The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
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The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation
Published: 07/01/1993 | DOI: 10.1111/j.1540-6261.1993.tb04029.x
T. DANIEL COGGIN, FRANK J. FABOZZI, SHAFIQUR RAHMAN
This paper presents an empirical examination of the selectivity and market timing performance of a sample of U.S. equity pension fund managers. Regardless of the choice of benchmark portfolio or estimation model, the average selectivity measure is positive and the average timing measure is negative. However both selectivity and timing appear to be somewhat sensitive to the choice of a benchmark when managers are classified by investment style. Meta‐analysis revealed some real variation around the mean values for each measure. The 80 percent probability intervals for selectivity revealed that the best managers produced substantial risk‐adjusted excess returns. We also found a negative correlation between selectivity and timing, but we argue that the observed negative correlation in our data is largely an artifact of negatively correlated sampling errors for the two estimates.
Holiday Trading in Futures Markets
Published: 03/01/1994 | DOI: 10.1111/j.1540-6261.1994.tb04432.x
FRANK J. FABOZZI, CHRISTOPHER K. MA, JAMES E. BRILEY
In this paper, we find significantly higher preholiday returns in futures contracts compared to nonholiday returns. The findings are consistent with the inventory adjustment hypothesis, since higher preholiday returns associated with lower trading volume are most pronounced for exchange‐closed holidays. There is evidence of positive postholiday returns associated with higher trading volume for exchange‐open holidays. This is consistent with positive holiday sentiments. The holiday effect is uniquely independent: The magnitude of excess holiday returns is the largest among all seasonal variations.
A Note on Unsuccessful Tender Offers and Stockholder Returns
Published: 12/01/1988 | DOI: 10.1111/j.1540-6261.1988.tb03970.x
FRANK J. FABOZZI, MICHAEL G. FERRI, T. DESSA FABOZZI, JULIA TUCKER
Recent research shows that unsuccessful tender offers may affect target share returns for two years past the offer's announcement. This note examines target returns in the interim between the announcement and one year after the offer's withdrawal. Analyzing a recent sample of targets that did not get another bid in the year following a failed tender offer, this study reaches two conclusions. First, all of an offer's premium disappears by the time failure becomes public. Second, excess returns are zero in the post‐failure year. An explanation that is based on the causes of the tender offers' failures is presented.