Table Of Content

Financial Analysts Journal Volume 55 (1999) AUTHOR INDEX A Agrrawal, Pankaj, and Goldsticker, The Effects of Daniel, Kent, and Titman, Market Efficiency in an Blending Primary and Diluted EPS Data, March/ Irrational World, November /December:28-40. April:51-60. Das, Sanjiv Ranjan, and Raghubir, A Case for Theory- Driven Experimental Enquiry, November/ December:56-79. Barber, Brad M., and Odean, The Courage of Mis- De Bondt, Werner, Schiereck, and Weber, Contrar- ian and Momentum Strategies in Germany, guided Convictions, November /December:41-55. November /December:104-116. Beneish, Messod D., The Detection of Earnings Ma- Deng, Zhen, Lev, and Narin, Science and Technology nipulation, September /October:24-36. as Predictors of Stock Performance, May /June:20- Block, Stanley B., A Study of Financial Analysts: Prac- fe97 ”4 5 . r r tice and Theory, July / August:86-92. Dhatt, Manjeet S., Kim, and Mukherji, The Value Pre- Bookstaber, Richard, Risk Management in Complex mium for Small-Capitalization Stocks, September/ Organizations, March/ April:18-20.* October:60-68. Brown, Gregory W., Volatility, Sentiment, and Noise Dobson, John, Is Shareholder Wealth Maximization l'raders, March/ April:82-90. Immoral?, September /October:69-75. Dowd, Kevin, Financial Risk Management, July/ 3utler, Kirt C., and Saraoglu, Improving Analysts’ August:65-71. Negative Earnings Forecasts, May /June:48-56. Duffie, Darrell, Credit Swap Valuation, January/ February:73-87. Dybvig, Philip H., Using Asset Allocation to Protect Capaul, Carlo, Asset-Pricing Anomalies in Global Spending, January / February:49-62. Industry Indexes, July / August:17-37. Chan, Louis K.C., Jegadeesh, and Lakonishok, The Profitability of Momentum Strategies, November/ Finn, Mark T., Fuller, and Kling, Equity Mispricing: December:80-90. It’s Mostly on the Short Side, November / Chow, George, Jacquier, Kritzman, and Lowry, December:117-126. Optimal Portfolios in Good Times and Bad, May / i Fisher, Kenneth L., and Statman, A Beliavioral June:65-73. Framework for Time Diversification, May /June:88- Conover, C. Mitchell, Jensen, and Johnson, Mone- 97. tary Conditions and International Investing, July/ Fridson, Martin S., BOOMERNOMICS: THE FU- August:38-48. TURE OF YOUR MONEY IN THE UPCOMING Copeland, Maggie M., and Copeland, Market Tim- GENERATIONAL WARFARE by William Ster- ling and Stephen Waite (book review), January / ing: Style and Size Rotation Using the VIX, March/ February:95. April:73-81. , VALUE INVESTING: A BALANCED Copeland, Thomas E., and Copeland, Market Tim- APPROACH by Martin J. Whitman (book review), ing: Style and Size Rotation Using the VIX, March/ September /October:92-93. April:73-81. Fuller, Russell J., Finn, and Kling, Equity Mispricing: It’s Mostly on the Short Side, November /Decem- *Perspectives article. ber:117-126. ©1999, Association for Investment Management and Research Financial Analysts Journal Volume 55 (1999) AUTHOR INDEX A Agrrawal, Pankaj, and Goldsticker, The Effects of Daniel, Kent, and Titman, Market Efficiency in an Blending Primary and Diluted EPS Data, March/ Irrational World, November /December:28-40. April:51-60. Das, Sanjiv Ranjan, and Raghubir, A Case for Theory- Driven Experimental Enquiry, November/ December:56-79. Barber, Brad M., and Odean, The Courage of Mis- De Bondt, Werner, Schiereck, and Weber, Contrar- ian and Momentum Strategies in Germany, guided Convictions, November /December:41-55. November /December:104-116. Beneish, Messod D., The Detection of Earnings Ma- Deng, Zhen, Lev, and Narin, Science and Technology nipulation, September /October:24-36. as Predictors of Stock Performance, May /June:20- Block, Stanley B., A Study of Financial Analysts: Prac- fe97 ”4 5 . r r tice and Theory, July / August:86-92. Dhatt, Manjeet S., Kim, and Mukherji, The Value Pre- Bookstaber, Richard, Risk Management in Complex mium for Small-Capitalization Stocks, September/ Organizations, March/ April:18-20.* October:60-68. Brown, Gregory W., Volatility, Sentiment, and Noise Dobson, John, Is Shareholder Wealth Maximization l'raders, March/ April:82-90. Immoral?, September /October:69-75. Dowd, Kevin, Financial Risk Management, July/ 3utler, Kirt C., and Saraoglu, Improving Analysts’ August:65-71. Negative Earnings Forecasts, May /June:48-56. Duffie, Darrell, Credit Swap Valuation, January/ February:73-87. Dybvig, Philip H., Using Asset Allocation to Protect Capaul, Carlo, Asset-Pricing Anomalies in Global Spending, January / February:49-62. Industry Indexes, July / August:17-37. Chan, Louis K.C., Jegadeesh, and Lakonishok, The Profitability of Momentum Strategies, November/ Finn, Mark T., Fuller, and Kling, Equity Mispricing: December:80-90. It’s Mostly on the Short Side, November / Chow, George, Jacquier, Kritzman, and Lowry, December:117-126. Optimal Portfolios in Good Times and Bad, May / i Fisher, Kenneth L., and Statman, A Beliavioral June:65-73. Framework for Time Diversification, May /June:88- Conover, C. Mitchell, Jensen, and Johnson, Mone- 97. tary Conditions and International Investing, July/ Fridson, Martin S., BOOMERNOMICS: THE FU- August:38-48. TURE OF YOUR MONEY IN THE UPCOMING Copeland, Maggie M., and Copeland, Market Tim- GENERATIONAL WARFARE by William Ster- ling and Stephen Waite (book review), January / ing: Style and Size Rotation Using the VIX, March/ February:95. April:73-81. , VALUE INVESTING: A BALANCED Copeland, Thomas E., and Copeland, Market Tim- APPROACH by Martin J. Whitman (book review), ing: Style and Size Rotation Using the VIX, March/ September /October:92-93. April:73-81. Fuller, Russell J., Finn, and Kling, Equity Mispricing: It’s Mostly on the Short Side, November /Decem- *Perspectives article. ber:117-126. ©1999, Association for Investment Management and Research Author Index G L Gallo, John G., and Lockwood, Fund Management Lakonishok, Josef, Chan, and Jegadeesh, The Profit- Changes and Equity Style Shifts, September/ ability of Momentum Strategies, November / October:44-52. December:80-90. Goldsticker, Ralph P., and Agrrawal, The Effects of Lee, Charles M.C., and Swaminathan, Valuing the Blending Primary and Diluted EPS Data, March/ Dow: A Bottom-Up Approach, September / April:51-60. October:4—23. Granito, Michael R., EFFICIENT ASSET MAN- Lee, Wayne Y., Indro, Jiang, and Hu, Mutual Fund AGEMENT: A PRACTICAL GUIDE TO STOCK Performance: Does Fund Size Matter?, May, PORTFOLIO OPTIMIZATION AND ASSET June:74-87. ALLOCATION by Richard O. Michaud (book Leibowitz, Martin L., P/E Forwards and Their Orbits, review), May /June:101-102. May/June:33-47. H Leland, Hayne E., Beyond Mean—Variance: Perfor- mance Measurement in a Nonsymmetrical World, Heston, Steven L., Valuation and Hedging of Risky January /February:27-36. Lease Payments, January / February:88-94. eV, ee Deng, and Narin, Science and Technol- Hu, Michael Y., Indro, Jiang, and Lee, Mutual Fund gya s Predictors of Stock Performance, May Performance: Does Fund Size Matter?, May / ee oz. June:74-87. Liang, Bing, On the Performance of Hedge Funds, July/ / August:72-85. o, Andrew W.., The Three P’s of Total Risk Manage- Indro, Daniel C., Jiang, Hu, and Lee, Mutual F ‘und Performance: Does Fund Size Matter?, May/ ment, January / February:13-26. June:74-87. Lockwood, Larry J., and Gallo, Fund Management Changes ant 1 Equit ity Style Shifts , September, J October 44-52. Jacquier, Eric, Chow, Kritzman, and Lowry, Opti- Lombard, Thierry, Roulet, and Scene wha of mal Portfolios in Good Times and Bad, May / Domestic versus Multinational Compa »s, March/ June:65-73. Apr 1-35-49. Jegadeesh, Narasimhan, Chan, and Lakonishok, The Lowry, Kenneth, Chow, Jacquier, and Kritzman, Profita bility of Momentum Strategies, November/ Optimal Portfolios in Good Times and Bad, May December:80-90. June:65-73. Jensen, Gerald R., Conover, and Johnson, Mone- tary Conditions and International Investing, July/ M August:38-48. Markowitz, Harry M., The Early History of Portfolio Jiang, Christine X., Indro, Hu, and Lee, Mutual Fund Theory: 1600-1960, July/ A ugust:5-16.* Performance: Does Fund Size Matter?, May / McQueen, Grant, and Thorley, Mining Fool's Gold, June:74-87. March/ April:61-72. Johnson, Robert R., Conover, and Jensen, Mone- Miller, Kenneth R., Jr., and Tobe, Value of the CFA tary Conditions and International Investing, July / Designation to Public Pensions, March/ April:21- August:38-48. 25.* K Morris, Victor F., THE NEW FINANCIAL CAPI- TALISTS: KOHLBERG KRAVIS ROBERTS & Kao, Duen-Li, and Shumaker, Equity Style Timing, CO. AND THE CREATION OF CORPORATE Jan/ Fuebrauarry:3y7-4 8. VALUE by George P. Baker and George David Smith Kim, Yong H., Dhatt, and Mukherji, The Value Pre- (book review), May /June:98-100. mium for Small-Capitalization Stocks, September / ——, THE REDISCOVERED BENJAMIN GRA- October:60-68. HAM: SELECTED WRITINGS OF THE WALI Kling, John L., Finn, and Fuller, Equity Mispricing: STREET LEGEND by Janet Lowe (book review), It’s Mostly on the Short Side, November/ November /December:127-129. December:117-126. ,A TRAITOR TO HIS CLASS: ROBERT A.G. Kritzman, Mark, Chow, Jacquier, and Lowry, Opti- MONKS AND THE BATTLE TO CHANGE mal Portfolios in Good Times and Bad, May / CORPORATE AMERICA by Hilary Rosenberg June:65-73. (book review), September /October:90-91. November/December 1999 Financial Analysts Journal Mukherji, Sandip, Dhatt, and Kim, The Value Premi- Scott, James, Stumpp, and Xu, Behavioral Bias, Val- um for Small-Capitalization Stocks, September/ uation, and Active Management, July / August:49- October:60-68. 57. Shefrin, Hersh, Irrational Exuberance and Option Smiles, November /December:91-103. Narin, Francis, Deng, and Lev, Science and Technol- Shumaker, Robert D., and Kao, Equity Style Timing, ogy as Predictors of Stock Performance, May/ January /February:37+48. June:20-32. Solnik, Bruno, Lombard, and Roulet, Pricing of Do- mestic versus Multinational Companies, March/ Neill, John D., and Pfeiffer, The Effect of Potentially April:35—-49. Dilutive Securities on P/Es, July / August:58-64. Statman, Meir, Foreign Stocks in Behavioral Portfolios, O March/ April:12-16.* , Behavioral Finance: Past Battles and Future Odean, Terrance, and Barber, The Courage of Mis- Engagements, November /December:18-27. guided Convictions, November /December:41-55. Statman, Meir, and Fisher, A Behavioral Framework O’Neal, Edward S., Mutual Fund Share Classes and for Time Diversification, May /June:88-97. Broker Incentives, September /October:76-87. Stumpp, Mark, Scott, and Xu, Behavioral Bias, Valu- P ation, and Active Management, Ju/ Aulgusyt:4 9- 57. Pfeiffer, Glenn M., and Neill, The Effect of Potentially Swaminathan, Bhaskaran, and Lee, Valuing the Dilutive Securities on P/Es, July / August:58-64. Dow: A Bottom-Up Approach, September/ October:4-23. R T Raghubir, Priya, and Das, A Case for Theory-Driven Experimental Enquiry, November/ Thaler, Richard H., The End of Behavioral Finance, December:56-79. Nove/ Dmecembbere:12r-17 .* Roulet, Jacques, Lombard, and Solnik, Pricing of Thorley, Steven, and McQueen, Mining Fool’s Gold, March/ April:61-72. Domestic versus Multinational Companies, March/ April:35—-49. Titman, Sheridan, and Daniel, Market Efficiency in Rouwenhorst, K. Geert, European Equity Markets an Irrational World, November /December:28—40. and the EMU, May/June:57-64. Tobe, Christopher B., and Miller, Value of the CPA® Designation to Public Pensions, March/ April:21- Rudolph-Shabinsky, Ivan, and Trainer, Assigning a a Duration to Inflation-Protected Bonds, September/ October:53-59. Trainer, Francis H., Jr., and Rudolph-Shabinsky, Assigning a Duration to Inflation-Protected Bonds, Rzepczynski, Mark S., A HISTORY OF CORPO- September /October:53-59. RATE FINANCE by Jonathan Barron Baskin and Treynor, Jack, Zero Sum, January /February:8-12.* Paul J. Miranti, Jr. (book review), March/ April:91-92. , The Investment Value of Brand Franchise, March/ April:27-34. , SEEING TOMORROW: REWRITING THE RULES OF RISK by Ron S. Dembo and Andrew Ww Freeman (book review), September /October:88- 89. Wang, Ming Yee, Multiple-Benchmark and Multiple- Portfolio Optimization, January /February:63-72. S Weber, Martin, Schiereck, and De Bondt, Contrarian and Momentum Strategies in Germany, November/ Saraoglu, Hakan, and Butler, Improving Analysts’ December:104-116. Negative Earnings Forecasts, May /June:48-56. Worden, Debra Drecnik, and Schooley, Investors’ Schiereck, Dirk, De Bondt, and Weber, Contrarian Asset Allocations versus ‘Life-Cycle Funds, and Momentum Strategies in Germany, Novem- September /October:37-43. ber /December:104—-116. X Schooley, Diane K., and Worden, Investors’ Asset Allocations versus Life-Cycle Funds, September/ Xu, Peter, Scott, and Stumpp, Behavioral Bias, Valua- October:37-43. tion, and Active Management, July / August:49-57. 132 ©1999, Association for Investment Management and Research TOPICAL INDEX Volume 55 (1999) The Topic Index for 1996-99 is available online at www.aimr.org/knowledge/pubs/faj/faj_topic_index.htm| Subject Categories: Accounting Principles and Practices Valuation Market Anomalies Equities Market Structure Fixed Income Performance Derivatives Portfolio Management Miscellaneous Professional Conduct and Ethics Behavioral Finance Risk Management Firm Management The Profession Book Reviews Letters to the Editor Accounting Principles and Practices Fund Management Changes and Equity Style Shifts by John G. Gallo and Larry J. Lockwood, Septem- ber /October:44-52. Market Anomalies Investors’ Asset Allocations versus Life-Cycle Funds by Diane K. Schooley and Debra Drecnik Worden, Market Structure September /October:37-43. Volatility, Sentiment, and Noise Traders by Gregory Market Timing: Style and Size Rotation Using the VIX W. Brown, March/ April:82-90. by Maggie M. Copeland and Thomas E. Cope- land, March/ April:73-81. Performance Mining Fool's Gold by Grant McQueen and Steven Thorley, March/April:61-72. Beyond Mean-Variance: Performance Measurement in a Nonsymmetrical World by Hayne E. Leland, Monetary Conditions and International Investing by C. January /February:27-36. Mitchell Conover, Gerald R. Jensen, and Robert R. Johnson, July / August:38-48. Mutual Fund Performance: Does Fund Size Matter? by Multiple-Benchmark and Multiple-Portfolio Optimiza- Daniel C. Indro, Christine X. Jiang, Michael Y. Hu, and Wayne Y. Lee, May/June:74-87. tion by Ming Yee Wang, January / February:63- rm On the Performance of Hedge Funds by Bing Liang, Optimal Portfolios in Good Times and Bad by George July / August:72-85. Chow, Eric Jacquier, Mark Kritzman, and Kenneth Lowry, May/June:65-73. Portfolio Management Using Asset Allocation to Protect Spending by Philip Asset-Pricing Anomalies in Global Industry Indexes by H. Dybvig, January /February:49-62. Carlo Capaul, July / August:17-37. The Value Premium for Small-Capitalization Stocks by Assigning a Duration to Inflation-Protected Bonds by Manjeet S. Dhatt, Yong H. Kim, and Sandip Ivan Rudolph-Shabinsky and Francis H. Trainer, Mukherji, September /October:60-68. Jr., September /October:53-59. Zero Sum by Jack Treynor, January /February:8- Equity Style Timing by Duen-Li Kao and Robert D. i Shumaker, January /February:37-48. European Equity Markets and the EMU by K. Geert Professional Conduct and Ethics Rouwenhorst, May/June:57-64. Is Shareholder Wealth Maximization Immoral? by John Dobson, September /October:69-75. *Perspectives article. November/December 1999 Financial Analysts Journal Mutual Fund Share Classes and Broker Incentives by Miscellaneous: Behavioral Finance Edward S. O’Neal, September /October:76-87. Behavioral Finance: Past Battles and Future Engagements by Meir Statman, November /December:18-27. Risk Management A Behavioral Frameworfko r Time Diversification by Financial Risk Management by Kevin Dowd, July/ Kenneth L. Fisher and Meir Statman, May/ August:65-71. June:88-97. Risk Management in Complex Organizations by Rich- A Case for Theory-Driven Experimental Enquiry by ard Bookstaber, March/ April:18—20.* Priya Raghubir and Sanjiv Ranjan Das, The Three P’s of Total Risk Management by Andrew November/ December:56-79. W. Lo, January /February:13-26. Contrarian and Momentum Strategies in Germany by Dirk Schiereck, Werner De Bondt, and Martin Valuation Weber, Nove/ Dmecebmbeer:1r04— 116. Behavioral Bias, Valuation, and Active Management by The Courage of Misguided Convictions by Brad M. James Scott, Mark Stumpp, and Peter Xu, July / Barber and Terrance Odean, November/ August:49-57. December:41-55. The End ofB ehavioral Finance by Richard H. Thaler, Credit Swap Valuation by Darrell Duffie, January/ February:73-87. November/ December:12-17.* Equity Mispricing: It’s Mostly on the Short Side by The Detection of Earnings Manipulations by Messod Mark T. Finn, RussellJ . Fuller, and John L. Kling, D. Beneish, September /October:24—36. November /December:117-126. The Effect of Potentially Dilutive Securities on P/Es Foreign Stocks in Behavioral Portfolios by Meir Stat- by John D. Neill and Glenn M. Pfeiffer, July/ man, March/ April:12-16.* August:58-64. Irrational Exuberance and Option Smiles by Hersh The Effects of Blending Primary and Diluted EPS Data Shefrin, November /December:91- 103. oy Ralph P. Goldsticker and Pankaj Agrrawal, March/ April:51-60. Market Efficiency in an Irrational World by Kent Daniel and Sheridan Titman, November/ The Investment Value of Brand Franchise by Jack December:28-40. Treynor, March/ April:27-34. The Profitability of Momentum Strategies by Louis Pricing of Domestic versus Multinational Companies K.C. Chan, Narasimhan Jegadeesh, and Josef by Thierry Lombard, Jacques Roulet, and Bruno Lakonishok, November / December:80-90. Solnik, March/April: 35-49. Valuation and Hedging of Risky Lease Payments by Miscellaneous: The Profession Steven L. Heston, January / February:88-94. A Study ofF inancial Analysts: Practice and Theory by Valuing the Dow: A Bottom-Up Approach by Charles Stanley B. Block, July / August:86-92. M.C. Lee and Bhaskaran Swaminathan, Value of the CFA® Designation to Public Pensions by September /October:4—23. Kenneth R. Miller, Jr., and Christopher B. Tobe, March/ April:21-25.* Valuation: Equities Improving Analysts’ Negative Earnings Forecasts by Book Reviews Kirt C. Butler and Hakan Saraoglu, May/ Boomernomics: The Future of Your Money in the June:48-56. Upcoming Generational Warfare, William Ster- P/E Forwards and Their Orbits by Martin L. Leibowitz, ling and Stephen Waite. Review by Martin S. May /June:33-47. Fridson, January /February:95. Science and Technology as Predictors of Stock Perfor- Efficient Asset Management: A Practical Guide to Stock mance by Zhen Deng, Baruch Lev, and Francis Portfolio Optimization and Asset Allocation, Rich- Narin, May/June:20-22. * O. Michaud. Review by Michael R. Granito, May/June:101-102. Miscellaneous A a of Corporate Finance, Jonathan Barron The Early History of Portfolio Theory: 1600-1960 by Baskin and Paul J. Miranti, Jr. Review by Mark S. Harry M. Markowitz, July / August:5-16.* Rzepezynski, March/ April:91-92. ©1999, Association for Investment Management and Research Topical Index The New Financial Capitalists: Kohlberg Kravis Roberts How Much Is a Tulip Worth?: A Comment, & Co. and the Creation of Corporate Value, George P. Madeleine Mamaux, March/ April:8-9. Baker and George David Smith. Review by Victor How Mucn Isa Tulip Worth?: Author's Response, Mark F. Morris, May/June:98-100. Hirschey, March/ April:9. The Rediscovered Benjamin Graham: Selected Writings More on Reafsoro Annalyssts ’ Forecast Errors, Richard of the Wall Street Legend, Janet Lowe. Review by C. Schneider, July / August:4. Victor F. Morris, November /December:127-129. Search for the Best Financial Performance Measure: Ba Seeing Tomorrow: Rewriting the Rules of Risk, Ron S. sics Are Still Better, Robert Ferguson and Dean Dembo and Andrew Freeman. Review by Mark Leistikow, May/June:16-19. S. Rzepcezynski, September /October:88-89. Search for the Best Financial Performance Measure: Yes, A Traitor to His Class: Robert A.G. Monks and the Basics Are Better—If You Understand Them, Jeffrey Battle to Change Corporate America, Hilary M. Bacidore, John A. Boquist, Todd T. Milbourn, Rosenberg. Review by Victor F. Morris, Sep- and Anjan V. Thakor, May/June:14-16. tember /October:90-91. Stocks, Bonds, the Sharpe Ratio, and the Investment Value Investing: A Balanced Approach, Martin J. Horizon: A Comment, Jeremy j. Siegel, March Whitman. Review by Martin S. Fridson:92-93. April:7-8. Letters to the Editor Where, Oh Where Are the .400 Hitters of Yesterye Comment, David T. Jack, March/April: Company Cross-Holdings: Comments, Ranjan Sinha, May/June:9-13. Where, Oh Where Are the .400 Hitters of Yesteryear Author's Response, Peter L. Bernstein, March Company Cross-Holdings: The Finance Version, Robert Ferguson and Neal Hitzig, May/ April:11. June:7-9.