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Second Quarter (2021)

0 comments / 09/06/2021 / the JOIM / Practitioner’s Digest

Practitioner’s Digest

Vol. 19, No. 2, 2021 View PDF… Read more

0 comments / 09/06/2021 / the JOIM / Book Reviews

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

0 comments / 09/06/2021 / the JOIM / Articles

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

0 comments / 09/06/2021 / the JOIM / Articles

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

0 comments / 09/06/2021 / the JOIM / Articles

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

0 comments / 09/06/2021 / the JOIM / Articles

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

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