Performance measurement
- Normal Return Gaps: Dispersion Illuminates DiversificationWilliam W. Jennings, Thomas C. O’Malley and Brian C. PayneThe Journal of Wealth Management July 2020, 23 (2) 18-35; DOI: https://doi.org/10.3905/jwm.2020.1.105
- Are Expected Costs and Returns Identical Twins? Decoupling Slippage from Momentum over Shorter HorizonsMilan Borkovec and Konstantin TyurinThe Journal of Investing July 2020, 29 (5) 97-116; DOI: https://doi.org/10.3905/joi.2020.1.136
- Correlation and Regression Analysis of the Relation between Ethereum Price and Both Its Volume and Bitcoin PriceNurkhodzha Akbulaev, Ilkin Mammadov and Mehbube HemdullayevaThe Journal of Structured Finance July 2020, 26 (2) 46-56; DOI: https://doi.org/10.3905/jsf.2020.1.099
- A Network Approach to Analyzing Hedge Fund ConnectivityGueorgui S. Konstantinov and Joseph SimonianThe Journal of Financial Data Science July 2020, 2 (3) 55-72; DOI: https://doi.org/10.3905/jfds.2020.1.036
- Measuring Sequence of Returns RiskAndrew Clare, Simon Glover, James Seaton, Peter N. Smith and Stephen ThomasThe Journal of Retirement July 2020, 8 (1) 65-79; DOI: https://doi.org/10.3905/jor.2020.1.066
- Divergent ESG RatingsElroy Dimson, Paul Marsh and Mike StauntonThe Journal of Portfolio Management July 2020, jpm.2020.1.175; DOI: https://doi.org/10.3905/jpm.2020.1.175
- Value in Listed Equities: It’s Just a StoryGerald T. GarveyThe Journal of Portfolio Management July 2020, jpm.2020.1.165; DOI: https://doi.org/10.3905/jpm.2020.1.165
- Stock Characteristics and Stock Returns: A Skeptic’s Look at the Cross Section of Expected ReturnsBradford CornellThe Journal of Portfolio Management June 2020, 46 (7) 131-142; DOI: https://doi.org/10.3905/jpm.2020.1.154
- Manager Characteristics and Hedge Fund Returns, Liquidity, and SurvivalHyuna ParkThe Journal of Alternative Investments June 2020, jai.2020.1.102; DOI: https://doi.org/10.3905/jai.2020.1.102
- Strategic RebalancingSandy Rattray, Nick Granger, Campbell R. Harvey and Otto Van HemertThe Journal of Portfolio Management May 2020, 46 (6) 10-31; DOI: https://doi.org/10.3905/jpm.2020.1.150
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