Financial Analysts Journal

1996 - 2025

Current editor(s): Maryann Dupes

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Volume 73, issue 4, 2017

Help Us Embrace Sustainability by Forgoing Print pp. 6-7

Gary Baker

Letter to the Editor pp. 8-8

The Editors

Systematic Investment Strategies pp. 10-14

Daniel Giamouridis

An Interview with Nobel Laureate Harry M. Markowitz pp. 16-21

Mark Kritzman and Harry Markowitz

Time to Change Your Investment Model pp. 23-33

Feng Gu and Baruch Lev

Estimating Time-Varying Factor Exposures (Corrected October 2017) pp. 41-54

Andrew Ang, Ananth Madhavan and Aleksander Sobczyk

Global Equity Country Allocation: An Application of Factor Investing pp. 55-73

Timotheos Angelidis and Nikolaos Tessaromatis

Optimal Tilts: Combining Persistent Characteristic Portfolios pp. 75-89

Malcolm Baker, Ryan Taliaferro and Terence Burnham

Reducing Sequence Risk Using Trend Following and the CAPE Ratio pp. 91-103

Andrew Clare, James Seaton, Peter Smith and Stephen Thomas

Volume 73, issue 3, 2017

In Memoriam: Stephen A. Ross pp. 5-7

Stephen J. Brown

Funding Ratio Peaks and Stalls pp. 8-20

Martin L. Leibowitz, Stanley Kogelman and Anthony Bova

The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy pp. 32-52

Philip U. Straehl and Roger G. Ibbotson

Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance? pp. 53-66

Marie Brière, Jonathan Peillex and Loredana Ureche-Rangau

News vs. Sentiment: Predicting Stock Returns from News Stories pp. 67-83

Steven L. Heston and Nitish Ranjan Sinha

Stick to the Fundamentals and Discover Your Peers pp. 85-105

Jens Overgaard Knudsen, Simon Kold and Thomas Plenborg

History Is Repeating Itself: Get Ready for a Long Dry Spell pp. 106-130

Ramzi Ben-Abdallah and Michèle Breton

Errata pp. 12048383

The Editors

Volume 73, issue 2, 2017

2016 Report to Readers pp. 6-10

Stephen J. Brown and Barbara S. Petitt

Our Thanks to Reviewers pp. 12-12

The Editors

Balancing Professional Values and Business Values pp. 14-23

John C. Bogle

How Do Investors Compute the Discount Rate? They Use the CAPM (Corrected June 2017) pp. 25-32

Jonathan B. Berk and Jules H. van Binsbergen

Accounting’s Tower of Babel: Key Considerations in Assessing Non-GAAP Earnings pp. 34-50

Jack T. Ciesielski and Elaine Henry

Active Share and the Three Pillars of Active Management: Skill, Conviction, and Opportunity pp. 61-79

Martijn Cremers

Facts about Formulaic Value Investing pp. 81-99

U-Wen Kok, Jason Ribando and Richard Sloan

Factor Investing in the Corporate Bond Market pp. 100-115

Patrick Houweling and Jeroen van Zundert

Mononationals: The Diversification Benefits of Investing in Companies with No Foreign Sales pp. 116-132

Cormac Mullen and Jenny Berrill

Errata pp. 12048374

The Editors

Volume 73, issue 1, 2017

From the Editor pp. 5-9

Barbara S. Petitt

“In Memoriam: Jack Treynor”: A Comment pp. 12-12

The Editors

Inefficiencies in the Pricing of Exchange-Traded Funds pp. 24-54

Antti Petajisto

Global Equity Fund Performance: An Attribution Approach pp. 56-71

David Gallagher, Graham Harman, Camille H. Schmidt and Geoffrey J. Warren

Are Cash Flows Better Stock Return Predictors Than Profits? pp. 73-99

Stephen Foerster, John Tsagarelis and Grant Wang

Fundamental Indexing in Global Bond Markets: The Risk Exposure Explains It All pp. 101-120

Lidia Bolla

When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds pp. 121-144

Michael Melvin and Duncan Shand

Volume 72, issue 6, 2016

Why Hedge Funds? pp. 5-7

Stephen J. Brown

Fundamentals of Efficient Factor Investing (corrected May 2017) pp. 9-26

Roger Clarke, Harindra de Silva and Steven Thorley

What Difference Do Dividends Make? pp. 28-40

C. Mitchell Conover, Gerald R. Jensen and Marc W. Simpson

Option-Implied Equity Risk and the Cross Section of Stock Returns pp. 42-55

Te-Feng Chen, San-Lin Chung and Wei-Che Tsai

Betting against Beta with Bonds: Worry or Love the Steepener? pp. 57-85

J. Benson Durham

Volume 72, issue 5, 2016

“Conquering Misperceptions about Commodity Futures Investing”: A Comment pp. 5-5

Bob Greer

“Conquering Misperceptions about Commodity Futures Investing”: Author Response pp. 5-6

Claude B. Erb and Campbell Harvey

The Evolution and Success of Index Strategies in ETFs pp. 8-13

Joanne M. Hill

The (Time-Varying) Importance of Disaster Risk pp. 14-30

Ivo Welch

Two Centuries of Price-Return Momentum pp. 32-56

Christopher C. Geczy and Mikhail Samonov

Will Your Factor Deliver? An Examination of Factor Robustness and Implementation Costs pp. 58-82

Noah Beck, Jason Hsu, Vitali Kalesnik and Helge Kostka

Information in the Tails of the Distribution of Analysts’ Quarterly Earnings Forecasts pp. 84-99

Cameron Truong, Philip B. Shane and Qiuhong Zhao

Volume 72, issue 4, 2016

In Memoriam: Jack Treynor pp. 5-6

Stephen J. Brown

Long-Term Investing pp. 7-10

Jack L. Treynor

Author Response to “Deactivating Active Share” pp. 11-12

Antti Petajisto

Statement of the Financial Economists Roundtable: Crowdfunding pp. 14-16

Jennifer Conrad, Jonathan Karpoff, Craig Lewis and Jay Ritter

Q Group Panel Discussion: Looking to the Future pp. 17-25

Martin Leibowitz, Andrew W. Lo, Robert Merton, Stephen Ross and Jeremy Siegel

Conquering Misperceptions about Commodity Futures Investing pp. 26-35

Claude B. Erb and Campbell Harvey

A Bottom-Up Approach to the Risk-Adjusted Performance of the Buyout Fund Market pp. 36-48

Jean-François L’Her, Rossitsa Stoyanova, Kathryn Shaw, William Scott and Charissa Lai

The Effect of Management Design on the Portfolio Concentration and Performance of Mutual Funds pp. 49-61

Eitan Goldman, Zhenzhen Sun and Xiyu (Thomas) Zhou

Interconnectedness in the CDS Market pp. 62-82

Mila Getmansky, Giulio Girardi and Craig Lewis

Volume 72, issue 3, 2016

2015 Report to Readers pp. 5-6

Stephen J. Brown and Barbara S. Petitt

Climate Risk pp. 9-10

Stephen J. Brown

Hedging Climate Risk pp. 13-32

Mats Andersson, Patrick Bolton and Frédéric Samama

Weathered for Climate Risk: A Bond Investment Proposition pp. 34-39

Marielle de Jong and Anne Nguyen

The Shiller CAPE Ratio: A New Look pp. 41-50

Jeremy J. Siegel

Which Trend Is Your Friend? pp. 51-66

Ari Levine and Lasse Heje Pedersen

Neither “Normal” nor “Lognormal”: Modeling Interest Rates across All Regimes pp. 68-82

Attilio Meucci and Angela Loregian

Volume 72, issue 2, 2016

Editor’s Corner pp. 5-6

Barbara S. Petitt

It’s Time to Retire Ruin (Probabilities) pp. 8-12

Moshe Milevsky

Deactivating Active Share pp. 14-21

Andrea Frazzini, Jacques Friedman and Lukasz Pomorski

Most People Need Longevity Insurance rather than an Immediate Annuity pp. 23-29

Don Ezra

Fees Eat Diversification’s Lunch pp. 31-40

William W. Jennings and Brian C. Payne

An Investigation of Administrative Fees in Defined Contribution Plans pp. 41-51

Thomas W. Doellman and Sabuhi H. Sardarli

The Impact of Constraints on Minimum-Variance Portfolios pp. 52-70

Tzee-Man Chow, Engin Kose and Feifei Li

Volume 72, issue 1, 2016

Errata pp. 4-41

The Editors

From the Editor pp. 5-6

Stephen J. Brown

From the Editor pp. 8-8

Barbara S. Petitt

The Index Mutual Fund: 40 Years of Growth, Change, and Challenge pp. 9-13

John C. Bogle

The Asset Manager’s Dilemma: How Smart Beta Is Disrupting the Investment Management Industry pp. 15-20

Ronald N. Kahn and Michael Lemmon

The Misrepresentation of Earnings pp. 22-35

Ilia Dichev, John Graham, Campbell Harvey and Shiva Rajgopal

The Low-Volatility Anomaly: Market Evidence on Systematic Risk vs. Mispricing pp. 36-47

Xi Li, Rodney N. Sullivan and Luis Garcia-Feijoo

Tax-Efficient Trading of Municipal Bonds pp. 48-57

Andrew Kalotay