More than three decades ago, Jacobs and Levy introduced in the Financial Analysts Journal the idea of disentangling returns across numerous factors via cross-sectional analysis, and examined the benefits of using the time-series of returns to disentangled factors for return forecasting. The...

Investors considering the new enhanced active equity strategies such as 120–20 or 130–30 often ask how these strategies differ from equitized long-short strategies (market-neutral long-short with an equity overlay). Examination of the relation between enhanced active equity and equitized...

Stock market phenomena such as the January and low price/earnings ratio effects entice investors with prospects of extraordinary returns. Most previous stock market anomaly research has focused on one or two return regularities at a time. Multivariate regression, however, can provide a unified...

There is overwhelming evidence that abnormal equity returns are associated with the turn of the year, the week and the month, as well as with holidays and the time of day. These returns are not unique to one historical period, nor can they be explained by considerations of risk or value.Tax-loss...