This paper examines the variance of hourly market returns during 1964–1989. Results indicate
that return volatility falls from the opening hour until early afternoon and rises thereafter …

This paper examines changes in wealth for firms that securitize assets. Findings are industry
specific with wealth increase for finance companies, with no wealth change for industrial …

… The work on tius paper was done while Lockwood … LJ Lockwood 1 Journal of Banking and
Finance 18 (1994) 621632 … LJ Lockwood / Journal of Banking and Finance 18 (1994) 621432 …

This paper examines the determinants of industrial properly value. We use the factor‐analytic
linear structural relations (LISREL) model to confront measurement problems associated …

We examine the performance of real estate mutual funds during January 1991–December
1997. As a group, the sampled funds outperformed the Wilshire Real Estate Securities Index …

We examine the relation among average returns, market beta, firm size, and book‐to‐market
value for Canadian stocks during 1975–92. We document a negative relation between …

… LJ Lockwood and TH Mclnish, Stability of returns during bull … LJ Lockwood and TH Mclnish,
Stability of returns during bull … LJ Lockwood and TH Mclnish, Stability of returns during bull …

Differences in performance have been especially dramatic in recent years. For example, the
Wilshire Large Company Growth Index returned 42% in 1998, 36% iti 1999, and-25% in …

… Finally, Gallo and Lockwood (1997) showed how portfolio risk-adjusted returns are improved
… Following Gallo and Lockwood, we classified each fund as to the investment style for which …

An attempt is made to document systematic patterns in daily common stock returns in all 3 of
the primary markets for stocks in the US: 1. the New York Stock Exchange (NYSE), 2. the …