Pub Date : 2024-03-14DOI: 10.1080/0015198x.2024.2317323
Rob Arnott, Feifei Li, Juhani Linnainmaa
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...
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Pub Date : 2024-01-31DOI: 10.1080/0015198x.2023.2292545
Sara Ain Tommar, Serge Darolles, Emmanuel Jurczenko
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...
{"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}
Pub Date : 2024-01-18DOI: 10.1080/0015198x.2023.2292534
Wei Dai, Mamdouh Medhat, Robert Novy-Marx, Savina Rizova
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...
{"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}
Pub Date : 2023-12-14DOI: 10.1080/0015198x.2023.2285218
Stephen C. Sexauer, Laurence B. Siegel
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. ...
{"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}
Pub Date : 2023-12-13DOI: 10.1080/0015198x.2023.2284625
Zhiqian Jiang, Baixiao Liu, Andrew Schrowang, Wei Xu
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...
{"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}
Pub Date : 2023-12-11DOI: 10.1080/0015198x.2023.2283445
Emmanuel R. Pezier, Paolo F. Volpin
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...
{"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}
Pub Date : 2023-12-08DOI: 10.1080/0015198x.2023.2280035
Desislava Vladimirova, Jieyan Fang-Klingler
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 ...
{"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}
Pub Date : 2023-11-20DOI: 10.1080/0015198x.2023.2270084
Christian L. Goulding, Campbell R. Harvey, Michele G. Mazzoleni
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...
我们记录并量化了趋势中断(即资产价格轨迹的转折点)对几个时期标准月度趋势跟踪策略表现的负面影响。
{"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}
Pub Date : 2023-11-13DOI: 10.1080/0015198x.2023.2268556
Edward F. McQuarrie
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.
当杰里米•西格尔(Jeremy Siegel)发表他的《长期股票》(Stocks for Long Run)论文时，人们对19世纪的股票和债券回报知之甚少。数字档案使得计算1792年以来美国股票和债券指数的实际总回报率成为可能。新的历史记录显示，在几十年的时间里，有时股票的表现优于债券，有时债券的表现优于股票，有时两者的表现大致相同。新的国际数据证实了这一模式。20世纪美国的资产回报率并不具有普遍性。资产跑赢的机制来去匆匆;有时有股权溢价，有时没有。
{"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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