Multistyle rotation strategies

Journal of Portfolio Management

Volumn 28, Issue 3, 2002, Pages 17-30

  Ahmed, Parvez ^a   Lockwood, Larry J ^a   Nanda, Sudhir ^a  

^a PENNSYLVANIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036000672     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2002.319839     Document Type: Review

References (43)

1. Style investing: Incorporating growth characteristics in value stocks
2. A large versus small capitalization relative performance model
3. Multifactor asset pricing analysis of international value investment strategies
4. The relationship between return and market value of common stocks
5. The investment performance of common stocks in relation to their price-earnings ratios: A test of the efficient market hypothesis
6. The relationship between earnings yield, market value and return for NYSE common stocks: Further evidence
7. International value and growth stock returns
8. Historical tendencies of equity style returns and the prospects for tactical style allocation
9. Momentum strategies
10. Equity style classifications
11. Equity style: What it is and why it matters
12. Long-term memory in equity style indexes
13. Size and earnings/price ratio anomalies: One effect or two?
14. Does the market overreact?
15. Further evidence on investor overreaction and stock market seasonality
16. Factor-based approach to equity portfolio management
17. Common risk factors in the returns on stocks and bonds
18. The cross-section of expected stock returns
19. Dividend yields and expected stock returns
20. Value versus growth: The international evidence
21. Benefits of proper style classification of equity portfolio managers
22. The effects of imprecision and bias on the abilities of growth and value managers to outperform their respective benchmarks
23. Returns to buying winners and selling losers: Implications for stock market efficiency
24. The inconsistency of small-firm and value stock premiums
25. The active versus passive debate: Perspectives of an active quant
26. Equity style timing
27. Size-related anomalies and stock return seasonality: Further empirical evidence
28. Market timing with small vs. large firm stocks: Potential gains and required predictive ability
29. What practitioners need to know about time diversification
30. Contrarian investment, extrapolation and risk
31. The profitability of style rotation strategies in the United Kingdom
32. Implementation of quantitative research and investment strategies
33. Tactical asset allocation: 1977-1994
34. A direct test of roll's conjecture on the firm size effect
35. Revival of the small-firm effect
36. The significance of market capitalization in portfolio management over time
37. Behavioral bias, valuation, and active management
38. Return autocorrelation and institutional investors
39. Equity style classifications: A comment