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Joseph H. Golec

Bio: Joseph H. Golec is an academic researcher from University of Connecticut. The author has contributed to research in topics: Mutual fund & Investment (macroeconomics). The author has an hindex of 23, co-authored 93 publications receiving 2229 citations. Previous affiliations of Joseph H. Golec include Saint Petersburg State University & Clark University.


Papers
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Journal ArticleDOI
TL;DR: The authors show that the data are at least as consistent with risk aversion as they are with risk loving when one explicitly considers the skewness of bet returns, and they conclude that bettors are risk lovers.
Abstract: Studies of horse race betting have empirically established a long shot anomaly; that is, low‐probabiliy, high‐variance bets (long shots) provide low mean returns and high‐probability, lowvariance bets provide relatively high mean returns. Because bettors willingly accept low‐return, high‐variance bets, researchers conclude that bettors are risk lovers. In this study, we show that the data are at least as consistent with risk aversion as they are with risk loving when one explicitly considers the skewness of bet returns. Because the variance and skewness of bet returns are highly correlated, bettors may appear to prefer variance when it is skewness that they crave.

402 citations

Journal ArticleDOI
TL;DR: In this article, the authors test whether a mutual fund managers' characteristics help to explain fund performance, risk and fees simultaneously to avoid biased results produced by earlier studies that ignore simultaneity.

299 citations

Journal ArticleDOI
Joseph H. Golec1
TL;DR: This article examined both NFL and college data over a sample period of fifteen years and found that the NFL bias against home teams has been nearly eliminated, while the bias against underdogs has increased.

163 citations

Journal ArticleDOI
TL;DR: In this article, the authors developed a specialized principal-agent model of the investor-investment advisor relationship and embeds the standard advisory compensation schedule in the model, which showed that the parameters of the compensation schedule are both a function of the idiosyncracies of an advisor's information services and the degree of risk sharing between the advisor and investor.
Abstract: This paper develops a specialized principal-agent model of the investor-investment advisor relationship and embeds the standard advisory compensation schedule in the model. Advisors are endowed with information-gathering abilities and investors are endowed with funds. Information-gathering services are traded indirectly through the investor's receipt of portfolio returns net of advisory fees. Model results show that the parameters of the compensation schedule are both a function of the idiosyncracies of an advisor's information services and the degree of risk sharing between the advisor and investor. Several predictions of the model are supported using data on mutual fund advisors. Unsupported predictions may be due to self-selection of advisors by risk tolerance.

137 citations

Journal ArticleDOI
TL;DR: Using the Fama-French three factor model, the cost of drug development is found to be higher than the earlier estimate, and the authors' base case estimate was $802 million.
Abstract: In a widely cited article, DiMasi, Hansen, and Grabowski (2003) estimate the average pre-tax cost of bringing a new molecular entity to market. Their base case estimate, excluding post-marketing studies, was $802 million (in $US 2000). Strikingly, almost half of this cost (or $399 million) is the cost of capital (COC) used to fund clinical development expenses to the point of FDA marketing approval. The authors used an 11% real COC computed using the capital asset pricing model (CAPM). But the CAPM is a single factor risk model, and multi-factor risk models are the current state of the art in finance. Using the Fama-French three factor model we find that the cost of drug development to be higher than the earlier estimate.

105 citations


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Book
01 Jan 2009

8,216 citations

Journal ArticleDOI
TL;DR: In this article, the authors formalize this intuition with an asset pricing model that incorporates conditional skewness and show that the low expected return momentum portfolios have higher skewnness than high expected return portfolios.
Abstract: If asset returns have systematic skewness, expected returns should include rewards for accepting this risk. We formalize this intuition with an asset pricing model that incorporates conditional skewness. Our results show that conditional skewness helps explain the cross-sectional variation of expected returns across assets and is significant even when factors based on size and book-to-market are included. Systematic skewness is economically important and commands a risk premium, on average, of 3.60 percent per year. Our results suggest that the momentum effect is related to systematic skewness. The low expected return momentum portfolios have higher skewness than high expected return portfolios.

2,628 citations

Journal ArticleDOI
01 Jan 1986
TL;DR: The New York Review ofBooks as mentioned in this paper is now over twenty years old and it has attracted controversy since its inception, but it is the controversies that attract the interest of the reader and to which the history, especially an admittedly impressionistic survey, must give some attention.
Abstract: It comes as something ofa surprise to reflect that the New York Review ofBooks is now over twenty years old. Even people of my generation (that is, old enough to remember the revolutionary 196os but not young enough to have taken a very exciting part in them) think of the paper as eternally youthful. In fact, it has gone through years of relatively quiet life, yet, as always in a competitive journalistic market, it is the controversies that attract the interest of the reader and to which the history (especially an admittedly impressionistic survey that tries to include something of the intellectual context in which a journal has operated) must give some attention. Not all the attacks which the New York Review has attracted, both early in its career and more recently, are worth more than a brief summary. What do we now make, for example, of Richard Kostelanetz's forthright accusation that 'The New York Review was from its origins destined to publicize Random House's (and especially [Jason] Epstein's) books and writers'?1 Well, simply that, even if the statistics bear out the charge (and Kostelanetz provides some suggestive evidence to support it, at least with respect to some early issues), there is nothing surprising in a market economy about a publisher trying to push his books through the pages of a journal edited by his friends. True, the New York Review has not had room to review more than around fifteen books in each issue and there could be a bias in the selection of

2,430 citations

Journal ArticleDOI
TL;DR: In this paper, the authors test the hypothesis that managers of investment portfolios likely to end up as losers will manipulate fund risk differently than those managing portfolio likely to be winners, and show that this effect became stronger as industry growth and investor awareness of fund performance increased over time.
Abstract: We test the hypothesis that when their compensation is linked to relative performance, managers of investment portfolios likely to end up as “losers” will manipulate fund risk differently than those managing portfolios likely to be “winners.” An empirical investigation of the performance of 334 growth-oriented mutual funds during 1976 to 1991 demonstrates that mid-year losers tend to increase fund volatility in the latter part of an annual assessment period to a greater extent than mid-year winners. Furthermore, we show that this effect became stronger as industry growth and investor awareness of fund performance increased over time.

1,352 citations

Journal ArticleDOI
TL;DR: In this article, a large sample of hedge fund data from 1988-1995 was used to find that hedge funds consistently outperform mutual funds, but not standard market indices, and the impact of six data-conditioning biases was explored.
Abstract: Hedge funds display several interesting characteristics that may influence performance, including: flexible investment strategies, strong managerial incentives, substantial managerial investment, sophisticated investors, and limited government oversight. Using a large sample of hedge fund data from 1988-1995, we find that hedge funds consistently outperform mutual funds, but not standard market indices. Hedge funds, however, are more volatile than both mutual funds and market indices. Incentive fees explain some of the higher performance, but not the increased total risk. The impact of six data-conditioning biases is explored. We find evidence that positive and negative survival-related biases offset each other. HEDGE FUNDS HAVE BEEN IN EXISTENCE for almost 50 years. However, their recent growth has increased their prominence in the financial markets and the business press. Since the late 1980s, the number of hedge funds has risen by more than 25 percent per year. The rate of growth in hedge fund assets has been even more rapid. In 1997, there were more than 1200 hedge funds managing a total of more than $200 billion. Though the number and size of hedge funds are small relative to mutual funds, their growth reflects the importance of this alternative investment vehicle for institutional investors and wealthy individual investors.' As the name implies, hedge funds began as investment partnerships that could take long and short positions. They have evolved into a multifaceted organizational structure that defies simple definition. There are, however, a

1,131 citations