| Number |
Research Topic (Unfunded, unless otherwise noted) |
Party Requesting Research |
Status |
Database(s) Available |
Date |
| Performance Measurement |
| Pfm1 |
 Risk Adjusted Ranking Request for Research in a Non-Mean Variance World |
CFA Society of Chicago |
Research Design |
Morningstar, Ironwood |
3/22/2007 |
| Pfm2 |
Cross Sectional Analysis of Portfolio Return, Risk and Attribution in a Non-Mean Variance World |
CFA Society of Chicago |
Draft of Research Design |
Morningstar, Ironwood |
Updated 9/17/2007 |
| Pfm3 |
Risk / Return of Equity Portfolio Construction Strategies: Empirically compare the risk / return of the portfolio strategies of indexation, enhanced indexation, multi-factor models, and DCF models. |
CFA Society of Chicago |
Draft of Research Design |
Morningstar, LCRT |
3/22/2007 |
| Pfm4 |
How to create benchmark indices for sector long short portfolios? |
CFA Society of Chicago |
Concept |
|
3/22/2007 |
| Pfm5 |
Benchmarks for private equity returns |
CFA Society of Chicago |
Concept |
|
3/22/2007 |
| Pfm6 |
In a world of fat tailed distributions with possible infinite variances, how best to measure accuracy of regression models or price formation models based on Value Charts? |
Thought Partners Under Discussion |
|
|
3/22/2007 |
| Portfolio Management |
| PM1 |
Retirement Issues; Social Security Components |
Seeking Thought Partners |
|
|
3/22/2007 |
| PM2 |
Wealth Management; Asset and Portfolio Management; Personal Financial Planning; Customer Relationship Skills (communication of concepts, empirical research and recommendations to the layman) |
CFA Society of Chicago |
Concept |
|
3/22/2007 |
| PM3 |
Global Asset Allocation in a Non-Mean Variance World |
CFA Society of Chicago |
Draft of Research Design |
|
3/22/2007 |
| PM4 |
Asset Pricing Models; Risk management methodologies; Integration of Liability Management and Asset Management |
CFA Society of Chicago |
Concept |
Hewitt Associates |
3/22/2007 |
| PM5 |
Assessment of Alternative Weighting Construction Strategies for Running Index Funds |
CFA Society of Chicago |
Research Design |
|
9/17/2007 |
| PM6 |
Approaches to Valuation, Security Selection, and Portfolio Construction |
FMA PDDARI Investment Process Group of Chicago |
Research Design |
|
7/24/2008 |
| Equity Valuation |
| E1 |
How to use option pricing to empirically model DCF values for start-up firms with very significant negative cash flows and perhaps no sales |
Thought Partners Under Discussion |
|
|
3/22/2007 |
| E2 |
What is the proper economic accounting and empirical valuation for executive stock options from publicly available data? |
CFA Society of Chicago |
Concept |
Hewitt Associates |
3/22/2007 |
| E3 |
Empirically incorporate life cycle dividend policy into enterprise intrinsic valuation. |
Thought Partners Under Discussion |
|
|
3/22/2007 |
| E4 |
Predictive Model of Shareholder Returns and Stock Price Inflection Points using Proprietary Database of Migration of Pivotal Employees between Industries with Monthly data and 22 Million Employees representing a microcosm of the USA Economy |
CFA Society of Chicago |
Concept |
Hewitt Associates |
3/22/2007 |
| E5 |
Model of price pressure costs and illiquidity |
CFA Society of Chicago |
Concept |
|
3/22/2007 |
| E6 |
Are analyst estimates already imbedded in stock prices? |
CFA Society of Chicago |
Concept |
|
3/22/2007 |
| Derivatives |
| D1 |
How to eliminate “volatility smiles” in option pricing with fat tailed Stable Paretian distributions as a replacement for the Gaussian assumption in Black-Scholes |
Thought Partners Under Discussion |
|
|
3/22/2007 |
| D2 |
When are new futures markets viable? |
Seeking Thought Partners |
|
|
3/22/2007 |
| D3 |
Are hedge funds hedged? |
Seeking Thought Partners |
|
|
3/22/2007 |
| Alternative Investments |
| AI1 |
Model of equilibrium world oil prices, based on supply and demand in the past with a forecast as demand grows with the timing of new supplies coming on line. The model should include dispersions around the equilibrium prices based on investor market senti |
CFA Society of Chicago |
Concept |
|
3/22/2007 |
| AI2 |
Similar models for other commodities, exchange rates, and interest rates. |
CFA Society of Chicago |
Concept |
|
3/22/2007 |
| AI3 |
Real estate finance: derivatives, risk management |
Seeking Thought Partners |
|
|
3/22/2007 |
| Fixed Income |
| FI1 |
(Funded) Quantify benefits of securitization of debt instruments. What happens to the distributions of realized returns on investment, as more instruments are added to the portfolio. Test the distributions for Gaussian Normality - if not Normal, measure w |
Steve Davidson |
Concept |
Proprietary Data Likely |
4/7/2007 |
| FI2 |
(Funded) Quantify benefits of sub prime loan market. What happens to the distributions of realized returns on investment, as more instruments are added to the portfolio. Test the distributions for Gaussian Normality - if not Normal, measure with appropria |
Steve Davidson |
Concept |
Proprietary Data Likely |
4/7/2007 |
| FI3 |
Pre-Payment Speeds and their Impact on Mortgage Back Securities |
Thought Partners Under Discussion |
Concept |
|
3/22/2007 |
| FI4 |
Collaterized Debt Oblgations (CDO) Valuation |
Securities Industry and Finanancial Markets Association (SIFMA) |
Research Design |
|
6/25/2007 |
| Behavioral Finance and Economics |
| BF1 |
Behavioral finance asset pricing theory reflecting price dispersion and investor psychology. How efficient is the market? Empirically test models of bounded rationality around intrinsic valuations as the anchor for their predictive capability of sharehold |
LifeCycle Returns (LCRT) |
Concept |
LCRT |
3/22/2007 |
| Regulated Industries |
| RU1 |
The impact of regulatory changes enabling acquisitions of utilities on the allowed cost of capital. Do the increases in prices from acquisition premiums reflect an increased in market expected cash flow or a decrease in the cost of capital? |
Ted Wood as a regulatory analyst |
Concept |
|
3/22/2007 |
| RU2 |
Apply Fama / French Small Company Risk Premium to Utilities Costs of Capital; Determine conceptual validity and empirical accuracy |
Ted Wood as a regulatory analyst |
Concept |
|
4/28/2007 |
| Corporate Finance |
| CF1 |
Optimum capital structure in an empirical world where any debt raises the probable present value costs of financial distress |
Thought Partners Under Discussion |
|
|
3/22/2007 |
| CF2 |
Comparing CAPM costs of capital with market derived ones. Which one produces intrinsic valuations closer to actual prices? How best to measure “closeness?” |
Thought Partners Under Discussion |
|
|
3/22/2007 |
| CF3 |
Risk rating models; Basel II implementation; Economic Capital Allocation (Consider fat tailed distributions with infinite variances) |
Seeking Thought Partners |
|
|
3/22/2007 |
| CF4 |
Transfer Pricing comparables methodology alternatives (new IRS rules and tax treaties) |
Thought Partners Under Discussion |
|
|
3/22/2007 |
| CF5 |
Corporate finance decision making; optimal capital structure; maturity mix of liabilities; risk management |
Seeking Thought Partners |
|
|
3/22/2007 |
| CF6 |
How should companies manage their information systems? |
Seeking Thought Partners |
|
|
3/22/2007 |
| CF7 |
What are the macroeconomic effects of real options, e.g. how does a loss of confidence in the economy raise the value of deferral and thereby reduce current investment? |
Seeking Thought Partners |
|
|
3/22/2007 |
| CF8 |
How does a corporation determine its optimal banking line of credit? |
Seeking Thought Partners |
|
|
3/22/2007 |
| CF9 |
How has Sarbanes-Oxley affected corporations? |
Seeking Thought Partners |
|
|
3/22/2007 |
| CF10 |
How does a company decide on its optimal hedge? This would include an explanation of when it is optimal not to hedge. |
Seeking Thought Partners |
|
|
3/22/2007 |
| CF11 |
Management compensation:
A. When are managers paid too much?
B. What mix of compensation is optimal?
C. What percentage of total compensation should be pay at risk?
D. How should pay be linked to shareholder returns? |
Seeking Thought Partners |
|
|
3/22/2007 |
| Markets and Microstructure |
| MM1 |
How should one build a risk-management system for a trading floor, a brokerage firm, a specialist, and an investor? How is risk shared, or transferred given that all of these parties are maximizing their own interest? |
Seeking Thought Partners |
|
|
3/22/2007 |
