There is overwhelming evidence that abnormal equity returns are associated with the turn of
the year, the week and the month, as well as with holidays and the time of day. These …

Stock market phenomena such as the January and low pricelearnings ratio effects entice
investors with prospects of extraordinary returns. Most previous stock market anomaly research …

… To illustrate what this may involve, we outline a few real-world short-sale constraints (see
also Jacobs and Levy 2000). To sell short for any customer, a broker must borrow the stock to …

… mates, often referred to as “earnings controversy” Jacobs and Levy || 1988b] find that companies
with … In support of bounded efficiency, Jacobs and Levy ||1988a, 1988b, and 1989] find …

Consider a long-only investor who has an extremely negative view about a typical stock. The
investor’s ability to benefit from this insight is very limited. The most the investor can do is …

… Just as portfolio insurance, with its trend-following purchases of stock as stock prices rose,
buttressed the equity market’s run-up before the 1987 crash (Jacobs 1999a), so did the …

Environmental, social, and governance (ESG) considerations play an increasingly important
role in investment decisions. Due to data vendors’ lack of a common framework for creating …

… Jacobs is principal at Jacobs Levy Equity Management, Florham Park, New Jersey. … , the
portfolio maintains a full market exposure and v = 1 (see Jacobs and Levy forthcoming 2006). …

Bruce I. Jacobs, Kenneth N. Levy, and Harry M. Markowitz crete increments, while in
continuous models the system changes continuously over time. Discrete-time models can be …

Gains and losses that come with holding the benchmark portfolio are an “act of God." Gains
and losses that come with deviation from the benchmark portfolio are an “act of man." Choice …