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The Journal of Investing
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1273
Papers 1273
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Modern responsible investment encompasses three distinct activities: alignment of portfolios with client values, using exclusions; integration of environmental, social, and governance (ESG) factors into the investment process, often with a focus on financial materiality; and impact, which in public markets is usually sought through engagement with corporate management. All three fields are progressing rapidly, and each has a distinctive set of professional practices and supporting empirical lite...
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Using an earnings forecasting model is useful and produces statistically significant outperformance in US stock selection. This study finds that the incorporation of environmental, social, and governance (ESG) criteria can potentially enhance stockholder returns, holding risk constant under reasonable assumptions. The novel approach here uses a normalization of ESG strengths and weaknesses ratings, applied in both robust simply-weighted and realistic optimized portfolio settings. The study confi...
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An increasing number of investors face the dilemma of whether to divest from environmentally damaging businesses or enter into a dialogue with them. This debate has now taken root in Cambridge, England, where the ancient University of Cambridge confronts great pressure from students and staff members to respond to the threat of climate breakdown. Having already received two reports on its approach to responsible investment, the university appointed a new chief investment officer (CIO) who, along...
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This article investigates the risk-adjusted performance of Australian socially responsible investment (SRI) mutual funds, their self-specified benchmark indexes, and an alternative SRI index from 2009 to 2019. Adopting a multifactor risk-adjustment model, the article examines whether Australian SRI funds are specifying appropriate benchmarks in terms of their environmental, social, and governance (ESG) investment strategies and risk profiles. The results indicate that Australian SRI fund manager...
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We assess the announcement wealth effects and trading opportunities on the stocks of share repurchasing firms. We join the traditional CAR approach to estimating abnormal returns with the EVA style approach to investing. Our empirical results are robust and statistically significant for a sample of 1,540 share repurchases observed over the 18-year reporting period, 1997–2014. Our CAR and EVA style findings confirm both information signaling and the potential availability of alpha-generating trad...
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#1Dean DiavatopoulosH-Index: 5
#2FodorAndyH-Index: 6
Last.Kevin KriegerH-Index: 5
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Turmoil and uncertainty confront firms when they are named as defendants in class action lawsuits. In this article, we consider whether option markets interpret the implications of these dramatic corporate events for mid-to-long term performance. In particular, we consider relatively simple, long, volatility-based combined option positions. We find consistent, positive, and frequently significant returns to option straddle and strangle positions held from six months to 1.5 years after a firm is ...
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#1Chris Tidmore (The Vanguard Group)
#2Francis M. Kinniry (The Vanguard Group)H-Index: 3
Last.Edoardo Cilla (The Vanguard Group)
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Some investment strategists advocate concentrated, “best ideas” portfolios as the surest path to equity market outperformance. The premise is obvious: When a portfolio consists only of a manager’s best ideas, returns are undiluted by second-best or lesser ideas. But the reality is different. We used simulations and empirical analysis to evaluate the relationship between portfolio diversification and outperformance. We found that increasing concentration doesn’t raise the odds of outperformance; ...
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#1Tien D. Nguyen (Concordia University)
#2Lorne N. Switzer (Concordia University)H-Index: 18
In this article, we investigate the diversification gains obtained from investing in European small-cap stocks, focusing on the periods since the Global Financial Crisis and Brexit. We find mixed evidence to support the assertion that European small-caps provide diversification benefits to a benchmark portfolio of large US stocks. The benefits are also limited when benchmark assets include both a US large-cap portfolio as well as a portfolio of European large-cap stocks. After Brexit, US investo...
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#2Raina Oberoi (MSCI)
Last.Raman Aylur Subramanian (MSCI)H-Index: 2
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Institutional investors are frequently faced with making a choice between active and passive management. The ability to select skilled managers who can add value beyond a comparable passive benchmark may justify the case for active implementation. One fundamental approach toward evaluating active managers is by segregating them based on the region of their investment focus—US large caps, international large caps, global small caps, and emerging markets—and then reviewing the active management op...
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We examine how mutual fund ability varies across up and down market conditions by exploring the Upside and Downside Capture Ratios. We find convincing evidence that Capture Ratios persist and successfully identify mutual funds that subsequently outperform in their respective market conditions. We show that mutual funds that possess the ability to both outperform in up markets and reduce losses in down markets significantly outperform over the subsequent year, and we further show that mutual fund...
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