Proceedings, Volume 21

accounting ALPHA analysis appraisal approximately assets assumption autocorrelation average Bill rate block trade bonds Box-Jenkins call option capital market cash CEER Column common stock computed convertible correlation cost of transactions covered interest arbitrage distributable income dividends equation ESTIMATION OF BETA excess return exchange rates expected compound return factor Figure firms forecast Foreign Exchange Market function fund geometric mean gold holding gain Horizon Annuity increase indifference curve inflation interest rates investment investors issue LIFO market portfolio market return MONTHLY optimal parameters payout phase percent percentage period portfolio return premium prime rate quarter quarterly earnings rate of return ratio reinvestment rate residual sample Scholes seasonal Security Prices Sharpe Ratio standard deviation statistical stock price strategy systematic Table time-series transaction costs Treasury Bill unsystematic return unsystematic risk variable variance WEEKLY zero