372 Index
Jacklin, C.J., 294, 317
Jagannathan, R., 60, 97, 161, 221, 239,
247, 248
Jain, P.C., 23
James, C., 233
Jarque, C., 102
Jegadeesh, N., 1, 38, 43, 44, 45, 46, 247
Jen, F.C., 223
Jensen, M., 3, 5, 6, 7, 11, 51, 161
Jensen’s alpha measure, 19, 20, 50, 52,
924, 125, 162, 167, 172, 186, 353
advantages, 55
benchmark inefficiency, 7
defined, 125
problems, 10
separation of selection and timing
abilities, 710
theory and aims, 510
timing ability, 7, 8
Jobson, J.D., 53, 54, 62, 214n, 234n
Joe, H., 181n, 186
Johnson, L., 266
Johnson, N.L., 78
Jorion, P., 74, 75
Jouini, M.N., 193, 194
Journal of Financial and Quantitative
Analysis,50
Kan, R., 234n
Kandel, S., 207, 233, 234n, 238
Kaniel, R., 292n
Karolyi, G.A., 231n
Kat, Dr H. M., xi, xiv
Keim, D.B., 233, 234, 237n, 244, 245,
247, 255
Keith, S.Z., 266
Kepner, J.L., 266
Keynes, J.M., 286
Kim, M., 64
Kim, T.H., 66
King, S.P., 291
Kirschman, J.R., 330n
Kleidon, A.W., 294, 317
Klemperer, P., 294n
Knez, P.J., 161
Kon, S.J., 223
Korajzcyk, R., 55, 60, 161
Koreisha, S., 233
Korkie, Professor B., xii, xiv, 53, 54, 62,
214n, 216n, 217n, 220, 222, 223,
230n, 234n, 235
Kothari, S., 60
Kotz, S., 78, 266
Krasker, W.S., 264, 281
Kraus, A., 56
Kristiansen, E.G., 290
Kuhn-Tucker algorithm, 66
Kwok, Y.K., 74
Kyle, A.S., 292
Lag-1 momentum (L1M), 3940
Lag-0 momentum (L0M), 3940
Laiss, B., 217n
Lakonishok, J., 40, 64, 266, 286, 287,
345, 351
Larker, D.F., 217n
LDA, see Liability-driven assets
LDPA, see Liability-driven performance
attribution
LeBaron, B., 266
Lee, C., 223
Lehmann, B.N., 8, 9, 10, 11, 12, 30, 31,
32, 33, 34, 116, 117, 118, 119, 161,
234n, 345, 351, 353
Leland, H., 94n, 97, 289, 294
Lequeux, P., 80
LeRoy, S., 281
Liability-driven assets (LDA), 132
Liability-driven performance attribution
(LDPA), 131, 133n, 134, 135
Liang, B., 275
Lintner, J, 5, 220
Litterman, R., 263
Litzenberger, R.H., 56
L0M, see Lag-0 momentum
L1M, see Lag-1 momentum
Lo, A.W., 219, 281
Lobosco, A., 25, 26, 27, 65
Lundin, Dr M., xii, xv, 75
McEnally, R., 262, 275
McKenzie, E., 345, 351
MacKinley, A.C., 219, 234, 244, 281
Macmillan Committee on Finance and
Industry, 114
McNeil, A., 183

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