Knowledge that Transforms

Investment management is a decision-making process which ranges from an individual managing his own small portfolio of securities to institutional investors who manage portfolios valued in millions of dollars. The importance of investment management is readily observed in the increased activity of the securities markets, the close scrutiny given by regulatory agencies to various institutional investors and professional investment managers, the growing market value of pension funds, trust funds, and investment companies, and finally, the increasing number of related research studies which are reported in the financial literature.

Alan Seelenfreund, George G. C. Parker, James C. Van Horne, Stock Price Behavior and Trading, The Journal of Financial and Quantitative Analysis, Vol. 3, No. 3, Special Issue: Random Walk Hypothesis (Sep., 1968), pp. 263-281

The recent literature in the field of commercial banking has centered to a considerable extent around the branch banking controversy and bank merger activities, particularly as regards their economic effects on banking structure and performance. Much has been said, moreover, about the effects of branching on the “public interest, ” whether such branching is carried out through merger or de novo branching. Public interest is usually defined as including deposit safety, adequate compensation by banks to depositors for the use of their money, availability of credit for borrowers at competitive rates of interest, and, in more general terms, increased competition in banking without sacrificing safety.

John L. Evans, The Random Walk Hypothesis, Portfolio Analysis and the Buy-and-Hold Criterion, The Journal of Financial and Quantitative Analysis, Vol. 3, No. 3, Special Issue: Random Walk Hypothesis (Sep., 1968), pp. 327-342

With the increasing emphasis on the performance of managers of institutional portfolios, it becomes important to develop an accurate and complete measure of investment results. Accordingly, this study will be devoted to clarification and possible resolution of the following issues:1. How may operating results be segregated from contributions and withdrawals of capital?2. How may the “dollar weighting” inherent in compound rates of return be eliminated?3. Should investment, in the context of return on investment, be cost-based or value-based?4. How should risk be quantified?5. Can both risk and return be considered in one composite measure of investment performance?

The application of linear programming techniques to the problem of capital budgeting has repeatedly been proposed in the literature. However, while the potential of linear programming models for this important area of business decisions is generally recognized, practical applications still face some severe limitations. This note focuses on one particular problem peculiar to the application of programming techniques to capital budgeting, namely the mutual dependence between the optimal solution of the linear programming model and the discount rate used to calculate the coefficients of its objective function.

Thomas H. Mayor, Short Trading Activities and the Price of Equities: Some Simulation and Regression Results, The Journal of Financial and Quantitative Analysis, Vol. 3, No. 3, Special Issue: Random Walk Hypothesis (Sep., 1968), pp. 283-298

The basic idea behind the random walk hypothesis is that in a free competitive market the price currently quoted for a particular good or service should reflect all of the information available to participants in the market that influence its present price. To the extent that future conditions of the demand or supply are currently known, their effect on the current price should be properly taken into account.

Alan J. Zakon, James C. Pennypacker, An Analysis of the Advance-Decline Line as a Stock Market Indicator, The Journal of Financial and Quantitative Analysis, Vol. 3, No. 3, Special Issue: Random Walk Hypothesis (Sep., 1968), pp. 299-314