CONTENTS -- Preface -- I. Estimating Tax Rates and Ex-Dividend Behavior -- II. Factors Affecting Corporate Bond Prices -- III. Performance Measurement of Mutual Funds -- IV. Mutual Fund Behavior -- V. Special Issues with Mutual Funds -- VI. Return-Generating Processes -- VII. Pension Funds -- VIII. Optimum Portfolio Construction -- Acknowledgements -- I. Estimating Tax Rates and Ex-Dividend Behavior -- 1. "Marginal Stockholder Tax Rates and the Clientele Effect" Review of Economics and Statistics -- Reasons for the Study -- The Relationship between Ex-dividend Behavior and Stockholder Tax Rates -- Clientele Effect -- Summary -- 2. "Marginal Stockholder Tax Effects and Ex-Dividend Day Price Behavior: Evidence from Taxable Versus Nontaxable Closed-End Funds" with Christopher R. Blake Review of Economics & Statistics -- I. Introduction -- II. Review of the Literature -- III. Methodology -- IV. Sample -- V. Hypotheses -- VI. Results -- Vll. Implied Tax Rates and Clientele Effects -- VII. Conclusion -- REFERENCES -- II. Factors Affecting Corporate Bond Pricing -- 3. "Explaining the Rate Spread on Corporate Bonds" with Deepak Agrawal and Christopher Mann Journal of Finance -- ABSTRACT -- I. Corporate Yield Spreads -- A. Data -- B. Measuring Spreads -- C. Empirical Spreads -- D. Fit Error -- II. Estimating the Default Premium -- III. Estimating The State Tax Premiums -- IV. Risk Premiums For Systematic Risk -- V. Conclusion -- Appendix A. Determining Yield to Maturity on Zeros (Spot Rates) -- Appendix B. Measuring the Default Premium in a Risk-Neutral World Without State Taxes -- Appendix C. Estimating the Impact of State Taxes -- REFERENCES -- 4. "Factors Affecting the Valuation of Corporate Bonds" with Deepak Agrawal and Christopher Mann Journal of Banking and Finance -- Abstract -- 1. Introduction -- 2. Alternative models.

3. Analysis based on rating class -- 3.1. Data -- 3.2. Extracting spot rates -- 4. Other factors that affect risk -- 4.1. Differential default risks -- 4.2. Different liquidity -- 4.3. Different tax treatment -- 4.4. Different recovery rates -- 4.5. Bond age -- 5. Adjusting for differences -- 6. Conclusion -- References -- III. Performance Measurement of Mutual Funds -- 5. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios" with Sanjiv Das and Matthew Hlavka The Review of Financial Studies -- 1. The Effect of Non-S&P Assets on Mutual Fund a's -- 1.1 Non-S&P stocks -- 1.2 Bonds -- 2. Adjusting for Other Indexes -- 3. Market Efficiency Turnover and Expenses -- 4. Conclusion -- References -- 6. "A First Look at the Accuracy of the CRSP Mutual Fund Database and a Comparison of the CRSP and Morningstar Mutual Fund Databases" with Christopher R. Blake Journal of Finance -- ABSTRACT -- I. Omission Bias and Survivorship Bias -- II. Upward-biased Monthly Returns in the CRSP Mutual Funds Database -- III. Merge Data -- IV. Consistency of CRSP and Morningstar Data -- V. Conclusion -- REFERENCES -- IV. Mutual Fund Behavior -- 7. "Another Puzzle: The Growth in Acti vely Managed Mutual Funds" by Martin J. Gruber Journal of Finance -- ABSTRACT -- I. Industry Perspective -- II. Average Performance -- III. Index Funds -- IV. Closed End Mutual Funds -- V. The Persistence of Performance -- VI. Expenses -- VII. Predicting Cash Flows -- VllI. Return on New Investment -- IX. Summary and Conclusion -- Appendix A -- REFERENCES -- 8. "Are Investors Rational? Choices Among Index Funds" with Jeffrey A. Busse Journal of Finance -- ABSTRACT -- I. Data -- II. Characteristics of Index Funds and Their Predictability -- A. Predictability of Average Index Fund Return -- A.i. Size and Dispersion of Return Variables.

A.2. Association of Return with Past Variables -- A.3. Prediction of Return -- B. Predictability of Management Skill -- C. Predictability of Risk -- D. Predictability of Tax Efficiency -- E. Other Considerations -- III. Cash Flows and Fund Characteristics -- IV. How Well Do Investors Do? -- V. Conclusion -- REFERENCES -- 9. "The Impact of Mutual Fund Family Membership on Investor Risk" with T. Clifton Green Journal of Financial and Quantitative Analysis -- Abstract -- I. Introduction -- II. The Data -- III. Correlation within and between Fund Families -- IV. The Significance of Correlation Differences within and between Fund Families -- A. Return Differences -- B. Risk Differences -- C. Implications for 401 k Plans -- V. What Explains the Higher Correlation? -- A. Two-Index Model-Sensitivity to Bonds and Stocks -- B. Multi-Index Models -- VI. Common Holdings -- A. Difference in Common Holdings -- B. Impact of Common Holdings on Correlation -- VII. Differences in Variance across Fund Families -- VIII. Conclusion -- Appendix. Extra Return to Maintain the Same Sharpe Ratio When Adding a Stock or Combination Fund -- References -- 10. "The Effect of Holdings Data Frequency on Conclusions About Mutual Fund Behavior" with Y oel Krasny and Sadi Ozelge Journal of Banking and Finance -- 1. Introduction -- 2. Sample -- 3. Missing trades and turnover -- 4. Momentum -- 5. Tax-motivated trades -- 6. Window dressing -- 7. Tournament model and mutual fund behavior -- 7.1. Change in asser properties -- 7.2. Challge ill the risk of the stock portfolio -- 8. Conclusions -- References -- V. Special Types of Funds -- 11. "Incentive Fees and Mutual Funds" with Christopher R. Blake Journal of Finance -- ABSTRACT -- I. The Use of Incentive Fees by Mutual Funds -- II. Implications of Financial Theory for Management Behavior -- III. Data -- IV. Empirical Results.

A. Incentive Fees -- B. Return Performance -- Bl. Security Selection Ability -- B2. Non-Benchmark Effects -- C. Risk -- Cl. Risk over Time -- C2. Changing Risk -- D. Attracting New Flows -- V. Conclusion -- REFERENCES -- 12. "Spiders: Where are the Bugs?" with George Comer and Kai Li Journal of Business -- I. Introduction -- II. Performance of Spiders -- A. Overall Return on Spiders -- B. Deviations of Price from NA V -- C. Comparison with Altemative Vehicles -- III. CreationIDeletion -- IV. Determinants of Volume -- V. Conclusion -- References -- VI. Return Generating Process -- 13. "Expected Return, Realized Return, and Asset Pricing Tests" by Edwin J. Elton Journal of Finance -- I. An Overview -- II. The Data -- A. Price Data -- B. Survey and Announcement Data -- III. Getting Expected Return -- IV. Tests in the Bond Area -- A. A Constant Risk Premium -- B. Forward Rates and Risk Premiums -- C. Factor Analysis -- D. Changing Risk Premiums -- V. Asset Pricing Tests in the Common Stock Area -- A. Information Surprises and Tests of a Particular Asset Pricing Model -- B. Number of Priced Factors -- C. Implications -- VI. Summary -- REFERENCES -- 14. "Common Factors in Active and Passive Portfolios" with Christopher R. Blake Review of Finance -- 1. Sample -- 2. Analysis -- 2.1. THE BASE MODEL -- 2.2. A FIFTH INDEX -- 2.3. ESTIMATING THE EFFECT OF COMMON HOLDINGS -- 2.4. IS IT COMMON HOLDINGS OR A SYSTEMATIC FACTOR? -- 2.5. IS THE ADDITION OF MGO ENOUGH? -- 3. Test on Passive Portfolios -- 4. Conclusion -- Acknowledgements -- References -- VII. Pension Funds -- 15. "The Adequacy of Investment Choices Offered by 401(k) Plans" with Christopher R. Blake Journal of Public Economics -- Abstract -- 1. Data -- 2. Adequacy of investment choices -- 2.1. Methodology -- 2.2. Results -- 3. Characteristics of the specific mutual funds selected.

3.1 . The risk-adjusted peiformance of plan fimds -- 3.2. Risk characteristics -- 4. Company stock -- 5. Plan characteristics -- 6. Conclusion -- Acknowledgements -- References -- 16. "Participant Reaction and the Perfonnance of Funds Offered by 401(k) Plans" with Christopher R. Blake Journal of Financial Intermediation -- Abstract -- 1. Introduction -- 2. Data -- 3. Performance -- 3.1. Fund performance -- 3.2. Performance of additions and deletions -- 3.3. IdentificlIlion of superior plan administrators -- 4. Aggregate participant behavior -- 4.1. Importance offund retums, participant contributions and transfers in changing investment proportions -- 4.2. Participants' reaction to return in the aggregate -- 4.3. Allocation to new investment choices -- 4.4. How well do participants do in allocating assets? -- 5. Conclusions -- Acknowledgments -- References -- VIII. Optimum Portfolio Construction -- 17. "Simple Criteria for Optimal Portfolio Selection" with Manfred W. Padberg Journal of Finance -- I. THE SINGLE INDEX MODEL AND THE CONSTRUCTION OF OPTIMAL PORTFOLIOS -- 1. Optimum Portfolios with Short Selling -- 2. Optimal Portfolios When Short Sales Are Not Allowed -- II CONST ANT CORRELATION COEFFICIENTS AND THE CONSTRUCTION or OPTIMAL PORTFOLIOS -- A. Optimal Policies When Short Sales Are Allowed -- B. Optimal Policies When Short Sales Are Not Allowed -- III. CONCLUSION -- APPENDIX A -- APPENDIX B -- APPENDIX C -- REFERENCES -- 18. "Optimum Centralized Portfolio Construction with Decentralized Portfolio Management" Journal of Financial and Quantitative Analysis -- Abstract -- I. Introduction -- II. Background -- III. Separation with a Single Active and Multiple Passive Managers -- A. The COM's Problem -- B. Optimum Active Portfolio -- C. Solving the Aggregate Allocation Problem -- D. The Aggregate Portfolio Problem with Futures.

IV. Multiple Active Managers.