The focus of this study is the effect that portfolio composition has on the tracking performance of indexed portfolios. Indexed portfolios from high-capitalization indices are shown to have a lower tracking error and standard deviation of tracking error than indexed portfolios from...

In this paper, we review the mean-variance portfolio theory literature that supports short selling as an active portfolio management tool and the empirical literature that provides evidence of active short sellers having superior information about overpriced securities. What may not be clear is...

The focus of this research is on enhancing the returns of socially responsible investment (SRI) portfolios by constructing minimum variance small-basket portfolios. The results suggest that individual investors and professional financial planners on behalf of their clients can realize enhanced...

Recent theoretical work suggests that definitions of market efficiency that allow for the possibility of time-varying risk-premia will generally lead to return sign predictability. Consistent with this theory, we show that a logit model based on the lagged value of the market risk premium is...