Vol. 19, No. 2, 2021 View PDF… Read more
the JOIM
Book Review: The Financial Ecosystem — The Role of Finance in Achieving Sustainability
Vol. 19, No. 2, 2021 By Satyajit Bose, Guo Dong and Anne Simpson (Reviewed by Hui (Stacie) Wang) View PDF… Read more
The Magic Formula: Value, Profitability, and the Cross-Section of Global Stock Returns
Vol. 19, No. 2, 2021 Douglas W. Blackburn and Nusret Cakici Buying profitable, undervalued stocks and shorting unprofitable, overvalued stocks yields significant return differentials in North American, Europe, Japan, and Asia. Using data from 1991 to 2016, double sorting stocks into portfolios by gross profits, a measure of profitability, and earnings yield, a measure of… Read more
What Happens with More Funds than Stocks? Analysis of Crowding in Style Factors and Individual Equities
Vol. 19, No. 2, 2021 Ananth Madhavan, Aleksander Sobczyk and Andrew Ang The proliferation of funds juxtaposed against the decline in individual stock listing since the mid-1990s raises questions about crowding in individual stocks or style factors. We examine these issues by characterizing the common components of funds from 2007 through 2018. A key difference… Read more
Active Investing as a Negative Sum Game: A Critical Review
Vol. 19, No. 2, 2021 Geoffrey J. Warren The literature on whether active management adds value is examined through the prism of the proposition by Sharpe (1991) that active investing is a negative sum game after costs. Focal points include how active fund research does not directly test Sharpe’s proposition and seems inconsistent with it… Read more
Asset Pricing, Asset Allocation and Risk-Adjusted Performance with Multiple Goals and Agency: The Goals and Risk-Based Asset Pricing Model
Vol. 19, No. 2, 2021 Arun Muralidhar Investment managers require a consistent asset pricing model, asset allocation recommendations, and risk-adjusted performance measures (or the “three facets of investing”) to be effective in managing portfolios. Incorporating three critical realities of investing into these models (i.e., that investors have many stochastic goals, seek to delegate to skillful… Read more
Practitioner’s Digest
Vol. 19, No. 1, 2021 View PDF… Read more
Case Study: Pairs Trading in the Era of Meme Stocks
Vol. 19, No. 1, 2021 By Seoyoung Kim View PDF… Read more
Book Review: Beyond Diversification: What Every Investor Needs to Know About Asset Allocation
Vol. 19, No. 1, 2021 By Sébastien Page (Reviewed by Cel Kulasekaran) View PDF… Read more
Comovement, Liquidity and Asymmetries
Vol. 19, No. 1, 2021 James X. Xiong Substantially increased institutional investing and index trading in the US stock market have a meaningful impact on the mechanical relationship between return comovement and liquidity, which can be quantified by a power-law function and explained by a liquidity supply model. Three well-documented asymmetries (asymmetric volume, asymmetry in non-market… Read more