08-2010:Leveraged ETFs, Holding Periods and Investment Shortfalls
07-2010:The Anatomy of Principal Protected Absolute Return Notes
06-2010:What TiVo and JP Morgan teach us about Reverse Convertibles
06-2010:The Risks of Preferred Stock Portfolios
05-2010:Oppenheimer Champion Income Fund
04-2010:What Does a Mutual Fund’s Term Tell Investors?
02-2010:Auction Rate Securities
11-2009:What Does a Mutual Fund’s Average Credit Quality Tell Investors?
11-2009:Structured Products in the Aftermath of Lehman Brothers
09-2009:Leveraged Municipal Bond Arbitrage: What Went Wrong?
07-2009:Charles Schwab YieldPlus Risk
01-2009:Regions Morgan Keegan: The Abuse of Structured Finance
09-2008:An Economic Analysis of Equity-Indexed Annuities
06-2007:A CMO Primer: The Law of Conservation of Structured Securities Risk
06-2007:Closed-end Fund IPOs
06-2007:Corporate and Municipal Bonds
06-2007:Mandatory Arbitration of Securities Disputes
12-2006:Are Structured Products Suitable for Retail Investors?
06-2006:An Overview of Equity-Indexed Annuities
12-2005:Annuities
06-2005:Optimal Exercise of Employee Stock Options and Securities Arbitrations
12-2004:Concentrated Investments, Uncompensated Risk and Hedging Strategies
06-2004:The Use of Leveraged Investments to Diversify a Concentrated Position
12-2003:Mutual Fund Share Classes and Conflicts of Interest between Brokers and Investors
09-2003:Churning - Revisited: Trading Cost and Control
06-2003:Detecting Personal Trading Abuses
12-2002:Securities Class Action Lawsuits
06-2002:The Suitability of Exercise and Hold
12-2001:Churning
06-2001:Bid-Ask Spread, Sales Credits and Brokers' Compensation
12-2000:Churning - Brief Discussion
06-2000:McCann On Trading Models
Churning

Date: 12-2001
Author: Craig McCann

In this paper, Dr. McCann improves upon traditional indicators of churning and demonstrates that, properly calculated, the trading costs estimate of damages closely parallels the well-managed theory, or benchmark portfolio, estimate of damages.


Download the full working paper » (.pdf)


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