We believe that active quantitative portfolio management is on the verge of moving toward a
more flexible approach capable of capturing dynamics in risk and return expectations across …

JOHN B. GUERARD is Co-Director of Quantitative Research McKinley Capital Management,
Inc. in Anchorage, AK. jguerard@ mckinleycapital. com measures are dividends, earnings …

In the early 1700s, Scottish businessman John Law and the French government introduced
an innovative financial architecture to solve France's financial woes. Among these …

Extreme market movements, especially in recent years, prompt our efforts to better
understand the complexities of market dynamics. This paper seeks a better understanding of …

The continual emergence of technologies has infiltrated government and industry business
infrastructures, requiring reforming organizations and fragile network infrastructures …

Hedge funds are frequently blamed for increasing volatility and illiquidity in financial
markets. I investigate the validity of this hypothesis by modeling the joint dynamics of hedge …

The purpose of this paper is to explore the potential influence of hedge fund attributes on
idiosyncratic volatility (IVOL) in excess stock returns for 705 firms undergoing seasoned …

Potential for international portfolio diversification and its rewards has been recognized by
the investors and researchers alike for a long-time. Portfolio that has the highest level of …

The discovery of oil in commercial quantities in the Niger Delta region of Nigeria in the
1950s has brought with it both benefits and consequences, with the latter purported to have …

Emerging markets (EM) are experiencing continued high economic growth that
accompanies strong corporate earnings growth, usually associated with large financial …