Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Investing
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Investing

The Journal of Investing

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Open Access

Editor’s Letter

Brian Bruce
The Journal of Investing April 2021, 30 (3) 1; DOI: https://doi.org/10.3905/joi.2021.30.3.001
Brian Bruce
Editor-in-Chief
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

To open this issue, Ennis presents an analysis of the performance of 43 of the largest individual endowments over the past 11 years and reveals that none outperformed with statistical significance, while one in four underperformed with statistical significance. Kimura, Schwaiger, Sharma, and Ang document significant spreads in style factors—value, size, quality, momentum, and low volatility—in each of the style box categories. They build multifactor portfolios within each style box, thus giving access to five style factors that can stay within a style box category, and the portfolios had information ratios of about 0.8 over June 2003 to December 2020.

Next, Bessembinder quantifies long-run stock market outcomes regarding the increases or decreases (relative to a T-bill benchmark) in shareholder wealth. Findings show that the stock market wealth creation, which is concentrated in a few top-performing firms, has increased over time and was particularly strong during the most recent three years when five firms accounted for 22% of net wealth creation. Livnat and Singh employ a time-series specific machine learning (ML) algorithm to classify future stock returns into three potential outcome categories. In addition to information about analysts’ revisions of their earnings forecasts, this study uses a signal constructed from unstructured data. Results show that the ML algorithm improves the accuracy of predictions in the three classes beyond random classification of future stock returns.

As we continue, Izadi studies a sample of ETNs that track commodity futures indices and investigates the relationship between premiums and returns for a sample of ETNs issued. This study focuses on noise trading and return predictability and their impact on the informational efficiency in the ETN markets. Ghaidarov provides a methodology for extending the application of restricted stock discount models to situations where trading restrictions are stochastic or perpetual. The model introduces a simple and robust approach for quantifying illiquidity discounts for private equity investments, which is of practical importance to valuation consultants, regulators, and risk managers.

To conclude the issue, Hambusch, Michayluk, Terhaar, and Van de Venter examine ethical decision-making related to insider trading. Using case study scenarios, they shed light on differences in evaluating the use of material nonpublic information when insider trading’s expected outcomes benefit clients versus the investment professional trading on inside information.

As always, we welcome your submissions. We value your comments and suggestions, so please email us at journals{at}investmentresearch.org.

TOPICS: Factor-based models, portfolio construction, performance measurement

Brian Bruce

Editor-in-chief

  • © 2021 Pageant Media Ltd

PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Investing: 30 (3)
The Journal of Investing
Vol. 30, Issue 3
April 2021
  • Table of Contents
  • Index by author
  • Complete Issue (PDF)
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Investing.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Editor’s Letter
(Your Name) has sent you a message from The Journal of Investing
(Your Name) thought you would like to see the The Journal of Investing web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Editor’s Letter
Brian Bruce
The Journal of Investing Mar 2021, 30 (3) 1; DOI: 10.3905/joi.2021.30.3.001

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Editor’s Letter
Brian Bruce
The Journal of Investing Mar 2021, 30 (3) 1; DOI: 10.3905/joi.2021.30.3.001
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1068-0896 | E-ISSN: 2168-8613

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy