Purpose The efficient market hypothesis (EMH) states that asset prices in financial markets
always reflect all available information about economic fundamentals. The purpose of this …

The expanding scale and scope of securities regulation has been much praised and much
condemned. 1 An accelerating countercurrent, however, has attracted far less attention. As …

Both the cross-sectional dispersion of US stock returns and the VIX provide forecasts of
alpha dispersion across high-and low-performing portfolios of stocks that are statistically and …

The economic enterprise has firmly established itself as one of evaluating human responses
to scarcity not as a rigidly rational game of optimization, but as a holistic behavioral …

Active management plays a critical, positive role in global capital markets. It acts as the
primary driver of market efficiency by exploiting, and in the process mostly eliminating …

Despite the rise of multifactor models emphasizing value and firm size, beta remains the
most explanatory element of the risk premium in most asset pricing models. Designed to …

The present study examines the Indian small-cap cycle between April 2011 and March
2022. The ordinary least squares (OLS) estimate shows that investors can benefit from …

Mit Hilfe der portfoliobasierten Analysemethodik, dem genauesten Verfahren zur
Identifizierung des Investmentstils untersucht Andreas Postert den Anlagestil von 78 in …

Australians have over $1 trillion invested in fiduciary products such as pension funds (ABS,
2006a). Since the early 1980's, the policies of successive governments have compelled …

Investment managers focus much of their attention on the process of searching for alpha.
This paper presents a model which shows that this search for alpha is likely to generate …