In this study we address three questions concerning socially responsible investing. First, is
the average return of a socially screened equity universe statistically different from the …

This paper provides a systematic review of value premium literature that examines the
performance difference between value and growth stocks and the possible reasons for it. We …

Forecasting—the art and science of predicting future outcomes—has become a crucial skill
in business and economic analysis. This volume introduces the reader to the tools, methods …

In this study, we show that earnings forecasting creates an index-tracking portfolio that
dominates the historical model trade-off curve. We find that using Toyo Keizai earnings …

Stock selection models often use momentum and analysts' expectation data. We find that
earnings forecast revisions and direction of forecast revisions are more important than …

Abstract Harry Markowitz passed on June 22, 2023; some four years short of reaching 100
years old. Dr. Markowitz was not a traditional economist. That fact was well-established and …

The practical issues that arise due to the interaction between three principal players in any
quantitative strategy—namely, the alpha model, risk model, and constraints—are collectively …

Abstract In 1992, John Mulvey co-edited a Special Issue, entitled “Financial Engineering”, in
the Annals of Operations Research. In that issue, Guerard, Takano, and Yamane (1992) …

A timely guide for those investing in research and development. Completely updated and
expanded, this edition examines the relationship between managing research development …

In spite of the early 1990s deep recession in Japan, there seems to be continuing interest in
Japan, in its business methods, and in the nature of its finance and commerce. In recent …