%0 Journal Article %A John B. Guerard %A Harry Markowitz %A Ganlin Xu %T Global Stock Selection Modeling and Efficient Portfolio Construction and Management %D 2013 %R 10.3905/joi.2013.22.4.121 %J The Journal of Investing %P 121-128 %V 22 %N 4 %X Stock selection models often use analysts’ expectations, momentum, and fundamental data. The authors found support for composite modeling using these sources of data for global stocks from 1997 through 2011. They found additional evidence to support the use of SunGard APT multifactor models for portfolio construction and risk control. Three levels of testing of stock selection and portfolio construction models are developed and estimated. They create portfolios for January 1997 through December 2011. They report three conclusions: 1) Analysts’ forecast information has been rewarded by the global market from January 1997 through December 2011; 2) analysts’ forecasts can be combined with reported fundamental data, such as earnings, book value, cash flow, and sales, and momentum, in a stock selection model to identify mispriced securities; and 3) the portfolio returns of the multifactor risk-controlled portfolios allow the rejection of the null hypothesis for the data-mining corrections test.TOPICS: Fundamental equity analysis, portfolio construction %U https://joi.pm-research.com/content/iijinvest/22/4/121.full.pdf