Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Investing
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Investing

The Journal of Investing

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JOI
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Open Access

Editor’s Letter

Brian R. Bruce
The Journal of Investing Fall 2017, 26 (3) 1; DOI: https://doi.org/10.3905/joi.2017.26.3.001
Brian R. Bruce
Editor-in-Chief
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  1. Brian R. Bruce
    1. Editor-in-Chief

We open the fall issue with a commentary by Cornell regarding the maintenance of the equilibrium level of market efficiency in a stock market dominated by passive investors. Mozes and Rozen discuss the challenges in using price-to-earnings ratios in investment strategies. Houlihan and Creamer investigate the predictive capability of sentiment extrapolated from three dictionaries: financial, social media, and mood states. Broughton and Lobo identify methodological issues involved with measuring equity duration and explore its use as a tool in portfolio risk management.

Next, Cao, Chen, and Datar study to what extent macroeconomic risk drives the positive cross-sectional relationship between future stock returns and relative firm value and also provide evidence that value stocks are riskier than growth stocks. Clare, Seaton, Smith, and Thomas investigate the relationship between size and momentum across a wide range of international equity markets. McKeon and Svetina compare the effectiveness of two popular strategies for managing risk at the individual stock level: stop-loss orders and long put positions. Bu and Lacey introduce the dynamic liquidity score, a new measure of liquidity for equity mutual funds that is a combination of a fund’s money flow and its volatility around money flow. Avramov, Cheng, Schreiber, and Shemer propose an active strategy that buys (sells short) a subset of the top (bottom) anomaly portfolios based on past one-month return and present evidence.

In our special section on volatility, Agapova, Ferguson, and Leistikow show that a “rational,” CAPM-type of positive relationship between short-horizon expected arithmetic return and risk can lead to a negative long-horizon relationship between compound annual return and risk (whether risk is measured by volatility or beta). Patterson, Haskell, and Mano study the relationship between oil prices and sectors of the U.S. stock market across several periods of time as well as testing for and discovering an exchange-traded fund (ETF) investment security that could be used for managing oil price risk. Diavatopoulos and Fodor evaluate the predictive power of short-term stock return momentum and option volume ratios for future stock returns.

We conclude the issue with Bouchey, Li, and Nemtchinov’s examination of the beta anomaly in the academic literature and empirical analysis for stocks in the United States, developed markets, and emerging markets.

As always, we welcome your submissions. We value your comments and suggestions, so please email us at journals{at}investmentresearch.org.

TOPICS: Fundamental equity analysis, analysis of individual factors/risk premia

Brian Bruce

Editor-in-Chief

  • © 2017 Pageant Media Ltd

LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
reply@pm-research.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2023 With Intelligence Ltd | All Rights Reserved | ISSN: 1068-0896 | E-ISSN: 2168-8613

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy