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Scholarly Work by CIIM
Working papers and work in progress
1) |
Kajal Lahiri and Xuguang Sheng, “Evolution of Forecast Disagreement, Overconfidence and Underreaction to News in a Heterogeneous Agents Model,” University at Albany work in progress, 2006. CIIM funded. |
2) |
Bill Ding, “Characteristics of Mutual Funds Involved in Market Timing and Late Trading,” University at Albany working paper, 2004. CIIM funded |
3) |
David P. McCaffrey, “The Interactions of Controls in the Securities Industry,” University at Albany working paper, 2004. CIIM funded. |
4) |
Rita Biswas, “An Empirical Analysis of Alternative Global Asset Allocation Strategies,” in process, University at Albany, 2005. CIIM funded. |
5) |
Janet Marler and Christophe Faugère, “The Effect of Institutional Activism on the Incentive Structure of Managerial Compensation,” University at Albany working paper, 2006. CIIM funded. |
6) |
Bill Ding and Kinsun Tam “Mutual Fund Governance Structure and Its Implications for Fund Performance,” University at Albany work in progress. CIIM funded. |
7) |
Ding, Bill and Hany A. Shawky, “Hedge Fund Performance: 1990-2003,” University at Albany workingpaper, 2005. |
8) |
Christophe Faugère, Hany Shawky, and David M. Smith, “Characteristics of Institutional Growth and Value Portfolios,” University at Albany working paper, 2005. |
9) |
Preeti Goel, Pabitra Mitra, Amitabha Mukerjee and Rita Biswas, “The Role of Model Selection in Mutual Funds Sector Allocation Analysis,” University at Albany working paper, 2005. |
10) |
Hei Wai Lee and David M. Smith, “The Investment Characteristics of Preferred Stock,” University at Albany working paper 2005. |
11) |
C. Faugère, “A New Ratio for Stock Selection: The Earnings Yield to Growth (E/PG) Ratio”, in process. |
12) |
John A. Haslem, H. Kent Baker, and David M. Smith, “Institutional S&P 500 Index Funds as Financial Commodities: Fact and Fiction,” working paper 2006. |
13) |
John A. Haslem, H. Kent Baker, and David M. Smith, “Performance and Characteristics of Actively Managed Retail Equity Mutual Funds with Diverse Expense Ratios,” working paper 2006. |
14) |
Jing-Zhi Huang and Ying Wang, “Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings.” |
15) |
Selchuk Caner and Hany A. Shawky, “A Closed-Form Relationship Between Stock and Bond Markets.” |
16) |
Sanjay Goel and Hany A. Shawky, “Estimating the Market Impact of Security Breach Announcements on Firm Values.” |
17) |
Russell B. Gregory-Allen, Hany A. Shawky, and Jeffrey Stangl, “Quantitative vs. Fundamental Analysis in Institutional Money Management: Where’s the Beef?” |
18) |
Rita Biswas and Hany A. Shawky, “Covered Bonds as an Alternative Mortgage Funding Model to the Pass-Through Mortgage Backed Securities Market in the US.” |
19) |
Oguzhan Dincer, Russell B. Gregory-Allen, and Hany A. Shawky, “Is There Added Value in a Manager Having a CFA or MBA, when it comes to portfolio performance?” |
CIIM support for research takes the forms of direct grants, data acquisition, student assistants, software acquisition, guest speakers and travel to conferences.
Refereed Journal Publications
| 1) |
Cao, Charles, Eric C. Chang, and Ying Wang, “ An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility,” Journal of Banking and Finance 32, 2111-2123 (October 2008). |
| 2) |
Ding, Bill, Hany A. Shawky, and Jianbo Tian, “Liquidity Shocks, Size, and the Relative Performance of Hedge Fund Strategies,” Journal of Banking and Finance, forthcoming. |
| 3) |
Haslem, John A., H. Kent Baker, and David M. Smith, “Performance and Characteristics of Actively Managed Institutional Equity Mutual Funds,” Journal of Investing, 18 (1) Spring 2009 forthcoming. |
| 4) |
Miller, Ross M. “Don’t Let Your Robots Grow up to be Traders: Artificial Intelligence, Human Intelligence, and Asset-Market Bubbles,” Journal of Economic Behavior and Organization, Vol. 68 August 2008. |
| 5) |
Haslem, John A., David M. Smith, and H. Kent Baker, “Performance and Characteristics of Actively Managed Retail Equity Mutual Funds with Diverse Expense Ratios,” Financial Services Review, Vol. 17 (2) Summer 2008. |
| 6) |
Haslem,John A., David M. Smith, and H. Kent Baker, “Institutional S&P 500 Index Funds as Financial Commodities: Fact and Fiction,” Journal of Investing, Vol. 17 (2) Summer 2008. |
| 7) |
Girard, Eric, Sinha, A. and Rita Biswas, "The Relationship between Information Flow and Energy Futures Volatility," Review of Futures Markets, Vol. 16 (3) Winter 2007-08. |
| 8) |
Goel, Sanjay, Christopher Brown and Hany A. Shawky, “Complexity and the Performance of Investment Portfolios,” Advances in Investment Analysis and Portfolio Management, Vol. 3 2007. |
| 9) |
Girard, Eric, and Rita Biswas, "Trading Volume and Market Volatility: Developed versus Emerging Markets," Financial Review Vol. 42 (3) August 2007. |
| 10) |
Haslem, John A., H. Kent Baker, and David M. Smith, “Identification and Performance of Equity Mutual Fund with Excessive Management Fees and Expense Ratios,” Journal of Investing, Vol. 16 (2) Summer 2007. |
| 11) |
Miller, Ross M., “Measuring the True Cost of Active Management by Mutual Funds,” Journal of Investment Management, Vol. 5 (1), First Quarter 2007. |
| 12) |
Ding, Bill, and Hany A. Shawky, “The Performance of Hedge Fund Strategies and the Asymmetry of Return Distributions,” European Financial Management, Vol. 13 (2) March 2007. |
| 13) |
Faugère, Christophe, and Julian Van Erlach, “The Equity premium: Consistent with GDP Growth and Portfolio Insurance,” The Financial Review, 41 (4) November 2006. |
| 14) |
Smith, David M., and William H. Desormeau, Jr., “Optimal Rebalancing Frequency for Stock-Bond Portfolios,” Journal of Financial Planning, Vol. 19 (11) November 2006. |
| 15) |
Haslem, John A., H. Kent Baker, and David M. Smith, “Are Retail S&P 500 Index Funds a Financial Commodity? Insights for Investors,” Financial Services Review, Vol. 15 (2) Summer 2006. |
| 16) |
Shawky, Hany A., and Liuling Li, “Optimal Asset Size for US Small-cap Equity Mutual Funds,” Journal of Investing, 15 (1) Spring 2006. |
| 17) |
Ornstil, David, Hany A. Shawky, and David M. Smith, “Is the SEC Registration Status of Hedge Fund Advisers Associated with Superior Performance?,” Journal of Alternative Investments, Vol. 8 (4) Spring 2006. |
| 18) |
Shawky, Hany A., and David M. Smith, “The Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance,” The Financial Review, Vol. 40 (1) November 2005. |
| 19) |
Faugère, Christophe, and Julian Van Erlach, “The Price of Gold: A Global Required Yield Theory,” Journal of Investing, 14 (1) Spring 2005. |
| 20) |
Faugère, Christophe, Hany A. Shawky, and David M. Smith, “Sell Discipline and Institutional Money Management,” Journal of Portfolio Management, Vol. 30 (3) Spring 2004. |
| 21) |
Faugère, Christophe, and Hany A. Shawky, “Volatility and Institutional Investors Holdings during a Declining Market: A Case Study of Nasdaq during the Year 2000,” Journal of Applied Finance, Volume 13 (2) Fall/Winter 2003. |
| 22) |
Jun, Sang-Gyung, Achla Marathe and Hany A. Shawky, “Liquidity and Stock Returns in Emerging Equity Markets,” Emerging Markets Review, Volume 4 (1) March 2003. |
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