The purpose of this article is to explain the spread between rates on corporate and government
bonds. We show that expected default accounts for a surprisingly small fraction of the …

… For an estimate of the effect of a change in clientele on a firm's cost of retained earnings,
see Elton and Gruber [5]. … Elton and Martin 1. Gruber … Elton and Martin 1. Gruber …

… We chose the second because Elton and Gruber (1992) show this criterion is optimal for
selecting an active portfolio when security returns follow a multi-index model. To ensure that the …

This Paper uses intraday data from the interdealer government bond market to investigate
the effects of scheduled macroeconomic announcements on prices, trading volume, and bid-…

We investigate the informational efficiency of mutual fund performance for the period 1965–84.
Results are shown to be sensitive to the measurement of performance chosen. Wefind …

ONE OF THE FUNDAMENTAL ISSUES in finance is what the factors are that affect expected
return on assets, the sensitivity of expected return to those factors, and the reward for …

Mutual fund attrition can create problems for a researcher because funds that disappear tend
to do so due to poor performance. In this article we estimate the size of the bias by tracking …

In this article we have reviewed “Modern Portfolio Analysis” and outlined some important
topics for further research. Issues discussed include the history and future of portfolio theory, …

Using linear and nonlinear models, we examine two samples of bond funds: one sample
designed to eliminate survivorship bias, and a second much larger sample. Overall and for …

This paper examines the effect of incentive fees on the behavior of mutual fund managers.
Funds with incentive fees exhibit positive stock selection ability, but a beta less than one …