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We are grateful to an anonymous referee and Bill Schwert (the editor), whose insightful comments and encouragement greatly improved the paper. We also thank Jeff Busse, York for helpful comments and discussions. All errors are our own. Abstract Order Imbalance and Individual Stock Returns This paper studies the relation between order imbalances and daily(More)
Many investors confine their mutual fund holdings to a single fund family either for simplicity or through restrictions placed by their retirement savings plan. We find evidence that mutual fund returns are more closely correlated within than between fund families. As a result, restricting investment to one fund family leads to a greater total portfolio(More)
Aviv, Tulane, and especially an anonymous referee, for comments and suggestions. All errors are out own. Abstract This paper studies return predictability at the firm level through the performance of investment strategies that use conditioning information to build unconditional efficient portfolios from individual stocks. The model that generates moments(More)
  • John M.R.Chalmers, Roger Edelen, +12 authors Vijay Singal
  • 1999
The Rodney L. White Center for Financial Research is one of the oldest financial research centers in the country. It was founded in 1969 through a grant from Oppenheimer & Company in honor of its late partner, Rodney L. White. The Center receives support from its endowment and from annual contributions from its Members. The Center sponsors a wide range of(More)
The investment performance of portfolio managers depends on market timing and volatility timing as well as security selection skills. We develop new holdings-based performance measures that adjust for risk, display all three components in a consistent framework and avoid strong assumptions about managers' behavior. Models that leave out a component of(More)
An apparatus modeled after the Scram respirometer designed by Corcoran is described in terms of design, specifications and performance capabilities. The results with the use of this apparatus in a study of 14 able-bodied adults of five controlled walking speeds are compared to those of a similar study previously reported by Corcoran and Brengelmann. Oxygen(More)
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