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Citigroup »¨Æ죺ȫÇò½ðÈÚѧÊõÑо¿ÎÄÕªÔ±¨ 09.25

25 September 2007 ª¥ 20 pages

Academic Research Digest A New Monthly Report

161339.pdf (142.25 KB, ÐèÒª: 4 ¸öÂÛ̳±Ò)

2007-10-5 16:54:00 ÉÏ´«

»¨Æ죺ȫÇò½ðÈÚѧÊõÑо¿ÎÄÕªÔ±¨ 20Ò³
ÐèÒª: 4 ¸öÂÛ̳±Ò  [¹ºÂò]

 Report ¡ª This new monthly report is designed to help portfolio managers to focus
on some of the most recent academic research.
 Paper Selection ¡ª Papers are chosen on the basis of relevance, timing, and
academic rigor.
 Five Working Papers ¡ª Focusing on just five recent working papers we attempt to
summarise their key points and investment implications and cover most areas in
the equity investment process.
 Stock Selection ¡ª Using financial statement information to pick winners and
losers among Hold-rated stocks.
 Factor Selection ¡ª The importance of sentiment in style selection.
 Industry Rotation ¡ª Evaluating the performance of sector rotation over business
cycles.
 Portfolio Construction ¡ª Long/short extensions: how much is enough?
 Performance Attribution ¡ª Where do alphas come from? A new measure of the
value of active investment management

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