of Financial and Quantitative …, 1979 - cambridge.org
Since Markowitz [15, pp. 98–101] and Sharpe [19] developed the single-index market model
(SIMM hereafter) it has received considerable research attention. Empirical tests have …
(SIMM hereafter) it has received considerable research attention. Empirical tests have …
A simultaneous equation model of the firm for financial analysis and planning
JC Francis, DR Rowell - Financial Management, 1978 - JSTOR
This paper introduces a financial model that moves away from the conventional percentage
of sales technique by incorporating explicit economic and behavioral specifications. Treating …
of sales technique by incorporating explicit economic and behavioral specifications. Treating …
Alternative utility functions: review, analysis and comparison
A Harel, JC Francis, G Harpaz - Review of Quantitative Finance and …, 2018 - Springer
The paper reviews the development of von Neumann and Morgenstern (vNM) utility theory.
Kahneman and Tversky’s (KT’s) prospect theory is introduced. The vNM utility function is …
Kahneman and Tversky’s (KT’s) prospect theory is introduced. The vNM utility function is …