Joel Rentzler

Journal Articles

Rentzler, J., & Ferguson, R. (2022). An Early Example of Quantitative Security Analysis from the 1960s. Journal of Business and Social Science Review Issue, Vol. 3; No.8; August 2022. 47-50.

Rentzler, J., & Ferguson, R. (2022). An Example of Early Quantitative Fundamental Analysis: Forecasting Insured Losses Due to Catastrophes. Journal of Business and Social Science Review Issue, Vol. 3; No.8; August 2022. pp.1-26.

Rentzler, J., & Francis, J. (2022). The Evils of Cryptocurrencies. The Journal of Financial Transformation., 55. 82-93.

Rentzler, J. (2018). Chasing Performance and Identifying Talented Investment Managers. Journal of Investing, 27(1). 52-64.

Rentzler, J., ferguson, r., & meidan, d. (2014). The Dependence of Upside Capture Ratios and Downside Capture Ratios on the Length of the Measurement Interval, Beta, and Alpha. Journal of Investment Management,

(2010). Reexamining the Uncertain Information Hypothesis on the S&P 500 and SPDRs. Review of Quantitative Finance and Accounting, 34. pp. 1-21.

(2009). The Effect of Value Estimation Errors on Portfolio Growth Rates. Journal of Investing, 20.

(2006). Trading Strategy on EVA and MVA. Journal of Investing, 15(4). 88-94.

(2006). Intraday Price Reversal Patterns in Currency Futures Markets: The Introduction of GLOBEX and the Euro. Journal of Futures Markets, 26(11). pp. 1089-1130. In Progress.

(2006). Short-term Market Efficiency in the Futures Markets: TOPIX Futures and 10-year JGB Futures. Global Finance Journal, 16. pp. 330-353. In Progress.

(2005). Beyond Long-Term Returns, Mean-Variance Efficiency and CAPM Part II. Journal of Investment Management,

(2005). Beyond Long-Term Returns, Mean-Variance Efficiency and CAPM Part I. Journal of Investment Management,

(2005). Does Economic Value Added (EVA) Improve Stock Performance or Profitability. Journal of Applied Finance, 101-113.

(2005). NASDAQ 100 Index Futures: Intraday Momentum or Reversal. Journal of Investment Management,

(2004). Can Simple Buy and Sell Rules Increase Index Future Day Trading Profitability?. Journal of Investment Management, 2(1). 55-75.

(2004). Looking Back: Quantitative Investment Analysis Before Computers. Journal of Applied Finance, 14(1). 52-61.

(2004). Long/Short Investment Strategies May Not Be Factor Neutral. The Journal of Investing, 13(3). 44-53.

(1999). Winning the Performance Game Without Really Trying. Journal of Performance Measurement, 59-66.

(1989). New Public Offerings, Information, and Investor Rationality: The Case of Publicly Offered Commodity Funds. Journal of Business, 62(1). 1-15.

(1987). The Risks and Returns of Commodity Funds. American Association of Individual Investors Journal, IX(4). 10-16.

(1987). Professionally Managed Publicly Traded Commodity Funds. The Journal of Business, 60(2). 175-199.

(1986). Trading Treasury Bond Spreads Against Treasury Bill Futures - A Model and Empirical Test of the Turtle Trade. Journal of Futures Markets, 6(1). 41-61.

(1985). Employing Financial Futures to Increase the Return on Near Cash (Treasury Bill) Investments. Management Science, 31(3). 293-300.

(1984). Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market. Review of Economics and Statistics, 66(1). 129-137.

(1984). The Ex-Dividend Behavior of Stock Prices: A Re- Examination of the Clientele Effect: A Comment. Journal of Finance, 39(2). 551-556.

(1983). A Simple Examination of the Empirical Relationship Between Dividend Yields and Deviations from the CAPM. Journal of Banking and Finance, 7(1). 135-146.

(1983). The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation. Journal of Finance, 38(2). 525-537.

(1981). Testing the Hypothesis of Beta Stationarity. International Economic Review, 22(3). 577-587.

Book Chapters

Elton, N., Gruber, M., & Rentzler, J. (1997). Intra-day Tests of the Efficiency of the Treasury Bill Futures Market. In Malliaris, A. G. (Ed.), The Review of Economics and Statistics (pp. 343-352). Futures Markets/ Elsevier Science.

Presentations

Rentzler, J. (1988, October 20). . Discussant. New Orleans, LA.: Financial Management Association.

Rentzler, J. (1988, April 22). . Delivered paper. Florida: Eastern Finance Association.

Rentzler, J. (1985, August 15). . Delivered paper. Switzerland: European Economic Conference.

Rentzler, J. (1984, April 14). . Discussant. Orlando,Florida: Eastern Finance Association.

Rentzler, J. (1983, April 21). . Discussant. New York City: Eastern Finance Association.

Rentzler, J. (1982, December 29). . Delivered paper. NYC: American Finance Association.

Rentzler, J. (1982, April 24). . Discussant. Florida: Eastern Finance Association.

Rentzler, J. (1981, October 5). . Delivered one-day seminar on Interest Rate Futures. New York City: Management Bankers Trust Company.

Grauer, F., & Rentzler, J. (1980, June 30). Are Futures Contracts Risky. First Annual Sponsor's Conference-Frontiers in Futures.

Rentzler, J. (1979, November 15). . Delivered paper. New York City: Columbia University's Frontiers in Futures Conference.

Rentzler, J. (1978, May 1). . Discussant. : Joint National TIMS/ORSA session on Optimization in Investment Management.

Rentzler, J. (1977, December 31). . Delivered papera t the Spring l977 Seminar. : Institute for Quantitative Research in Finance in California.

Rentzler, J. (1977, May 13). . Delivered paper. : Salomon Brothers Center for the Study of Financial Institutions Conference on Options Trading.

Research Currently in Progess

Rentzler, J.(n.d.). Intraday Price Patterns Following Large Moves in European Stock Index Futures Market. In Progress.

Rentzler, J.(n.d.). Overreaction In European Stock Index Markets. In Progress.

Rentzler, J.(n.d.). Portfolio Growth Rates in the Presence of Value Estimation Error. In Progress.

Rentzler, J.(n.d.). Regression Analysis of Intra-Day Movements of NASDAQ 100 Index Futures. In Progress.

Rentzler, J.(n.d.). Stock Returns Following Large One-Day Price Movements on S&P 500 Stocks. In Progress.