We examine the effect of mandatory environmental, social and governance (ESG) disclosure
on firms' price discovery efficiency around the world. Using data from 45 countries between …

This study constructs active Islamic portfolios using a multi-style rotation strategy, derived
from the three prominent styles, namely, momentum, value, and quality investing. We use …

An active investment process in corporate bonds requires an approach that explicitly takes
into account the diversification benefits that can be derived from a combination of alpha …

An efficient low-volatility strategy only needs a little amount of trading. The empirical
literature on low-volatility investing reveals a concave relation between the amount of …

We examine the issues and methods involved in evaluating the size that an equity fund
might attain before it becomes unable to create additional value for investors. We discuss …

are cross-sectional dispersions of factors and returns, respectively. Hence, value-added is
proportional to IC, and to the dispersion of factors (opportunity in return forecasts) and the …

This article examines municipal bond fund returns from 1991 through 2000. Four predictions
of the efficient markets hypothesis are supported. First, among similar-style funds, there is a …

A number of conditional transition probability models make use of side information-
explanatory variable values known only initially and useful for predicting transitions of the …

We develop new formulas for the turnover and leverage of mean–variance optimal long–
short market neutral portfolios, where active weights are obtained using a factor model …

The traditional Markowitz MVO approach is based on a single-period model. Single period
models do not utilise any data or decisions beyond the rebalancing time horizon with the …