We investigate two popular approaches to long-only style investing that are often considered
as potential starting points for smart beta investors: the “portfolio mix” that builds a style …

Financial anomalies have been studied in the United States. Recent evidence suggests that
financial anomalies have diminished in the United States and possibly in non-US portfolios …

We develop a fundamental law of active management based on cross-section factor models
for residual returns where the latter have unconditional mean zero and the factor exposures …

Chief executive officers and chief financial officers seek to implement corporate financial
decisions that maximize the stock price and stockholder wealth. Real assets may be …

The aim of this paper is to identify the driving forces of cross-border investments emanating
from Sovereign wealth funds and to test the existence of spatial competition among recipient …

We extract information on relative shopping interest from Google search volume and provide
a genuine and economically meaningful approach to directly incorporate these data into a …

The purpose of this research is to determine the composition of an efficient portfolio in the
financing of ten Islamic banks. The theory of efficient portfolio by Markowitz is a modern …

There is a rich body of literature describing the association of earnings forecasting models
with stock returns. We use an earnings forecasting model that employs the forecasted …

Harry Markowitz was the father of portfolio selection. His emphasis of the need to integrate
utility theory and its corresponding risk-aversion coefficients, Bayesian and robust statistics …

We investigate whether the well-known positive association between past stock returns and
analysts' earnings forecast revisions differs for stocks that have experienced extreme …