LONG-TERM BUY AND HOLD VERSUS MONTHLY
REBALANCING
Beach, Steven L
Department of Accounting, Finance, and
Business Law
College of Business and Economics
Radford University
Radford, VA, 24142
and
Clarence C. Rose
Department of Accounting, Finance, and
Business Law
College of Business and Economics
Radford University
Radford, VA, 24142
ABSTRACT
The
investment performance of the buy and hold investment strategy
is compared to monthly portfolio rebalancing over various time
horizons with different portfolio asset allocations to stock
index and bond index funds. The portfolios following a buy and
hold strategy produced slightly higher average returns over each
time period and asset allocation examined, but, also measured a
slightly higher degree of risk. The monthly portfolio
rebalancing strategy produced a higher risk/return performance
as measured by the Sharpe ratio. The results of this analysis
reinforce the importance of asset allocation on portfolio
returns regardless of the specific investment strategy followed.
A FINANCIAL ANALYSIS OF THOSE FIRMS IDENTIFIED AS CREATING THE
HIGHEST LEVELS OF FINANCIAL LEVERAGE IN A PERIOD OF ECONOMIC
RECESSION AND SLOW RECOVERY
Payne, Bruce C.
Professor
of Finance, Barry University
Andreas
School of Business
Barry
University
11300
N.E. 2nd Avenue
Miami
Shores Florida 33161
ABSTRACT
Financial leverage, the theories of capital structure, and the
practice of trying to find the optimum capital structure through
judicious use of financial leverage have been topics of great
interest in financial literature for years. The irrelevance of a
firm’s capital structure as originally argued by Modigliani and
Miller is among the most profound and important works in the
field of finance. Given their assumptions capital structure is
irrelevant, but as each assumption is relaxed, the impact of
each variable pertaining to that assumption was shown to have a
measurable effect on the value of the firm. There have however,
been no studies that sought to identify the relationships
between financial leverage and the financial profile of a firm.
The financial profile contains the risk-return variables other
than financial leverage that are “traded off” in attempts to
maximize the value of the firm. Moreover, previous studies on
the existence, and search for an optimum capital structure have
ignored the underlying macroeconomic conditions. The purpose of
this study will be to determine whether firms that created the
highest degrees of financial leverage in a period of economic
recession and slow recovery have a unique financial profile. As
in previous studies of this type multiple discriminant analysis
is used.
Explaining January Returns: The Santa
Clause Hypothesis
Randall Valentine
Assistant Professor of Finance
Georgia Southwestern State University
John G. Kooti
Dean, School of Business
Administration
Georgia Southwestern State University
ABSTRACT
Calendar effects bring into question both the weak and
semi-strong form of efficient markets. The reason that this
questions EMH is that asset returns are not random, but
predictable based exclusively on calendar events.
To date, the January Effect remains a
perplexing thorn in the side of the theory of efficient
markets. The cause and origins of the January Effect
remains a heated topic of debate in the financial economics
literature stream. We propose a new theory, the Santa
Clause Hypothesis, that states that abnormally high returns
in the beginning of January are a byproduct of an end of the
year and Christmas bonuses and the euphoria associated with
the Christmas season.
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