Handbook of applied investment research

Table of contents:

Part I: Fundamental Anomalies and Stock Selection Modeling:
1. The Five Investor Camps that Try to Beat the Stock Market (William T Ziemba)
2. A Comparison of Some Aspects of the US and Japanese Equity Markets (M Bloch, J Guerard, H Markowitz, P Todd, and G Xu)
3. Covariance Complexity and Rates of Return on Assets (Leonard C MacLean, Michel E Foster, and William T Ziemba)
4. The Role of Effective Corporate Decisions in the Creation of Efficient Portfolios (J B Guerard, Jr., H Markowitz, and G Xu)
5. Earnings Forecasting in a Global Stock Selection Model and Efficient Portfolio Construction and Management (John B Guerard, Jr., Harry M. Markowitz, and GanLin Xu)
6. Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet (Bijan Beheshti, John B Guerard, and Chris Mercs)
7. The Hillcrest Management Sentiment Indicator (Brian Bruce and Douglas Stark)

Part II: Financial Anomalies and Calendar Effects:
8. Seasonality Effects in Japanese Futures Markets (William T Ziemba)
9. Sell-in-May-and-Go-Away in the US Equity Index Futures Markets, 1993–2019 (Constantine Dzhabarov and William T Ziemba)
10. Japanese Security Market Regularities: Monthly, Turn-of-the-Month and Year, Holiday, and Golden Week Effects (W T Ziemba)
11. World Wide Security Market Regularities (William T Ziemba)
12. Sell-in-May-and-Go-Away: The International Evidence (Constantine Dzhabarov, Alexandre Ziegler and William T Ziemba)
13. Seasonal Effects, Trends and Pre-Announcement Drifts: Turning Anomalies into Investment Strategies(Blair Hull, Petra Bakosova, and Alexander Kment)
14. Stock Market Crashes in 2006–2009: Were We Able to Predict Them? (Sebastien Lleo and William T Ziemba)

Part III: Efficient Portfolio Construction:
15. Efficient Global Portfolios: Big Data and Investment Universes (J B Guerard, Jr., S T Rachev, and B P Shao)
16. Avoiding the Downside: A Practical Review of the Critical Line Algorithm for Mean-Semivariance Portfolio Optimization (Harry M Markowitz, David Starer, Harvey Fram and Sander Gerber)
17. Alternative Measures of Mutual Fund Performance: Ranking DFA, Fidelity, and Vanguard (Chong Li, Edward Tower, and Rhona Zhang)

Part IV: Asset Allocation and Non-Stock Investment Research:
18. Wealth Management Next Frontiers — The Inevitable Need to Meet Behavioral and Quantitative Approaches (Boryana Racheva-Iotova)
19. Foreign Exchange Rate Predictability: Seek and Ye Shall Find It (Foteini Kyriazi and Dimitrios D Thomakos)
20. Tracking VIX with VIX Futures: Portfolio Construction and Performance (Tim Leung and Brian Ward)
21. Long-Memory Processes in High-Frequency Foreign Exchange and US Equity Market (Barret Pengyuan Shao)
22. Arbitrage and Risk Arbitrage in the Nikkei Put Warrant Market (William T Ziemba)
23. A Stopping Rule Model for Exiting Bubble-like Markets with Applications (William T Ziemba, S Lleo, and M Zhitlukhin)
24. Econometric Tools for Stress Testing Using Time Heterogeneity and Maximum Entropy (H D Vinod)
25. Causality Studies of Real GDP, Unemployment, and Leading Indicators (H D Vinod and John B Guerard, Jr.,)
26. Investing on the "Far Side of the Moon": Capturing Capital Market Inclusion Opportunity across MEASA (Middle East–Africa–South Asia) (Robert A Gillam and Russell Read)

This book introduces the readers to the rapidly growing literature and latest results on financial, fundamental and seasonal anomalies, stock selection modeling and portfolio management. Fifty years ago, finance professors taught the Efficient Markets Hypothesis which states that the average investor could not outperform the stock market based on technical, seasonal and fundamental data. Many, if not most faculty and investors, no longer share that opinion. In this book, the authors report original empirical evidence that applied investment research can produce statistically significant stock selection and excess portfolio returns in the US, and larger excess returns in international and emerging markets.

https://www.worldscientific.com/worldscibooks/10.1142/11727