Theory tells us that if return distributions are independent over time, an expected utility maximizing logarithmic-utility investor will almost surely accumulate the most long-run wealth. This paper examines the robustness of the result. Specifically, it examines the expected and unexpected long-run and short-run consequences of imposing Value at Risk and other loss constraints on power-utility investors with a numerical example and empirically in an asset-allocation setting covering the 1934–2008 period. In addition, it examines the expected and unexpected long-run consequences of imposing Conditional Value at Risk constraints on power-utility and prospect-theory (kinked linear-utility) investors.

As capital markets become integrated, the value of foreign listing and, consequently, the number of foreign listings should be expected to decline. The dramatic surge in foreign listings on US stock exchanges in recent years suggests that motivations and value of listing may also be changing as markets become increasingly globalized. We explore this issue by comparing both short- and long-run valuation effects of Canadian listings in the US in pre- and post-1990 periods. We document that the positive price and liquidity effects for Canadian stocks surrounding US listing have declined over time. The analysis of long-run performance, however, shows that Canadian firms list in the US after a strong market performance but underperform Canadian market indexes by 13–30% over the three years after the listing in both pre- and post-1990 periods. Further, the determinants of long-run performance appear to be significantly different from that in the short-run. Our evidence suggests that valuation effects of US listing may be driven by several factors, including liquidity and industry factors, that vary cross-sectionally and over time.

Factor-based asset pricing models have been used to explain the common predictable variation in excess asset returns. This paper combines means with volatilities of returns in several futures markets to explain their common predictable variation. Using a latent variables methodology, tests do not reject a single factor model with a common time-varying factor loading. The single common factor accounts for up to 53% of the predictable variation in the volatilities and up to 14% of the predictable variation in the means. S&P500 futures volatility predicted by the factor model is highly correlated with volatility implied in S&P500 futures options. But both the factor and implied volatilities are significant in predicting future volatility. In derivatives pricing, both implied volatility from options and factors extracted from asset pricing models should be employed.

This paper compares the out-of-sample performance of no-load and load mutual funds. Unlike previous studies, this paper provides a more comprehensive analysis as it uses methodologies to incorporate loads directly into the returns. We find two important results. First, after adjusting for loads in the returns data, no-load funds are found to perform much better than load funds, with the differences found to be significant at the 1% level across many different performance metrics. Second, we find that within load funds themselves there is little significant difference in out-of-sample performance between high-load funds and low-load funds even after adjusting for loads.

The contractual or nexus-of-contracts theory serves as a normative foundation for both the stockholder and stakeholder conceptions of the firm. In this theory, each constituency or stakeholder group bargains with the firm over a set of rights that will protect the firm-specific assets that it makes available for production. This paper argues that the main difference between the stockholder and stakeholder conceptions lies in different assumptions about the choice of protections that each constituency would make. The value of this thesis is that it identifies the points at issue between these two conceptions in ways that facilitate a reconciliation.

This paper investigates the efficiency of relationship managers at the Canadian Imperial Bank of Commerce (CIBC) one of Canada's largest banks. Data envelopment analysis (DEA) efficiency scores are analyzed using regression. The results demonstrate that managers are less efficient when facing larger numbers of loans or smaller loans. M. Berlin and L.J. Mester (On the profitability and cost of relationship lending, Working paper no. 97-43, The Wharton School, University of Pennsylvania, 1997) show that credit smoothing is generally suboptimal. A more complete explanation is obtained by taking a micro-level focus. Other results indicate that banks may improve profitability by reserving relationship lending for loans of larger size. Tests of relationships between efficiency and nonperforming loans and of the skimping hypothesis are conducted.

This paper studies the consequences of opening asset markets more often for the properties of asset prices and social welfare. For all reasonable parameter values, increasing trading hours lowers average asset prices, increases unconditional asset price volatility at a given point in time, and decreases unconditional asset price volatility when averaged over the period of time that includes the additional hours that markets are open. Unconditional social welfare is increased by opening markets more often, although the welfare gains are small – well below 1% of lifetime consumption. In contrast, because expanding hours of trading affects agents' information sets, the welfare effect of more trading hours conditional on information available to agents can be large and the effect can be negative.

This paper’s estimates and tests of Fed intervention profits are the first that explicitly adjust for foreign-exchange risk premia; failure to adjust may grossly affect estimated profits. Profits appear economically and statistically significant, whether risk premia are modeled as time-constant or as appreciation’s market beta depending on Fed intervention. The estimates are sensitive to the method of risk adjustment and to the periods used. Because a key variable, cumulative intervention, is I(1), test statistics may have non-standard distributions, a problem affecting past tests; this paper’s tests account for non-standard distributions. Possible explanations of these profits have mixed empirical support in the literature.