This paper looks at recent market-related events and the contention, gradually gaining
credence in business circles, that we have entered an age of a New Economy. According to the …

A frequently asked question is, how informationally efficient are market prices? In answering
this question, economists commonly model the price formation process as one of …

Adjusting returns for risk is essential and the methodology employed should be universally
representative. M-Squared is an attempt to provide a risk-adjusted measure of performance, …

A basic issue underlying financial theory is the constitution of the “market portfolio” M. Hence
the adequacy of its usual proxy, the S&P500, is of paramount importance. Using 17 industry …

The first essay examines determinants of liquidity and volume in a competitive specialist
market. Contrary to previous findings, changes in diversity of beliefs, measured by the …

Menchero and Davis (2011) define X-Sigma-Rho as a risk metric that shows the marginal
contribution to risk when a security is added to a portfolio of other securities. While insightful …

Requests for proper benchmarks against which to measure performance are pervasive in
the finance industry, because benchmarks have two critical uses. First, investors need to be …

… Baigent is an Associate Professor of Finance, Boyer is an Associate Professor of Finance,
and … Contact author is Baigent. Their emails are glenn.baigent@liu.edu, carol.boyer@liu.edu, …

This paper quantifies a scene from the movie about John Nash’s life,“A Beautiful Mind.” In
that scene, John Nash’s character envisions a special type of equilibrium where it is better to …

Baigent [1999] suggests that the discounts on closed–end fund shares might be the result of
the Bayesian learning process of less informed investors, so that the discounts are rational. …