Details about Gordon J. Alexander

Access statistics for papers by Gordon J. Alexander.

Last updated 2023-05-04. Update your information in the RePEc Author Service.

Short-id: pal215

Working Papers

2012

1. Bank regulation and stability: An examination of the Basel market risk framework
   Discussion Papers, Deutsche Bundesbank View citations (2)

2004

2. Margin regulation and market quality: a microstructure analysis
   Post-Print, HAL View citations (5)
   See also Journal Article Margin regulation and market quality: a microstructure analysis, Journal of Corporate Finance, Elsevier (2004) View citations (7) (2004)

Journal Articles

2021

1. Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule
   Journal of International Money and Finance, 2021, 119, (C)

2020

2. Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion
   Journal of Banking & Finance, 2020, 110, (C) View citations (1)
3. The Pricing of Exchange Traded Funds and the Roles of Primary and Secondary Market Participants
   Quarterly Journal of Finance (QJF), 2020, 10, (03), 1-27

2017

4. Bank Capital Regulation of Trading Portfolios: An Assessment of the Basel Framework
   Journal of Money, Credit and Banking, 2017, 49, (4), 603-634 View citations (3)
5. Portfolio selection with mental accounts and estimation risk
   Journal of Empirical Finance, 2017, 41, (C), 161-186 View citations (4)
6. Short selling and the pricing of closed-end funds
   Journal of Financial Markets, 2017, 33, (C), 124-142 View citations (1)

2014

7. Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books
   Journal of International Money and Finance, 2014, 43, (C), 107-130 View citations (4)
8. The puzzling behavior of short sellers around earnings announcements
   Journal of Financial Intermediation, 2014, 23, (2), 255-278 View citations (4)

2013

9. A comparison of the original and revised Basel market risk frameworks for regulating bank capital
   Journal of Economic Behavior & Organization, 2013, 85, (C), 249-268 View citations (7)

2012

10. When more is less: Using multiple constraints to reduce tail risk
    Journal of Banking & Finance, 2012, 36, (10), 2693-2716 View citations (7)

2011

11. Portfolio selection with mental accounts and delegation
    Journal of Banking & Finance, 2011, 35, (10), 2637-2656 View citations (11)

2010

12. Active portfolio management with benchmarking: A frontier based on alpha
    Journal of Banking & Finance, 2010, 34, (9), 2185-2197 View citations (26)

2009

13. From Markowitz to modern risk management
    The European Journal of Finance, 2009, 15, (5-6), 451-461 View citations (10)
14. Reducing estimation risk in optimal portfolio selection when short sales are allowed
    Managerial and Decision Economics, 2009, 30, (5), 281-305 View citations (5)
15. Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing
    Journal of Financial Intermediation, 2009, 18, (1), 65-92 View citations (4)

2008

16. Active portfolio management with benchmarking: Adding a value-at-risk constraint
    Journal of Economic Dynamics and Control, 2008, 32, (3), 779-820 View citations (41)
17. The effect of price tests on trader behavior and market quality: An analysis of Reg SHO
    Journal of Financial Markets, 2008, 11, (1), 84-111 View citations (49)

2007

18. An analysis of trade-size clustering and its relation to stealth trading
    Journal of Financial Economics, 2007, 84, (2), 435-471 View citations (80)
19. Does Motivation Matter When Assessing Trade Performance? An Analysis of Mutual Funds
    The Review of Financial Studies, 2007, 20, (1), 125-150 View citations (98)
20. Guest Editorial
    The Quarterly Review of Economics and Finance, 2007, 47, (5), 585-587
21. Mean-variance portfolio selection with `at-risk' constraints and discrete distributions
    Journal of Banking & Finance, 2007, 31, (12), 3761-3781 View citations (19)

2006

22. Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach
    Journal of Monetary Economics, 2006, 53, (7), 1631-1660 View citations (26)
23. Portfolio selection with a drawdown constraint
    Journal of Banking & Finance, 2006, 30, (11), 3171-3189 View citations (29)

2004

24. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
    Management Science, 2004, 50, (9), 1261-1273 View citations (126)
25. Margin regulation and market quality: a microstructure analysis
    Journal of Corporate Finance, 2004, 10, (4), 549-574 View citations (7)
    See also Working Paper Margin regulation and market quality: a microstructure analysis, Post-Print (2004) View citations (5) (2004)

2002

26. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1159-1193 View citations (118)
27. Implications of a Reduction in Tick Size on Short-Sell Order Execution
    Journal of Financial Intermediation, 2002, 11, (1), 37-60 View citations (4)

2001

28. Does mutual fund disclosure at banks matter? Evidence from a survey of investors1
    The Quarterly Review of Economics and Finance, 2001, 41, (3), 387-403 View citations (3)

2000

29. On Back-Testing "Zero-Investment" Strategies
    The Journal of Business, 2000, 73, (2), 255-77 View citations (7)
30. The determinants of trading volume of high-yield corporate bonds
    Journal of Financial Markets, 2000, 3, (2), 177-204 View citations (58)
31. What Does Nasdaq's High Yield Bond Market Reveal about Bondholder-Shareholder Conflict?
    Financial Management, 2000, 29, (1) View citations (16)

1999

32. Short Selling on the New York Stock Exchange and the Effects of the Uptick Rule
    Journal of Financial Intermediation, 1999, 8, (1-2), 90-116 View citations (15)

1998

33. Mutual fund shareholders: characteristics, investor knowledge, and sources of information
    Financial Services Review, 1998, 7, (4), 301-316 View citations (46)

1997

34. Investor self-selection: evidence from a mutual fund survey
    Managerial and Decision Economics, 1997, 18, (7-8), 719-729 View citations (4)

1996

35. A graphical note on European put thetas
    Journal of Futures Markets, 1996, 16, (2), 201-209 View citations (1)

1993

36. Short Selling and Efficient Sets
    Journal of Finance, 1993, 48, (4), 1497-1506 View citations (11)

1988

37. International Listings and Stock Returns: Some Empirical Evidence
    Journal of Financial and Quantitative Analysis, 1988, 23, (2), 135-151 View citations (132)

1987

38. Asset Pricing and Dual Listing on Foreign Capital Markets: A Note
    Journal of Finance, 1987, 42, (1), 151-58 View citations (158)

1985

39. More on Estimation Risk and Simple Rules for Optimal Portfolio Selection
    Journal of Finance, 1985, 40, (1), 125-33 View citations (13)
40. Using linear and goal programming to immunize bond portfolios
    Journal of Banking & Finance, 1985, 9, (1), 35-54 View citations (4)

1984

41. Investigating the Valuation Effects of Announcements of Voluntary Corporate Selloffs
    Journal of Finance, 1984, 39, (2), 503-17 View citations (50)

1982

42. More on Beta as a Random Coefficient
    Journal of Financial and Quantitative Analysis, 1982, 17, (1), 27-36 View citations (14)
43. Timing Decisions and the Behavior of Mutual Fund Systematic Risk
    Journal of Financial and Quantitative Analysis, 1982, 17, (4), 579-602 View citations (15)

1980

44. Applying the Market Model to Long-Term Corporate Bonds
    Journal of Financial and Quantitative Analysis, 1980, 15, (5), 1063-1080 View citations (6)
45. On the Estimation and Stability of Beta
    Journal of Financial and Quantitative Analysis, 1980, 15, (1), 123-137 View citations (20)

1979

46. Market Timing Strategies in Convertible Debt Financing
    Journal of Finance, 1979, 34, (1), 143-55 View citations (6)

1978

47. A Reevaluation of Alternative Portfolio Selection Models Applied to Common Stocks
    Journal of Financial and Quantitative Analysis, 1978, 13, (1), 71-78 View citations (2)

1977

48. An Algorithm for Deriving the Capital Market Line
    Management Science, 1977, 23, (11), 1183-1186
49. An algorithmic approach to deriving the minimum-variance zero-beta portfolio
    Journal of Financial Economics, 1977, 4, (2), 231-236 View citations (1)
50. Mixed Security Testing of Alternative Portfolio Selection Models
    Journal of Financial and Quantitative Analysis, 1977, 12, (5), 817-832 View citations (2)

1976

51. The Derivation of Efficient Sets
    Journal of Financial and Quantitative Analysis, 1976, 11, (5), 817-830 View citations (1)

Chapters

2024

1. A Correlation-Based Portfolio Choice Algorithm
   Chapter 48 in Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, 2024, pp 1583-1600