In this paper a discrete mixture of normal distributions is proposed to explain the observed
significant kurtosis (fat tails) and significant positive skewness in the distribution of daily rates …

This paper proposes an empirical methodology for measuring the market-timing performance
of an investment manager and provides evidence for a sample of mutual funds. The results …

This article compares econometric model specifications that have been proposed to explain
the commonly observed characteristics of the unconditional distribution of daily stock returns…

This paper evaluates mutual fund stock selectivity performance and the implications for the
Efficient Markets Hypothesis (EMH) when management is simultaneously engaged in market …

THE PURPOSE OF THIS PAPER is to determine the degree of nonstationarity in the risk
levels and performance measures of mutual fund portfolios and reconcile several observed …

In this paper, we provide evidence that the time-series properties of stock returns include
both structural change and time dependence in the conditional variance. The absence of a …

The Securities and Exchange Commission (SEC) Rule 415 (shelf registration) allows eligible
firms to register securities that they intend to issue in the next 2 years. Once the registration …

With an aggregate market value of over $1,000 billion, common stock represents an
important fraction of all financial wealth in the United States. This market (which dwarfs the …

MANY EMPIRICAL STUDIES IN finance have employed the market model and/or a version
of the two-parameter capital asset pricing model.'An implicit assumption in these studies is …

In this paper, the portfolio and the liquidity planning problems are unified and analyzed in
one model. Stochastic cash demands have a significant impact on both the composition of an …