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Jack Clark Francis's
Scholarly Papers
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1.
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Jack Clark Francis
Baruch College - Zicklin School of Business Christopher Hessel
City University of New York Jun Jonathan Wang
City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance Ge Zhang
Long Island University
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04 Apr 09
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04 Apr 09
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Abstract:
This paper examines three portfolios weighted by fundamental measures of firm size: share repurchases, total payout, and earnings retention. We find that the repurchase weighted and the total payout weighted portfolios have higher excess returns and higher Sharpe ratios than the most common fundamental weighted portfolio (namely, the dividend weighted portfolio). The repurchase weighted portfolio shows a positive and statistically significant alpha of 2.77% after controlling for the Fama-French factors (of market, size, book-to-market), and Carhart's momentum variable. The total payout weighted portfolio also has a positive and significant alpha, albeit smaller than that of the repurchase weighted portfolio.
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2.
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Jack Clark Francis
Baruch College - Zicklin School of Business Roger G. Ibbotson
Yale School of Management
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16 Oct 01
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05 Apr 09
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Abstract:
This article reviews the empirical risk and return statistics from physical real estate and financial real estate investments made in the U.S. over the period 1972-1999. It includes income, capital appreciation, and total returns from business, residential, and farm real estate, as well as REIT equity and mortgages. These investments are compared to U.S. stocks, bonds, inflation, and other asset categories. The advantages and disadvantages of investing in the real estate are enumerated.
Real Estate
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3.
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Jaeho Cho
affiliation not provided to SSRN Jack Clark Francis
Baruch College - Zicklin School of Business
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25 Oct 99
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25 Oct 99
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Abstract:
Employing a recently developed non-expected recursive utility function in which intertemporal substitution and risk aversion are disentangled, this paper reviews general equilibrium asset pricing in a pure exchange representative consumer economy. Assuming that the growth rates of aggregate dividends are independently and identically distributed over time, closed-form formulas for stock and bond prices (and returns) and equity premium are derived. Using these formulas, various issues in asset pricing, including the respective roles played by the two disparate preference components: intertemporal substitution and risk aversion, are discussed.
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