Additional Reference Sources from the 2005 Research Foundation Workshop

 

Listed below are additional reference sources cited by speakers from the fourth annual Research for the Practitioner Workshop held in Philadelphia, Pennsylvania. Find webcasts of these presentations.

 

Liquidity Risk in Corporate Bond Markets
George Chacko

• George Chacko, “Liquidity Risk in the Corporate Bond Markets” Working Paper (issued January 15, 2005). This article can be found at www.ssrn.com.
• James H. Dignan, “Nondefault Components of Investment-Grade Bond Spreads,” Financial Analysts Journal, vol. 59, no. 3 (May/June 2003): 93-102
• Gwangheon Hong and Arthur Warga, “An Empirical Study of Bond Market Transactions,” Financial Analysts Journal, vol. 56, no. 2 (March/April 2000): 32-46
• Kevin M. Cronin, CFA, Robert S. Kapito, and Jack A. Sommers, CFA, “Portfolio Manager Panel,” Fixed-Income Tools for Enhancing Returns and Meeting Client Objectives (2005): 3-11

 

Portfolio Constraints: A Look at Separating Alpha from Beta Risk
Roger G. Clarke

• Roger Clarke, Harin de Silva and Steve Sapra, “Toward More Efficient Portfolios: Relaxing the Long-Only Constraint,” Journal of Portfolio Management, Fall 2004.
• Roger Clarke, Harindra de Silva, and Steven Thorley, “Portfolio Constraints and the Fundamental Law of Active Management,” Financial Analysts Journal, vol. 58, no. 5 (September/October 2002): 48-66
• Richard M. Ennis, CFA, “Rethinking Boundaries and Achieving Greater Flexibility in Implementing the Policy Portfolio,” Points of Inflection: New Directions for Portfolio Management (2004): 13-19
• M. Barton Waring, “The Future of Active Management,” Points of Inflection: New Directions for Portfolio Management (2004): 63-75
• Laurence B. Siegel, Benchmarks and Investment Management, Research Foundation Publication (2003)
• Bob Litterman, Modern Investment Management: An Equilibrium Approach (John Wiley & Sons. Hoboken, NJ, 2003)

 

Irrational Optimism
Elroy Dimson

• Elroy Dimson, Paul Marsh, and Mike Staunton, “Irrational Optimism,” Financial Analysts Journal, vol. 60, no. 1 (January/February 2004): 15-25
• Elroy Dimson, Paul Marsh, and Mike Staunton, “Global Evidence on the Equity Risk Premium,” CFA Digest, vol. 34, no. 2 (May 2004): 42-43 (Abstracted from an article by the same name appearing in the Journal of Applied Corporate Finance, vol. 15, no. 4 (Fall 2003): 27-38)
• Jeremy J. Siegel, “The Long-Run Equity Risk Premium,” Points of Inflection: New Directions for Portfolio Management (2004): 53-62
• Elroy Dimson, Paul Marsh, and Mike Staunton, Triumph of the Optimists: 101 Years of Global Investment Returns (Princeton University Press, 2002).
• Elroy Dimson, Paul Marsh, and Mike Staunton, The Global Investment Returns Yearbook 2005 (ABN-AMRO/London Business School, 2005).

 

Latest CFA Institute Resources

• Financial Analysts Journal
  
• The CFA Digest
• Conference Proceedings: Fixed-Income Tools for Enhancing Returns and Meeting Client Objectives
• Conference Proceedings: Analyzing, Researching, and Valuing Equity Investments