Studies in Economics and Finance: Volume 22 Issue 1

GOLD AS AN INFLATION HEDGE?

DIPAK GHOSH, ERIC J. LEVIN, PETER MACMILLAN, ROBERT E. WRIGHT

This paper attempts to reconcile an apparent contradiction between short‐run and long‐run movements in the price of gold. The theoretical model suggests a set of conditions under…

MUTUALITY FOR FOOTBALL CLUBS? LESSONS FROM THE FINANCIAL SECTOR

ANDREW ADAMS, SETH ARMITAGE

The mutualisation of two English third division football clubs in 2001 and the creation of a large number of supporters' trusts make it timely to consider whether there is a case…

THE CROSS‐AUTOCORRELATION OF SIZE‐BASED PORTFOLIO RETURNS IN EUROPE

MITCHELL RATNER, GULSER MERIC, ILHAN MERIC

This study examines the cross‐autocorrelation of size‐based portfolio returns in a sample of 15 major European markets using daily data from January 1990 through December 1999…

DECOMPOSING TECHNICAL EFFICIENCY AND WINDOW ANALYSIS

NECMI K AVKIRAN

Data envelopment analysis (DEA) and window analysis are used to follow the changes in Australian trading banks' pure technical efficiency, scale efficiency, and the nature of…

COMPARISON OF BENCHMARKS FOR PORTFOLIO PERFORMANCE: AN EMPIRICAL ANALYSIS

JOHN R. AULERICH

In most portfolio performance studies, a reference portfolio is used to assess the performance of a portfolio manager. The choice of an appropriate reference portfolio is…