The purpose of this study is to document the existence, persistence, and effectiveness of
publicly available variables linked to financial anomalies during the 1979–1999 time period …

Seasonal anomalies cause market inefficiency by affecting the mean and volatility of stock
returns, and allow investors to obtain abnormal returns. In Indonesia, there is the month of …

This article addresses stock selection modeling and portfolio selection and implementation
in EMs. The authors view EM investing as a special case of global investing, demonstrating …

The previous chapter introduced the reader to Markowitz mean-variance analysis and the
Capital Asset Pricing Model. The cost of capital calculated in Chap. 10 assumes that the cost …

The objective of this thesis is to see if active investment funds are able to outperform ETFs
on emerging market debt. After a broad review of the literature, we analyze the monthly …

The purpose of this study is to document the existence of statistically significant Active
Returns and positive Specific Returns (positive stock selection) in portfolios created by …