2022 Archives
Volume 20, No. 1, First Quarter 2022
ARTICLES
Measuring the Economic and Academic Impact of Philanthropic Funding: The Breast Cancer Research Foundation
Detelina Vasileva, Larry Norton, Marc Hurlbert and Andrew W. Lo
Exponential Glide Paths
Moshe Levy and Haim Levy
Relevance
Megan Czasonis, Mark Kritzman and David Turkington
How Well Do Factor ETFS Capture the FAMA–French Factors?
Nicholas Apergis, Thomas Poufinas, Alexandros Panagakis and Ioannis Ritsios
Characteristic-Based Returns: Alpha or Smart Beta?
Soohun Kim, Robert A. Korajczyk and Andreas Neuhierl
CASE STUDY
Case Study: NFTs as Alternative Investments?
Seoyoung Kim
BOOK REVIEW
In Pursuit of the Perfect Portfolio
by Andrew Lo and Stephen Foerster (reviewed by Megan Czasonis)
Volume 20, No. 2, Second Quarter 2022
Special Issue: ESG Investing
ARTICLES
ESG, Investing, and Corporate Finance: Some Basic Questions
Bradford Cornell
Sustainable Investing From a Practitioner’s Viewpoint: What’s in Your ESG Portfolio?
Jeffrey R. Bohn, Lisa R. Goldberg and Simge Ulucam
Sustainable Alpha in Sovereign and Corporate Bonds
Karishma Kaul, Katharina Schwaiger, Muling Si and Andrew Ang
INSIGHTS
Financing Vaccines for Global Health Security
Jonathan T. Vu, Benjamin K. Kaplan, Shomesh Chaudhuri, Monique K. Mansoura and Andrew W. Lo
Toil and Trouble, Don’t Get Burned Shorting Bubbles
Aaron Brown and Richard Dewey
In Memoriam—Louis A. Simpson
Robert Korajczyk
BOOK REVIEW
Book Review: The Future of Money: How the Digital Revolution is Transforming Currencies and Finance
by Eswar S. Prasad (Reviewed by Travis Whitmore)
Volume 20, No. 3, Third Quarter 2022
ARTICLES
Tax-Rate Arbitrage: Realization of Long-Term Gains to Enable Short-Term Loss Harvesting
Lisa Goldberg, Taotao Cai and Pete Hand
Portfolio Performance Attribution via Shapley Value
Nicholas Moehle, Stephen Boyd and Andrew Ang
Just Say No to Leveraged ETFs
Ziemowit Bednarek and Pratish Patel
What’s in the Moneyness? Moneyness Spread and Future Stock Returns
Zhan Li
CASE STUDY
Passive Versus Active ESG Investing: How a Small Hedge Fund Converts an Oil Giant
Ye Cai and Seoyoung Kim
BOOK REVIEW
Book Review: Investing Amid Low Expected Returns
by Antti Illmanen (Reviewed by Zachary Crowell)
Volume 20, No. 4, Fourth Quarter 2022
Special Issue – ESG Investing II
ARTICLES
Carbon Emissions and Asset Management
Ashwin Alankar and Myron Scholes
ESG Investment Performance Evaluation: An Integrated Approach
Stephen Horan, Elroy Dimson, Clive Emery and Kenneth Blay
Factor Investing in Paris: Managing Climate Change Risk in Portfolio Construction
Janina Kolle, Harald Lohre, Erhard Radatz and Carsten Rother
Climate-Aware Risk Budgeting
Brian Jacobsen, Eddie Cheng and Wai Lee
ESG Screening in the Fixed-Income Universe
Fabio Alessandrini, David Baptista Balula and Eric Jondeau
INSIGHTS
Bias and Noise in Humans & AI: When to Trust Humans & Machines in Decision-Making
Vasant Dhar
CASE STUDY
ESG Greenwashing and Recent Sec Actions
Ye Cai and Seoyoung Kim
BOOK REVIEW
Book Review: Where the Money Is: Value Investing in the Digital Age
by Adam Seessel (Reviewed by Anitya Gupta)