Current Working Papers

The following list of working papers is in PDF format. If you don't already have a PDF reader you can download Acrobat Reader for free.

1 Characterizing Value and Growth Investing in Institutional Portfolios. By Christophe Faugère, Hany A Shawky and David M. Smith.
2. Measuring the True Cost of Active Management by Mutual Funds. By Ross M. Miller.
3.  Sell Discipline and Institutional Money Management. By Christophe Faugère, Hany A Shawky and David M. Smith.
4. American Corporate Control from the Perspective of Systems Dynamics. By Emil Joseph Bove III.
5. The Equity Premium: Explained by GDP Growth and Portfolio Insurance. By Christophe Faugère and Julian Van Erlach
6. Volatility and Institutional Holdings. By Christophe Faugère and Hany A. Shawky.
7.  Hedge Funds Analysis Utilizing The PSN Database.  By Levi Mayer, Scott Escudero, Chris Nocella and Dionisios Christoforatos.
8.   Characteristics of Asset Classes Returns 1980-2003. By Vincent Barton.
9.    Mutual Fund Stars: The Performance and Behavior of U.S. Funds Managers. By Bill Ding and Russ Wermers.
10.  The Use of P/E & P/B Ratios In Portfolio Management. By Rick Bleser.
11.  Hedge Fund Performance 1990-2003. By Bill Ding and Hany A. Shawky.
12.  Optimal Asset Size For US Small-Cap Equity Mutual Fund. By Hany A. Shawky and Liuling Li.
13.  The Preformance of Hedge Fund Strategies and the Asymmetry of Return Distributions.  By Bill Ding and Hany A. Shawky.
14. Asset Liquidity, Size and the relative Performance of Hedge Fund Strategies.  Bill Ding and Hany A. Shawky .
15.  Subjective Probability Forecasts for Recessions.  By Kajal Lahiri and J. George Wang.
16. Measuring the True Cost of Active Management by Mutual Funds. By Ross M. Miller

CIIM Research Output, 2003-06

Referred Journal Publications 

1.Ding, Bill, and Hany A. Shawky, “Performance of Hedge Fund Strategies and Asymmetry of Return Distributions,” European Financial Management, forthcoming.

2. David M. Smith and William H. Desormeau, Jr., “Optimal Rebalancing Frequency for Stock-Bond Portfolios,” Journal of Financial Planning, forthcoming.

3. John A. Haslem, David M. Smith, and H. Kent Baker, “Identification and Performance of Equity Mutual Fund with Excessive Management Fees and Expense Ratios,” forthcoming in Journal of Investing, Vol. 16 (Spring 2007).

4. David Ornstil, Hany A. Shawky, and David Smith, “Is the SEC Registration Status of Hedge Fund Advisors associated with Superior Performance?” Journal of Alternative Investments, 8 (4) Spring 2006.

5. Hany A. Shawky and Liuling Li, “Optimal Asset Size for US Small-cap Equity Mutual Funds,” Journal of Investing, 15 (1) Spring 2006.

6. Christophe Faugère and Julian Van Erlach, “The Equity premium: Consistent with GDP Growth and Portfolio Insurance,” The Financial Review, November 2006, 41(4), 547-564.

7. John A. Haslem, 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 No. 2 (Summer 2006), pp. 99-116.

8. Christophe Faugère and Julian Van Erlach, “The Price of Gold: A Global Required Yield Theory,” Journal of Investing, 14 (1) Spring 2005, pp. 99-111.

9. Hany A. Shawky and David Smith, “The Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance,” The Financial Review, November 2005.

10. Christophe Faugere, Hany A. Shawky and David Smith, “Sell Discipline and Institutional Money Management,” Journal of Portfolio Management, Volume 30, No. 3, Spring 2004, pp. 95-105.

11. Sang-Gyung Jun, Achla Marathe and Hany A. Shawky, “Liquidity and Stock Returns in Emerging Equity Markets,” Emerging Markets Review, Volume 4 (1), March 2003, pp. 1-24.

12. Christophe Faugere 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, No. 2, Fall/Winter 2003, pp. 32-42.

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. Rita Biswas, Preeti Goel, Amitabha Mukerjee and Hany A. Shawky, “The Application of Genetic Algorithms for a Three-way Optimization of Risk-Return-Tax Tradeoff in Equity Mutual Fund Portfolios,” University at Albany working paper, 2004-05.

8. Ding, Bill and Hany A. Shawky, “Hedge Fund Performance: 1990-2003,” University at Albany working paper, 2005.

9. Christophe Faugère, Hany Shawky, and David M. Smith, “Characteristics of Institutional Growth and Value Portfolios,” University at Albany working paper, 2005.

10. 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.

11. Hei Wai Lee and David M. Smith, “The Investment Characteristics of Preferred Stock,” University at Albany working paper 2005. 

12. Ross M. Miller, “Measuring the True Cost of Active Management by Mutual Funds,” University at Albany working paper, , 2005.

13. C. Faugère, “A New Ratio for Stock Selection: The Earnings Yield to Growth (E/PG) Ratio”, in process.

14. 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.

15. 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.

CIIM support for research takes the forms of direct grants, data acquisition, student assistants, software acquisition, guest speakers and travel to conferences.