Explaining the Rate Spread on Corporate Bonds
- E. Elton, M. Gruber, D. Agrawal, Christopher Mann
- Economics, Business
- 1 September 1999
The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for…
Modern portfolio theory and investment analysis
- E. Elton
- Economics
- 1981
An update of a classic book in the field, Modern Portfolio Theory examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining…
Marginal Stockholder Tax Rates and the Clientele Effect
T HE determination of marginal stockholder tax brackets is an important and unresolved issue in the economic literature. Marginal stockholder tax brackets play an important role in stock valuation…
Economic News and Bond Prices: Evidence from the U.S. Treasury Market
- Pierluigi Balduzzi, E. Elton, T. C. Green
- EconomicsJournal of Financial and Quantitative Analysis
- 1 December 2001
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-ask spreads. We find…
Expected return, realized return, and asset pricing tests
- E. Elton
- Economics, Business
- 1 August 1999
Finance theory indicates that investor decisions are based on expected, rather than actual, returns. Nevertheless, nearly all research into asset-pricing models has been based on actual returns. The…
The Performance of Bond Mutual Funds
- Christopher R. Blake, E. Elton, M. Gruber
- Economics
- 1993
Using linear and nonlinear models, the authors examine two samples of bond funds--one sample designed to eliminate survivorship bias and a second much larger sample. Overall and for subcategories of…
Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios
- E. Elton, M. Gruber, Sanjiv Ranjan Das, M. Hlavka
- Economics
- 1993
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. We find that returns on S&P…
Fundamental Economic Variables, Expected Returns, and Bond Fund Performance
- E. Elton, M. Gruber, Christopher R. Blake
- Economics, Business
- 1 September 1995
In this article, the authors develop relative pricing (APT) models that are successful in explaining expected returns in the bond market. They utilize indexes as well as unanticipated changes in…
The Persistence of Risk-Adjusted Mutual Fund Performance
- E. Elton, M. Gruber, Christopher R. Blake
- Economics
- 1 May 1995
The authors examine predictability for stock mutual funds using risk-adjusted returns. They find that past performance is predictive of future risk-adjusted performance. Applying modern portfolio…
Survivorship Bias and Mutual Fund Performance
- E. Elton, M. Gruber, Christopher R. Blake
- Economics
- 1 March 1995
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 all funds…
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