Financial Analysts Journal

1996 - 2025

Current editor(s): Maryann Dupes

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Volume 76, issue 4, 2020

Our Thanks to Reviewers pp. i-ii

The Editors

Correction pp. iii-iv

The Editors

Seventy-Five Years of Investing for Future Generations pp. 5-21

David Chambers, Elroy Dimson and Charikleia Kaffe

The Shift from Active to Passive Investing: Risks to Financial Stability? pp. 23-39

Kenechukwu Anadu, Mathias Kruttli, Patrick McCabe and Emilio Osambela

Impact Investing: Killing Two Birds with One Stone? pp. 40-52

Cornelia Caseau and Gilles Grolleau

Conditional Volatility Targeting pp. 54-71

Dion Bongaerts, Xiaowei Kang and Mathijs van Dijk

When Equity Factors Drop Their Shorts pp. 73-99

David Blitz, Guido Baltussen and Pim van Vliet

Factor Exposure Variation and Mutual Fund Performance pp. 101-118

Manuel Ammann, Sebastian Fischer and Florian Weigert

Provision of Longevity Insurance Annuities pp. 119-133

Dale Kintzel and John A. Turner

Gold, the Golden Constant, and Déjà Vu pp. 134-142

Claude Erb, Campbell R. Harvey and Tadas Viskanta

Volume 76, issue 3, 2020

The Financial Analysts Journal and Investment Management pp. 5-21

William N. Goetzmann

A Review of the Performance Measurement of Long-Term Mutual Funds pp. 22-37

Edwin J. Elton and Martin J. Gruber

Targeting Retirement Security with a Dynamic Asset Allocation Strategy pp. 38-55

Adam Kobor and Arun Muralidhar

Risk Management and the Optimal Combination of Equity Market Factors pp. 57-79

Roger Clarke, Harindra de Silva and Steven Thorley

A Framework for Constructing Equity-Risk-Mitigation Portfolios pp. 81-98

Jamil Baz, Josh Davis, Steve Sapra, Normane Gillmann and Jerry Tsai

An Empirical Evaluation of Tax-Loss-Harvesting Alpha pp. 99-108

Shomesh E. Chaudhuri, Terence C. Burnham and Andrew W. Lo

A New Framework for Analyzing Market Share Dynamics among Fund Families pp. 110-133

Jan Jaap Hazenberg

Decentralized Efficiency? Arbitrage in Bitcoin Markets pp. 135-152

Sinan Krückeberg and Peter Scholz

Volume 76, issue 2, 2020

The Efficient Market Hypothesis, the Financial Analysts Journal, and the Professional Status of Investment Management pp. 5-14

Stephen J. Brown

The Big Market Delusion: Valuation and Investment Implications pp. 15-25

Bradford Cornell and Aswath Damodaran

Public Sentiment and the Price of Corporate Sustainability pp. 26-46

George Serafeim

When Managers Change Their Tone, Analysts and Investors Change Their Tune pp. 47-69

Marina Druz, Ivan Petzev, Alexander Wagner and Richard Zeckhauser

The Equity Differential Factor in Currency Markets pp. 70-81

David Turkington and Alireza Yazdani

Looking under the Hood of Active Credit Managers pp. 82-102

Diogo Palhares and Scott Richardson

“In Defense of Portfolio Optimization: What If We Can Forecast?”: A Comment pp. 104-105

Richard O. Michaud, David N. Esch and Robert O. Michaud

“In Defense of Portfolio Optimization: What If We Can Forecast?”: Author Response pp. 106-107

David Allen, Colin Lizieri and Stephen Satchell

Volume 76, issue 1, 2020

Correction pp. 4-4

The Editors

2019 Report to Readers pp. 6-8

Heidi Raubenheimer

The Dynamics of ETF Fees pp. 11-18

Travis Box, Ryan Davis and Kathleen Fuller

Change Is a Good Thing pp. 20-37

David M. Blanchett, CFA, Michael S. Finke and James A. Licato

The Tax Benefits of Separating Alpha from Beta pp. 38-61

Joseph Liberman, Clemens Sialm, Nathan Sosner and Lixin Wang

Net Share Issuance and Asset Growth Effects: The Role of Managerial Incentives pp. 63-81

Shingo Goto, Zhao Wang and Shu Yan

Option Investor Rationality Revisited: The Role of Exercise Boundary Violations pp. 82-99

Robert Battalio, Stephen Figlewski and Robert Neal

Volume 75, issue 4, 2019

Our Thanks to Reviewers pp. 5-6

The Editors

Challenging the Conventional Wisdom on Active Management: A Review of the Past 20 Years of Academic Literature on Actively Managed Mutual Funds pp. 8-35

K.J. Martijn Cremers, Jon A. Fulkerson and Timothy B. Riley

The Near-Term Forward Yield Spread as a Leading Indicator: A Less Distorted Mirror pp. 37-49

Eric C. Engstrom and Steven Sharpe

Carry Investing on the Yield Curve pp. 51-63

Martin Martens, Paul Beekhuizen, Johan Duyvesteyn and Casper Zomerdijk

Optimal Currency Hedging for International Equity Portfolios pp. 65-83

Jacob Boudoukh, Matthew Richardson, Ashwin Thapar and Franklin Wang

Optimal Timing and Tilting of Equity Factors pp. 84-102

Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother and Patrick Vosskamp

Corporate Governance, ESG, and Stock Returns around the World pp. 103-123

Mozaffar Khan

Do Investors Consider Nonfinancial Risks When Building Portfolios? pp. 124-142

David M. Blanchett and Michael Guillemette

Volume 75, issue 3, 2019

Correction pp. 4-

The Editors

Are Passive Funds Really Superior Investments? An Investor Perspective pp. 7-19

Edwin J. Elton, Martin J. Gruber and Andre de Souza

In Defense of Portfolio Optimization: What If We Can Forecast? pp. 20-38

David Allen, Colin Lizieri and Stephen Satchell

Choosing and Using Utility Functions in Forming Portfolios pp. 39-69

Geoffrey J. Warren

Machine Learning for Stock Selection pp. 70-88

Keywan Christian Rasekhschaffe and Robert C. Jones

The Impact of Crowding in Alternative Risk Premia Investing pp. 89-104

Nick Baltas

Financial Statement Anomalies in the Bond Market pp. 105-124

Steven S. Crawford, Pietro Perotti, Richard A. Price and Christopher J. Skousen

Brokers or Investment Advisers? The US Public Perception pp. 125-131

Patrick A. Lach, Leisa Reinecke Flynn and G. Wayne Kelly

Volume 75, issue 2, 2019

2018 Report to Readers pp. 5-7

Heidi Raubenheimer

Our Thanks to Reviewers pp. 8-9

The Editors

In Memoriam: John C. Bogle pp. 11-13

Stephen J. Brown

Crypto Assets Require Better Regulation: Statement of the Financial Economists Roundtable on Crypto Assets pp. 14-19

Franklin R. Edwards, Kathleen Hanley, Robert Litan and Roman L. Weil

Spending Policy Customization for Institutional Preferences pp. 20-33

James Yaworski

The Revenge of the Stock Pickers pp. 34-43

Hailey Lynch, Sébastien Page, Robert A. Panariello, James A. Tzitzouris and David Giroux

What Is Quality? pp. 44-61

Jason Hsu, Vitali Kalesnik and Engin Kose

Transaction Costs of Factor-Investing Strategies pp. 62-78

Feifei Li, Tzee-Man Chow, Alex Pickard and Yadwinder Garg

Tax-Managed Factor Strategies pp. 79-90

Lisa R. Goldberg, Pete Hand and Taotao Cai

Trusting Clients’ Financial Risk Tolerance Survey Scores pp. 91-104

Neil Hartnett, Paul Gerrans and Robert Faff

Volume 75, issue 1, 2019

Correction pp. 2-3

The Editors

Can (Financial) Ignorance Be Bliss? pp. 8-15

Arun Muralidhar

Long-Horizon Predictability: A Cautionary Tale pp. 17-30

Jacob Boudoukh, Ronen Israel and Matthew Richardson

Missing the Mark: Mortgage Valuation Accuracy and Credit Modeling pp. 32-47

Alexander N. Bogin, William Doerner and William Larson

The Returns to Private Debt: Primary Issuances vs. Secondary Acquisitions pp. 48-62

Douglas Cumming, Grant Fleming and Zhangxin (Frank) Liu

Trends’ Signal Strength and the Performance of CTAs pp. 64-83

Gert Elaut and Péter Erdős

Comparing Cost-Mitigation Techniques pp. 85-102

Robert Novy-Marx and Mihail Velikov