Journal of Investment Consulting最新文献

Are Exchange-Traded Funds Harvesting Factor Premiums? 交易所交易基金是否获得要素溢价?

Journal of Investment Consulting Pub Date : 2017-02-06 DOI: 10.2139/ssrn.2912287

David Blitz

引用次数: 9

Active Share and Emerging Market Equity Funds 积极股票和新兴市场股票基金

Journal of Investment Consulting Pub Date : 2016-01-19 DOI: 10.2139/ssrn.2761660

Aron Gottesman, M. Morey

引用次数: 1

Wealth Management and Private Banking Services in Developing Markets 发展中市场的财富管理和私人银行服务

Journal of Investment Consulting Pub Date : 2013-01-25 DOI: 10.2139/ssrn.2206800

Bryane Michael, C. Hartwell, Gary Ho

引用次数: 4

Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available 当只有月度数据可用时，监测每日对冲基金业绩

Journal of Investment Consulting Pub Date : 2012-12-01 DOI: 10.2139/ssrn.1362265

Daniel Li, M. Markov, Russ Wermers

引用次数: 8

What Matters in International Equity Diversification? 国际股票分散投资中哪些因素重要?

Journal of Investment Consulting Pub Date : 2012-08-01 DOI: 10.2139/SSRN.1894346

Chun-Hung Chen, Wenling Lin

{"title":"What Matters in International Equity Diversification?","authors":"Chun-Hung Chen, Wenling Lin","doi":"10.2139/SSRN.1894346","DOIUrl":"https://doi.org/10.2139/SSRN.1894346","url":null,"abstract":"Over the past decade, investors and financial advisors have shown renewed interest in increasing international equity exposure. Investors confront one of two key issues in making decisions on their strategic allocations, depending on the starting point of their portfolios: 1) for a U.S.-only equity portfolio, the issue is which strategies produce the most beneficial international exposure; 2) for a portfolio already with significant international exposure, the issue is what benefits are there in exploring small cap, micro cap, and new frontiers in international equity investing. We use mean-variance spanning and optimization tests of indexes to assess the comparative benefits of competing paths to international diversification of the equity segment of an investor’s portfolio. We find that for investors with a U.S.-only stock segment in their portfolios, any of the international indexes examined substantially improve risk and return characteristics — more evidence that home bias is costly. No clear winners emerge among the indexes, however. For the investor who already has a diversified portfolio of U.S. large and small cap, developed ex-U.S. large cap, and emerging markets large cap, an extension to frontier markets would be beneficial. The additional diversification and return benefits from extending to developed ex-U.S. small and micro cap as well as emerging markets small and micro cap are small.","PeriodicalId":180552,"journal":{"name":"Journal of Investment Consulting","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123596482","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Endogenous Risk and Dangers to Market Stability 内生风险和市场稳定的危险

Journal of Investment Consulting Pub Date : 2011-08-27 DOI: 10.2139/SSRN.1934466

Jim Pasztor

{"title":"Endogenous Risk and Dangers to Market Stability","authors":"Jim Pasztor","doi":"10.2139/SSRN.1934466","DOIUrl":"https://doi.org/10.2139/SSRN.1934466","url":null,"abstract":"There are various methods and models where one can quantify risks and try to predict future correlations. However, the flaw with any given financial model is that certain assumptions must be made, and when the market deviates too much from these assumptions, then the model falls apart. Under traditional valuation methods, risk is divided into systematic and unsystematic risk. But there is another way to look at risk, and that is whether it is exogenous or endogenous. Exogenous risk represents risks found outside the financial system, and is taken into account when doing fundamental analysis. Endogenous risk, on the other hand, is the risk found within the financial system itself. This type of risk is the most dangerous, and is often overlooked or not taken seriously enough by advisers and financial planners. Endogenous risk comes from aberrations and shocks that are generated within the financial system itself, which then have a ripple effect throughout the financial markets. It can cause extreme volatility (and losses) for investors and lead to behavior that may not be in the best interest of a client, namely selling when prices are depressed. The number of events occurring because of endogenous risk is increasing, which should be a source of concern. The emergence of financialized capitalism, the increase in speculation and decrease in investing, the growth of derivatives and use of leverage, the practice of shadow banking and lack of transparency, and the existence of institutions that are “too big to fail” all increase the likelihood of an endogenous event. Given the potential impact of endogenous risk, and the threat it poses, it should be taken into account when putting together financial plans and constructing client portfolios.","PeriodicalId":180552,"journal":{"name":"Journal of Investment Consulting","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133712061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Investments Across Cultures: Financial Attitudes of Chinese-Americans 跨文化投资:华裔美国人的金融态度

Journal of Investment Consulting Pub Date : 2010-07-22 DOI: 10.2139/ssrn.1647087

Jessica A. Weng, M. Statman

{"title":"Investments Across Cultures: Financial Attitudes of Chinese-Americans","authors":"Jessica A. Weng, M. Statman","doi":"10.2139/ssrn.1647087","DOIUrl":"https://doi.org/10.2139/ssrn.1647087","url":null,"abstract":"Cultural background affects the attitudes of immigrants long after they have settled in their new countries, and it affects the attitudes of their descendents as well. For example, levels of trust persist among immigrants to the United States, and relatively high levels of trust among immigrants are associated with relatively high levels of trust in their countries of origin.Does cultural background affect financial attitudes as well? This is an important question for financial advisors whose clients include people from many cultures. Here we explore the financial attitudes of Chinese-Americans. Chinese-Americans are one group among many that blend the cultures of their countries or origins into the American culture, shaping American culture as it shapes them. Hispanic-Americans are another prominent group, divided into immigrants from Mexico and other countries in Central and South America. But many other immigrants carry their cultures into the United States, including immigrants from India, Ireland, Italy, and Israel. We present this study as a beginning of a stream of studies about the financial attitudes of immigrants, hoping that others would join the effort and add their studies.For our purposes here, we distinguish between three groups: immigrant Chinese-Americans, first-generation Chinese-Americans, and beyond-first-generation Americans, or beyond-first Americans for short. Immigrant Chinese-Americans were born in China, Hong Kong, or Taiwan. First-generation Chinese-Americans were born in the United States to immigrant Chinese-Americans. Beyond-first Americans were born in the United States to non-immigrant parents, whether of Chinese origins or not. We refer to the first two groups as Chinese-Americans.We find that Chinese-Americans are less willing to carry debt than beyond-first Americans, more willing to invest in real estate, not as inclined to concentrate their investments in the United States, and more inclined toward distinct gender-based financial responsibilities. Nevertheless, Chinese-Americans find saving no easier than beyond-first Americans, and they are no more risk tolerant than beyond-first Americans. We also find significant differences in financial attitudes between men and women across all groups.","PeriodicalId":180552,"journal":{"name":"Journal of Investment Consulting","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132047411","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 12

Viral Crises Viral Crises

Journal of Investment Consulting Pub Date : 2010-04-03 DOI: 10.2139/ssrn.1584028

Brian Jacobsen

引用次数: 0

The Yield Disparity in 401(K) Plans: Does Higher Annual Pay Mean Higher Rates of Return on Retirement Accounts? 401(K)计划的收益差异:年薪越高意味着退休账户的回报率越高吗?

Journal of Investment Consulting Pub Date : 2009-05-03 DOI: 10.2139/ssrn.1398385

M. Morey

{"title":"The Yield Disparity in 401(K) Plans: Does Higher Annual Pay Mean Higher Rates of Return on Retirement Accounts?","authors":"M. Morey","doi":"10.2139/ssrn.1398385","DOIUrl":"https://doi.org/10.2139/ssrn.1398385","url":null,"abstract":"This study examines whether more highly paid workers have significantly higher rates of return on their 401(k) retirement accounts than lower paid workers. This topic received considerable attention when Brooks Hamilton, a prominent benefits consultant, stated on the PBS program Frontline that the top 20 percent of 401(k) plan participants in terms of pay had investment rates of return on their retirement accounts that were from five to seven times higher than the bottom quintile of plan participants in terms of pay. He coined this difference in the rates of return the “yield disparity”. Using a sample of over 500,000 observations over the period 2002-2007, and controlling for age and gender, we find that the lowest paid workers do in fact earn rates of return on their 401(k) that are significantly less than the rates of returns earned by higher paid workers. However, the magnitude of the yield disparity between the poorest and richest quintiles is much smaller than that found by Hamilton. Rather than five to seven times the returns, we find that the return difference is on average about two percent per year; which still a significant difference but not nearly as great as suggested. After documenting the difference in the rates of return, we then examine assets held and loan activity. We find, consistent with the previous literature that workers who earn in the bottom 20 percent in terms of pay hold significantly less- risky assets in their retirement portfolios and are more likely to borrow from their retirement balance.","PeriodicalId":180552,"journal":{"name":"Journal of Investment Consulting","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122716825","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1