A study was conducted on predictors for the performance of various investment styles. One
widely used tool to quantify style is the BARRA" E2" risk model, which scores every stock on …

The urge to “play it safe” is strongest when investors are most nervous or uncertain, as in
highly turbulent markets. Market equilibrium and mean–variance portfolio theory prescribe that …

This chapter refines previous research on investment style as it applies to country selection.
It aims to distinguish among the many potential explanations for the observed variation in …

2 high-yield stocks may be generously rewarded. At other times, such issues are outpaced
by others with rapid earnings growth. Some investment styles have a record of producing …

This chapter addresses five basic questions regarding small-cap stocks in four European
markets: Are small-caps a meaningful market segment?; Do small-cap stocks outperform large-…

ROBERT D. ARNOTT is President of First Quadrant Corporation in Pasadena. He joined First
Quadrant in 1988. Mr. Arnott has published over three dozen articles on petzsion sponsor …

The editors havea passionateand well-known abhorrence of passive sentences as well as a
long-standing dislike of extensive summaries of the literature. Lively and succinct …

Global Equity Selection Strategies builds on Analytical Approaches To Stock Selection and
seeks to provide practical illustrations of enhancing the selection process through the use of …

… Macedo pursued independent research for a year as a Thomas J. Watson Fellow. In 1988,
she joined First Quadrant, a quantitatively oriented, global investment management firm in …

PASADENA, CALIFORNIA more people are drawn into the fray, a marvelous scene as the
angry towsfolk pelt the brawlers with fruit and brave words lead to bloodshed. Disaster is …