CFA Institute: Financial Analysts Journal: Table of Contents

The Herd Follows the Leader

cfapubs@cfainstitute.org (Richard M. Ennis) — Tue, 25 Mar 2008 12:19:48 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 6-8.

Fundamental Disagreement

cfapubs@cfainstitute.org (Richard M. Ennis) — Tue, 25 Mar 2008 12:19:36 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 12-12.
This material refers to the Letters to the Editor commenting on “Fundamental Indexation,” “Why Market-Valuation-Indifferent Indexing Works,” “Fundamentally Flawed Indexing,” and “Why Fundamental Indexation Might—or Might Not—...

“Fundamentally Flawed Indexing”: Comments

cfapubs@cfainstitute.org (Robert D. Arnott et al) — Tue, 25 Mar 2008 12:19:37 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 12-14.
This material comments on “Fundamentally Flawed Indexing.”

“Fundamentally Flawed Indexing”: Comments

cfapubs@cfainstitute.org (Jack Treynor) — Tue, 25 Mar 2008 12:19:45 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 14-14.
This material comments on “Fundamentally Flawed Indexing.”

“Fundamentally Flawed Indexing”: Author Response

cfapubs@cfainstitute.org (André F. Perold) — Tue, 25 Mar 2008 12:19:48 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 14-17.
This material comments on “Fundamentally Flawed Indexing.”

“Why Fundamental Indexation Might—or Might Not—Work”: A Comment

cfapubs@cfainstitute.org (Jason C. Hsu) — Tue, 25 Mar 2008 12:19:56 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 17-18.
This material comments on “Why Fundamental Indexation Might—or Might Not—Work.”

“Why Fundamental Indexation Might—or Might Not—Work”: Author Response

cfapubs@cfainstitute.org (Paul D. Kaplan) — Tue, 25 Mar 2008 12:19:56 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 18-18.
This material comments on “Why Fundamental Indexation Might—or Might Not—Work.”

Affect in a Behavioral Asset-Pricing Model

cfapubs@cfainstitute.org (Meir Statman et al) — Tue, 25 Mar 2008 12:19:52 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 20-29.
Stocks, like houses, cars, watches, and other products, exude “affect”—that is, they are considered good or bad, beautiful or ugly; they are admired or disliked. Affect plays an overt role in the pricing of houses, cars, ...

Black Monday and Black Swans

cfapubs@cfainstitute.org (John C. Bogle) — Tue, 25 Mar 2008 12:19:55 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 30-40.
Investors need to be aware that rare events with an extreme impact that, afterwards, we think we could have predicted—in short, black swans—happen in the markets. Those who are trying to measure risk in the financial markets need to ...

Where Is the Value Premium?

cfapubs@cfainstitute.org (Ludovic Phalippou) — Tue, 25 Mar 2008 12:19:57 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 41-48.
The value premium is driven by 7 percent of the stock market. The 93 percent of market capitalization held most by institutional investors is value premium free. In contrast, in stocks held most by individual investors, the value premium, even ...

Equity Returns at the Turn of the Month

cfapubs@cfainstitute.org (John J. McConnell et al) — Tue, 25 Mar 2008 12:19:59 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 49-64.
The turn-of-the-month effect in U.S. equities is found to be so powerful in the 1926–2005 period that, on average, investors received no reward for bearing market risk except at turns of the month. The effect is not confined to small-...

Forecasting Fund Manager Alphas: The Impossible Just Takes Longer

cfapubs@cfainstitute.org (M. Barton Waring et al) — Tue, 25 Mar 2008 12:20:01 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 65-80.
Expected alpha from active fund managers can be forecasted—as long as one is mindful of the rules of the zero-sum game of investing. Explicit forecasts are preferred over implicit forecasts because sponsors can use explicit forecasts to build ...

Custom Factor Attribution

cfapubs@cfainstitute.org (Jose Menchero et al) — Tue, 25 Mar 2008 12:19:49 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 81-92.
Portfolio analysts often use one set of decision variables for attributing portfolio returns and a different set for attributing risk. This practice obscures the relationship between the sources of risk and return. This article demonstrates how ...

The Equity Risk Premium: Essays and Explorations (A review)

cfapubs@cfainstitute.org (Mark S. Rzepczynski et al) — Tue, 25 Mar 2008 12:19:50 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 93-94.
Two leading researchers in the field have collected their essays on the equity risk premium and present them with unifying, well-written background material.

A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation (A review)

cfapubs@cfainstitute.org (Martin S. Fridson et al) — Tue, 25 Mar 2008 12:19:51 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 94-95.
A product of the author’s long experience at investment banks and hedge funds, this masterful book paints a picture of momentous financial events of the past two decades and provides a warning about injudiciously applying advanced ...

In the Future

cfapubs@cfainstitute.org (Rodney N. Sullivan) — Tue, 25 Mar 2008 12:19:51 GMT

Financial Analysts Journal Feb 2008, Vol. 64, No. 2: 96-96.
The associate editor highlights upcoming FAJ articles and issue.