Existing studies of mutual fund market timing analyze monthly returns and find little evidence
of timing ability. We show that daily tests are more powerful and that mutual funds exhibit …

This paper examines the relation between net buying pressure and the shape of the implied
volatility function (IVF) for index and individual stock options. We find that changes in …

I study the dynamics of investor cash flows in socially responsible mutual funds. Consistent
with anecdotal evidence of loyalty, the monthly volatility of investor cash flows is lower in …

We estimate parameters of standard stock selection and market timing models using daily
mutual fund returns and quarterly measurement periods. We then rank funds quarterly by …

We find a significant discontinuity in the pooled distribution of monthly hedge fund returns:
The number of small gains far exceeds the number of small losses. The discontinuity is …

This paper examines the ability of regime-switching models to capture the dynamics of foreign
exchange rates. First we test the ability of the models to fit foreign exchange rate data in-…

This paper presents a lattice-based method for valuing both European and American-style
options in regime-switching models. The Black-Scholes model is shown to generate …

In this paper, I develop an option valuation framework that explicitly incorporates a product
life cycle. I then use the framework to value the real option to change a project's capacity. …

Accurate appraisal of hedge fund performance must recognize the freedom with which managers
shift asset classes, strategies, and leverage in response to changing market conditions …

The need to understand and measure the determinants of market maker bid/ask spreads is
crucial in evaluating the merits of competing market structures and the fairness of market …