Managerial Finance: Volume 31 Issue 8

Enforcing the Law of One Price: Nonlinear Mean Reversion in the ADR Market

E. Dante Suarez

This work presents evidence that cross‐isted stocks (ADRs) are traded in markets that are not completely integrated, and it is the presence of high frequency arbitrage activity…

Allocating Assets in Retirement Savings to Avoid Downside Risk

Donald Lien, Thomas Root

An investor saving for retirement attempts to allocate as sets in a manner that provides enough savings to produce a secure post retirement income. Falling short of the desired…

“Doing Well While Doing Good” Revisited: A Study of Socially Responsible Firms' Short‐Term versus Long‐term Performance

Todd Shank, Daryl Manullang, Ron Hill

This article reexamines the “doing well while doing good” debate within the financial management literature, using comparisons among socially responsible mutual funds (SRMF(, the…

The Effective Bid‐Ask Spread and Transaction Likelihood

Arthur A. Ferri, Ravi Jain

This study empirically examines the relationship between the effective bid‐ask spread on foreign currency options traded on the Philadelphia Stock Exchange and the likelihood of a…

Risk and Return Properties of Portfolios Based on Directional Forecasts

Kathryn A. Wilkens, Jean L. Heck, Steven J. Cochran

In this study, a formula is derived for the period specific beta (market risk) for a portfolio of financial assets that has been formed on the basis of directional forecasts. This…