{"title":"Smart Rebalancing","authors":"Rob Arnott, Feifei Li, Juhani Linnainmaa","doi":"10.1080/0015198x.2024.2317323","DOIUrl":"https://doi.org/10.1080/0015198x.2024.2317323","url":null,"abstract":"The sometimes vast gap between live results and paper portfolio performance is caused in part by trading costs, discontinuous trading, and missed trades or other frictions, along with asset managem...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"35 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140152449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Sara Ain Tommar, Serge Darolles, Emmanuel Jurczenko
{"title":"Private Equity Performance around the World","authors":"Sara Ain Tommar, Serge Darolles, Emmanuel Jurczenko","doi":"10.1080/0015198x.2023.2292545","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2292545","url":null,"abstract":"We construct a novel dataset to explore the returns of private equity in international markets (i.e., other than North America). We investigate fund performance and persistence and compare the find...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"59 4 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139656275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Wei Dai, Mamdouh Medhat, Robert Novy-Marx, Savina Rizova
{"title":"Reversals and the Returns to Liquidity Provision","authors":"Wei Dai, Mamdouh Medhat, Robert Novy-Marx, Savina Rizova","doi":"10.1080/0015198x.2023.2292534","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2292534","url":null,"abstract":"Different aspects of liquidity impact the performance of short-run reversals in different ways, consistent with the predictions of microstructure models. Higher volatility is associated with faster...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"6 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2024-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139517651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Harry Markowitz and the Philosopher’s Stone","authors":"Stephen C. Sexauer, Laurence B. Siegel","doi":"10.1080/0015198x.2023.2285218","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2285218","url":null,"abstract":"We celebrate the life, work, and intellectual legacy of Harry Markowitz (1927–2023). Professor Markowitz’s philosophy and math have guided portfolio construction and asset allocation for 71 years. ...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"8 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138684805","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Zhiqian Jiang, Baixiao Liu, Andrew Schrowang, Wei Xu
{"title":"Short Squeezes","authors":"Zhiqian Jiang, Baixiao Liu, Andrew Schrowang, Wei Xu","doi":"10.1080/0015198x.2023.2284625","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2284625","url":null,"abstract":"We investigate the prevalence and persistence of short squeezes and the corresponding economic consequences on the stocks being squeezed. Using daily short sale data, we provide evidence that a sho...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"293 1 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2023-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138684694","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Shareholder Activism in Small-Cap Newly Public Firms","authors":"Emmanuel R. Pezier, Paolo F. Volpin","doi":"10.1080/0015198x.2023.2283445","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2283445","url":null,"abstract":"We examine a private dataset of engagements by a UK fund in small-cap newly public firms. The fund inherits unwanted holdings from disparate investors and earns fees liquidating its portfolio. It c...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"15 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2023-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138574572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Bonds with Benefits: Impact Investing in Corporate Debt","authors":"Desislava Vladimirova, Jieyan Fang-Klingler","doi":"10.1080/0015198x.2023.2280035","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2280035","url":null,"abstract":"The regulatory focus on quantifiable sustainable investing shifts investors’ demand toward impact products, which creates challenges in achieving their primary target of outperformance. This study ...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"12 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2023-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138565820","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Christian L. Goulding, Campbell R. Harvey, Michele G. Mazzoleni
{"title":"Breaking Bad Trends","authors":"Christian L. Goulding, Campbell R. Harvey, Michele G. Mazzoleni","doi":"10.1080/0015198x.2023.2270084","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2270084","url":null,"abstract":"We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard monthly trend-following strategies across severa...","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"54 1","pages":""},"PeriodicalIF":2.8,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138509621","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Stocks for the Long Run? Sometimes Yes, Sometimes No","authors":"Edward F. McQuarrie","doi":"10.1080/0015198x.2023.2268556","DOIUrl":"https://doi.org/10.1080/0015198x.2023.2268556","url":null,"abstract":"When Jeremy Siegel published his “Stocks for the Long Run” thesis, little was known about 19th-century stock and bond returns. Digital archives have made it possible to compute real total return on US stock and bond indexes from 1792. The new historical record shows that over multi-decade periods, sometimes stocks outperformed bonds, sometimes bonds outperformed stocks and sometimes they performed about the same. New international data confirm this pattern. Asset returns in the US in the 20th century do not generalize. Regimes of asset outperformance come and go; sometimes there is an equity premium, sometimes not.","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"63 28","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136282168","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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