Diversification has its obvious benefits but its pursuit can involve a trade-off between risk-controls and returns. We investigate this trade-off by examining the relative performance of diversified versus concentrated portfolios both formed on the basis of the same stock preferences. Using US...

One of several important strategic decisions that have to be made by an active funds management organization is how aggressively it implements its investment process. In this paper we model this decision on the assumption that the organization’s objective is to maximise the present value of...

This paper presents a Bayesian technique for the estimation of a logistic regression model including variable selection. The model is used, as in Ou and Penman (1989), to predict the direction of company earnings, one year ahead of time, from a large set of accounting variables from financial...

Modern day equity markets are populated by investors pursuing a number of investment styles. In this paper we simulate the behaviour of investors pursuing various types of these styles in order to examine whether their interaction is a major contributing factor to inefficiencies within markets...

One of the necessary features of markets to produce efficient pricing is competition between information-based investors who quickly impound new information into price. However, a signifficant proportion of funds invested in today's equity markets are in the hands of managers who pursue a style...

Academic and professional attention has been devoted in the past to the analysis of the potential value-enhancement generated by strategies based on macroeconomic models and applied to portfolios or indexes of style classes. In this paper, we analyse the extent of the excess returns that can be...

The duo IPO anomalies of underpricing and long run underperformance have inspired a plethora of studies. Yet few have examined the impact of majority investors in IPOs, namely institutional investors. Consistent with previous studies, we found large underpricing which was greatest in those...

It has long been accepted in finance that risk plays an important role in determining valuation where risk reflects that investors are unsure as to the exact value of future returns but are able to express their prior expectations by way of a probability distribution of these returns. Knights...

This paper is the first to conduct an event study on the market response to exploration, resource and reserve announcements made by mining firms. Results from an event study using a matched firm approach that suggest that markets react positively to both the exploration and the resource...