User profiles for Glen A. Larsen

Glen A. Larsen

Indiana University-Kelley School of Business
Verified email at indiana.edu
Cited by 480

Empirical insights on indexing: how capitalization, stratification and weighting can affect tracking error

GA Larsen, BG Resnick - Journalof Portfolio Management, 1998 - papers.ssrn.com
The focus of this study is the effect that portfolio composition has on the tracking performance
of indexed portfolios. Indexed portfolios from high-capitalization indices are shown to have …

A performance comparison between cross-sectional stochastic dominance and traditional event study methodologies

GA Larsen, BG Resnick - Review of Quantitative Finance and Accounting, 1999 - Springer
In this study, the performance of cross-sectional stochastic dominance (SD), first proposed
by Falk and Levy (FL) (1989), is compared with three traditional event study methodologies: …

[PDF][PDF] Parameter estimation techniques, optimization frequency and equity portfolio return enhancement

GA Larsen Jr, BG Resnick - Journal of Portfolio Management, 2001 - Citeseer
Various ex ante portfolio parameter estimation techniques and optimization/holding period
frequency intervals are tested for their ability to enhance managed portfolio returns relative to …

The optimal construction of internationally diversified equity portfolios hedged against exchange rate uncertainty

GA Larsen, Jr, BG Resnick - European Financial Management, 2000 - Wiley Online Library
Much of the empirical work on hedging exchange rate exposure in portfolios of financial
assets has used a unitary hedge ratio, or a currency overlay. Alternatively, the currencies …

The effect of FDICIA regulation on bank holding companies

KA Carow, GA Larsen Jr - Journal of Financial Research, 1997 - Wiley Online Library
We examine market reactions to legislative announcements surrounding the passage of the
Federal Deposit Insurance Corporation Improvement Act (FDICIA) of 1991. Research shows …

Bootstrapping a distance test for stochastic dominance analysis

GA Larsen, BG Resnick - Review of Quantitative Finance and Accounting, 1993 - Springer
A major impediment to measuring portfolio performance under stochastic dominance has
been the lack of test statistics for orders of stochastic dominance above first degree. In this …

[PDF][PDF] Hedging foreign currency transaction exposure: The importance of real rates of interest

GA Larsen Jr, GR Freeman - Journal of Financial and Strategic Decisions, 1996 - Citeseer
Increasingly, US firms are involved in global transactions which expose them to foreign
currency fluctuations and potential adverse financial effects. Hedging forward exchange rates …

An optimization strategy for enhancing the performance of fund-of-funds Portfolios

GA Larsen Jr, BC Resnick - Journal of Portfolio Management, 2012 - search.proquest.com
… This study by Larsen and Resnick demonstrates the potential for performance enhancement
in a fund of funds when portfolio optimization techniques are employed ort sector funds in …

Duration of share repurchase programs and firm performance

DC Indro, GA Larsen - Journal of Economics and Finance, 1996 - Springer
It is widely known that under asymmetric information, share repurchasss can be used by
firms to signal firm quality. In this paper, it is shown that the duration of share repurchase …

Applied equity valuation: Relative valuation method

GA Larsen Jr - Handbook of Finance, 2008 - Wiley Online Library
The primary alternative valuation method is relative valuation. Relative valuation involves
the use of multiples (ratios) that have “price” as the numerator and a “cash flow–generating …