Vol. 16, No. 2, 2018 Eero Pätäri, Ville Karell, Pasi Luukka and Julian Scott Yeomans This paper compares the efficacy of both traditional valuation ratios and an extensive set of related combination criteria in identifying the future best-performing stocks for a comprehensive U.S. sample over the period 1971–2013. Value portfolios formed on different criteria have… Read More
Articles
Evaluation and Ranking of Market Forecasters
Vol. 16, No. 2, 2018 David H. Bailey, Jonathan M. Borwein, Amir Salehipour and Marcos López de Prado Many investors rely on market experts and forecasters when making investment decisions, such as when to buy or sell securities. Ranking and grading market forecasters provides investors with metrics on which they may choose forecasters with the… Read More
Common Factors in Corporate Bond Returns
Vol. 16, No. 2, 2018 Ronen Israel, Diogo Palhares and Scott Richardson We find that four well-known characteristics (carry, defensive, momentum, and value) explain a significant portion of the cross-sectional variation in corporate bond excess returns. These characteristics have positive risk-adjusted expected returns and are not subsumed by traditional market premia or respective equity anomalies… Read More
Practitioner’s Digest
Volume 16, No. 1, 2018 Practitioner's Digest View PDF… Read More
Carbon Footprint and Productivity: Does the “E” in ESG Capture Efficiency
Volume 16, No. 1, 2018 Gerald T. Garvey, Mohanaraman Iyer and Joanna Nash This paper analyses the now-popular carbon ratio (emissions relative to sales) as a way to select stocks. We document that reduced carbon ratios are associated with stronger future profitability and positive stock returns in a global universe of stocks. But why? The… Read More
A Blueprint for Integrating ESG into Equity Portfolios
Volume 16, No. 1, 2018 Jennifer Bender, Todd Bridges, Chen He, Anna Lester and Xiaole Sun Environmental, social and governance (ESG) offers a source of new and potentially valuable information for investors, impacting both potential returns and risk. Growing data availability has created the opportunity to integrate ESG into equity portfolios for a variety of… Read More
Establishing ESG as Risk Premia
Volume 16, No. 1, 2018 Julia L. Pollard, Matthew W. Sherwood and Ryan Grad Klobus This seminal research provides statistically significant evidence for the empirical identification of Environmental, Social and Governance (ESG) as a factor of risk premium when integrated within an equity portfolio. This study purposes to establish that the conceptual development, adoption and… Read More
Environmental, Social, and Governance Criteria: Why Investors Should Care
Ravi Jagannathan, Ashwin Ravikumar and Marco Sammon Volume 16, No. 1, 2018 We argue that even money managers who care only about risks and returns are likely to benefit from incorporating Environmental, Social, and Governance (ESG) criteria into their investment process. ESG-related issues can cause sudden regulatory changes and shifts in consumer tastes, resulting in… Read More
Assessing Risk Through Environmental, Social and Governance Exposures
Vol. 16, No 1, 2018 Jeff Dunn, Shaun Fitzgibbons and Lukasz Pomorski We discuss risk and return implications of incorporating environmental, social and governance (ESG) considerations in an investment strategy and argue that ESG exposures may be informative about the risks of individual firms. We show empirically that stocks with worst ESG exposures have volatility… Read More
The Impact of Costs on Recent Target Date Fund Performance
Volume 15, Number 4, 2017 C. Edward Chang, Thomas M. Krueger and Mark A. Wrolstad Target date funds (TDFs) are rapidly becoming a common means to prepare for retirement. Given the swelling demand for these funds, this research is a timely look at TDFs’ most recent decade. As of March 2016, 518 TDFs have been… Read More