Volume 3

Table of Contents


1.                  An Intertemporal Analysis of Optimal International Asset Allocation

Mitchell Ratner, Rider University


Keywords: Bull and Bear Markets, Foreign Exchange Rates, U.S. Stock Returns, Optimal Efficient Portfolios  


2.                  Revisiting U.S. Stock Market Returns: Individual Retirement Accounts

A. G. Malliaris, Loyola University Chicago


Keywords: Individual Retirement Accounts, Adequacy of Savings for Retirement, Individual Retirement Contributions, Individual Portfolios, Index Investing, Investment Horizons


3.                  Asset Returns and Monetary Policy in the Emerging Taiwan Financial Markets

Ming-Hsiang Chen, National Chung Cheng University

Su-Jane Chen, Metropolitan State College of Denver

Yi-Chi Kuo, International Bills Finance Corporation 


Keywords:  Asset Returns, Monetary Policy, Industry Size, Financial

Markets, Taiwan



4.                  Distinguishing Quality within the IPO Market

James Ang, Florida State University

Carol Boyer, Long Island University


Keywords: Initial Public Offerings, Quality


5.                  Complexity and the Performance of Investment Portfolios

Sanjay Goel, University at Albany, State University of New York

Christopher Brown, University at Albany, State University of New York

Hany Shawky, University at Albany, State University of New York


Keywords: Portfolio Analysis, Investment Management, Complexity, Mutual Funds, Decision Making Style, PSN Database  


6.                The Similarity Between Mean-Variance and Mean-Gini: Testing for Equality of Gini Correlations

Edna Schechtman, Ben-Gurion University

Shlomo Yitzhaki, Central Bureau of Statistics

Yevgeny Artsev


Keywords: Mean-Variance, Mean-Gini, Portfolio, Beta


7.                  On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Stock Index Futures  

Min-Hsien Chiang, National Cheng Kung University 

Tsai-Yin Lin, Hsing Kuo University of Management

Chih-Hsien Yu, University of Baltimore

Hsiao-Lan Chen, Unilever Taiwan Ltd.


Keywords: Autoregressive Conditional Duration Model (ACD), High Frequency Data, Ultra-High Frequency GARCH


8.                  Does the Net Flow of Funds Help to Predict the S&P 500 Index?

Thomas A. Carnes, West Carolina University

Michael Mosebach, University of Arkansas

Mohammad Najand, Old Dominion University


Keywords: Dynamic Regression. State Space, Random Walk, Exponential Smoothing



9.                  Do IPO Firms have Lower Risk? Evidence from IPO Performance in Different States of the World?

      Nianyun (Kelly) Cai, Univeristy of Michigan- Dearborn

                Yong H. Kim, Hansei University

                Xuejing, Xing, University of Alabama in Huntsville


                Keywords: IPOs, IPO Risk, IPO Performance, States of the World


10.              Estimating Capital Market Parameters: CRSP Versus Yahoo Data


Ronnie J. Clayton, Jacksonville State University

John S. Jahera, Auburn University

Bill Schmidt, Jacksonville State University


Keywords: CRSP, Yahoo Finance, Empirical Studies, Parameter Estimates, Data Availability, Data Reliability