OOIR: Observatory of International Research

Papers

(The TQCC of Journal of Portfolio Management is 2. The table below lists those papers that are above that threshold based on CrossRef citation counts [max. 250 papers]. The publications cover those that have been published in the past four years, i.e., from 2020-11-01 to 2024-11-01.)

Article	Citations
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting	38
Tokenization—The Future of Real Estate Investment?	29
Optimal Strategies for ESG Portfolios	29
Is (Systematic) Value Investing Dead?	22
The Best Strategies for Inflationary Times	21
Mean–Variance Optimization for Asset Allocation	19
The Unreasonable Attractiveness of More ESG Data	19
Get Green or Die Trying? Carbon Risk Integration into Portfolio Management	17
Resurrecting the Value Premium	16
Financial Anomalies in Portfolio Construction and Management	15
Risk Parity: The Democratization of Risk in Asset Allocation	14
Climate Risk and Real Estate Prices: What Do We Know?	14
Currency Conversion of Fama–French Factors: How and Why	14
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	13
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization	11
Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis	10
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio	10
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks	9
The Quantitative Approach for Sustainable Investing	9
Systematic ESG Risk and Passive ESG Investing	9
Systematic ESG Risk and Decision Criteria for Optimal Portfolio Selection	9
Sustainable Investing and Climate Transition Risk: A Portfolio Rebalancing Approach	8
Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management	8
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	8
Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing	8

An Overview of Machine Learning for Asset Management	8
Settling the Size Matter	8
Asset Allocation and Private Market Investing	7
Private Equity Real Estate Fund Performance: A Comparison to REITs and Open-End Core Funds	7
Private Equity Performance and the Effects of Cash-Flow Timing	7
A Survey of Institutional Investors’ Investment and Management Decisions on Illiquid Assets	7
Three Decades of Global Institutional Investment in Commercial Real Estate	7
The Myth of Diversification Reconsidered	7
The Norway Model in Perspective	6
The Stock-Bond Correlation	6
Deep Value	6
The Quant Crisis of 2018–2020: Cornered by Big Growth	6
Factor Investing with Black–Litterman–Bayes: Incorporating Factor Views and Priors in Portfolio Construction	5
Failure of the Endowment Model	5
Carbon Risk Factor Framework	5
Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective	5
The Role of Factors in Asset Allocation	5
Firm-Level Cybersecurity Risk and Idiosyncratic Volatility	5
Quantifying Long-Term Market Impact	5
A Changing Stock–Bond Correlation: Drivers and Implications	4
A Market Microstructure View of the Informational Efficiency of Security Prices	4
Sharpe Parity Redux	4
Novel Risks: A Research and Policy Overview	4
Volatility Targeting: It’s Complicated!	4
The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive?	4
Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams	4
Portfolio Tilts Using Views on Macroeconomic Regimes	4
Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations	4
The Canadian Pension Fund Model: A Quantitative Portrait	4
Strategic Asset Allocation for Endowment Funds	4
Valuing a Lost Opportunity: An Alternative Perspective on the Illiquidity Discount	4
From ELIZA to ChatGPT: The Evolution of Natural Language Processing and Financial Applications	4
Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?	4
Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis	4
An Investor’s Guide to Crypto	4
Cross-Asset Skew	4
Asleep at the Wheel? The Risk of Sudden Price Adjustments for Climate Risk	4
The European ETF Market: Growth, Trends, and Impact on Underlying Instruments	4
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	4
Should Equity Factors Be Betting on Industries?	3
Navigating Insolvency Risks in Emerging Markets	3
Volatility-Dependent Skewness Preference	3
Assessing Climate Change Impact on Sovereign Bonds	3
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes	3
The Canadian Pension Model: Past, Present, and Future	3
Managing Portfolio Volatility	3
Demystifying Index Rebalancing: An Analysis of the Costs of Liquidity Provision	3
Modelling the Shiller CAPE Ratio, Mean Reversion, and Return Forecasts	3
The AI Revolution: From Linear Regression to ChatGPT and beyond and How It All Connects to Finance	3
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns	3

Macro Factor Investing with Style	3
The Quant Cycle	3
Putting Credit Factor Investing into Practice	3
Emerging Markets Debt Securities: A Literature Review	3
The Interconnectedness between Green Finance Indexes and Other Important Financial Variables	3
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	3
Turning Tail Risks into Tailwinds	3
Drawdown Measures: Are They All the Same?	3
Type I and Type II Errors of the Sharpe Ratio under Multiple Testing	3
Trends and Cycles of Style Factors in the 20th and 21st Centuries	3
Don’t Give Up the Ship: The Future of the Endowment Model	3
Corporate Bonds and Climate Change Risk	3
Fact, Fiction, and Factor Investing	3
Recent Trends and Perspectives on the Korean Asset Management Industry	3
Macro Factor Model: Application to Liquid Private Portfolios	3
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	3
Robustness in Portfolio Optimization	3
Active Factor Completion Strategies	3
American Exceptionalism: The Long-Term Evidence	3
Factor Zoo (.zip)	3
Carbon-Tax-Adjusted Value	3
The Future of Factor Investing	3
Portfolio Upside and Downside Risk—Both Matter!	3
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	2
Robust Statistics for Portfolio Construction and Analysis	2
Editor’s Introduction for 2021 Special Issue on Factor Investing	2
Public and Private Equity Returns: Different or Same?	2
Long-Term Investing and the Frequency of Investment Decisions	2
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions	2
Portfolio Protection? It’s a Long (Term) Story…	2
Climate Change and Asset Allocation: A Distinction That Makes a Difference	2
Momentum Information Propagation through Global Supply Chain Networks	2
Bridging the Gap between Strategic Allocation and Investment Risk	2
Forecasting Long-Horizon Volatility for Strategic Asset Allocation	2
International Diversification—Still Not Crazy after All These Years	2
Endogenous Dynamics of Intraday Liquidity	2
Optimal Allocation to Time-Series and Cross-Sectional Momentum	2
Momentum and Downside Risk in Emerging Markets	2
Information Ratio = Selection × Breadth + Sizing	2
Factor Construction Zoo: Are Factor Exposures Created Equal?	2
Value and Interest Rates: Are Rates to Blame for Value’s Torments?	2
Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds	2
Social Networks, Trading, and Liquidity	2
Investment Management Post Pandemic, Post Global Warming, Post Resource Depletion	2
Dynamic Asset Allocation Using Machine Learning: Seeing the Forest for the Trees	2
Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation	2
Editors’ Introduction to the Special Issue on Investment Models	2
How Can Machine Learning Advance Quantitative Asset Management?	2
Calculating Outperformance in Dollars: Introducing the Excess Value Method	2
New Perspective on Investment Models	2
Is Incorporating ESG Considerations Costly?	2
Who Gains from Place-Based Tax Incentives? Exploring Apartment Sales Prices in Qualified Opportunity Zones	2
The Central Paradox of Active Management: Maximizing the Information Ratio Is Counterproductive	2