User profiles for Jack Clark Francis

Jack Clark Francis

Professor 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 …

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 …

[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 …

Basis speculation in commodity futures: The maturity effect

MG Castelino, JC Francis - The Journal of Futures Markets …, 1982 - search.proquest.com
… Castelino Jack Clark FrancisJack Clark Francis is professor at Bernard M. Baruch
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 …

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 …

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. …

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 …

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 …

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 …