We open this issue with a study by Sturm that compares the use of turning points with closing prices to infer times when investor sentiment has reached extreme levels. He presents evidence indicating that using turning points in market portfolio prices is more effective for measuring times when investor sentiment reaches extreme levels. Next, Yuan, Gupta, and Roca examine whether investing in the American depositary receipt (ADR) market indexes provides greater diversification benefits for U.S. investors than investing in foreign stock market indexes. Estrada discusses asset allocations for pre- and post-retirement and suggests that both an all-equity portfolio and a 60/40 stock/bond allocation are simple and very effective strategies for retirees to implement. Using bootstrap simulations, Fong and Ong examine the efficacy of lifecycle investing for building retirement wealth. Chaves explores an alternative definition of momentum that is calculated using the idiosyncratic returns from market regressions. Because dealing costs play such a crucial role in swing pricing mechanisms, Borkovec, Serbin, and Zhou review the competing measures of these costs. Yanushevsky and Yanushevsky examine the group multiple calculation problem and offer a criterial interpretation of the arithmetic and harmonic means.
In our special section on sustainable investing, Mahn opens with a discussion of how sustainable, responsible, and impact investing (the new socially responsible investing [SRI]) offers a dynamic approach to investing in this rapidly growing area. Blank, Sgambati, and Truelson examine the journey from value-based or ethical investing programs to more mainstream approaches integrating socially responsible corporate behaviors into investment processes. Nagy, Kassam, and Lee analyze tilt and momentum strategies to determine whether investors sacrifice risk-adjusted returns by incorporating environmental, social, and corporate governance (ESG) considerations. Ameer examines the risk–return trade-offs of SRI by using the ASSET4 ESG rating in the small economy of New Zealand. We conclude our issue with Richey’s examination of the return characteristics of a portfolio of U.S. “vice stocks.”
As always, we welcome your submissions. Please encourage those you know who have good papers or have made good presentations on trading-related subjects to submit them to us. Submission guidelines are included in this issue. We value your comments and suggestions, so please email us at journals{at}investmentresearch.org.
TOPICS: ESG investing, equity portfolio management, analysis of individual factors/risk premia
Brian Bruce
Editor-in-Chief
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