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 2020-04-01 to 2024-04-01.)

Article	Citations
Divergent ESG Ratings	158
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting	32
Optimal Strategies for ESG Portfolios	21
Tokenization—The Future of Real Estate Investment?	20
Is (Systematic) Value Investing Dead?	18
Resurrecting the Value Premium	15
The Unreasonable Attractiveness of More ESG Data	15
Get Green or Die Trying? Carbon Risk Integration into Portfolio Management	14
Currency Conversion of Fama–French Factors: How and Why	13
Mean–Variance Optimization for Asset Allocation	13
ESG in Global Corporate Bonds: The Analysis Behind the Hype	13
The Best Strategies for Inflationary Times	13
Risk Parity: The Democratization of Risk in Asset Allocation	10
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	10
Financial Anomalies in Portfolio Construction and Management	10
Climate Risk and Real Estate Prices: What Do We Know?	10
The Quantitative Approach for Sustainable Investing	9
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?	9
Socially Responsible Investing Strategies under Pressure: Evidence from the COVID-19 Crisis	9
Measuring and Managing ESG Risks in Sovereign Bond Portfolios and Implications for Sovereign Debt Investing	8
Downside Volatility-Managed Portfolios	8
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization	7
Selecting Computational Models for Asset Management: Financial Econometrics versus Machine Learning—Is There a Conflict?	7
Three Decades of Global Institutional Investment in Commercial Real Estate	7
Settling the Size Matter	7

Systematic ESG Risk and Decision Criteria for Optimal Portfolio Selection	7
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio	7
Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management	7
Deep Value	6
The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead of Short-Term Bills	6
Asset Allocation and Private Market Investing	6
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks	6
Private Equity Real Estate Fund Performance: A Comparison to REITs and Open-End Core Funds	6
A Survey of Institutional Investors’ Investment and Management Decisions on Illiquid Assets	6
The Stock-Bond Correlation	6
Factor Investing with Black–Litterman–Bayes: Incorporating Factor Views and Priors in Portfolio Construction	5
Quantifying Long-Term Market Impact	5
The Myth of Diversification Reconsidered	5
An Overview of Machine Learning for Asset Management	5
The Quant Crisis of 2018–2020: Cornered by Big Growth	5
Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?	4
Turning Tail Risks into Tailwinds	4
INTRODUCTION: Quantitative Strategies: Multi-Asset	4
The Canadian Pension Fund Model: A Quantitative Portrait	4
Market Liquidity: An Elusive Variable	4
A Changing Stock–Bond Correlation: Drivers and Implications	4
Better Betas	4
Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis	4
An Investor’s Guide to Crypto	4
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	4
The Role of Factors in Asset Allocation	4
The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive?	4
Systematic ESG Risk and Passive ESG Investing	4
Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective	4
Private Equity Performance and the Effects of Cash-Flow Timing	4
Sustainable Investing and Climate Transition Risk: A Portfolio Rebalancing Approach	4
Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets	4
The European ETF Market: Growth, Trends, and Impact on Underlying Instruments	4
Sharpe Parity Redux	3
Stock Characteristics and Stock Returns: A Skeptic’s Look at the Cross Section of Expected Returns	3
Volatility Targeting: It’s Complicated!	3
From ELIZA to ChatGPT: The Evolution of Natural Language Processing and Financial Applications	3
Macro Factor Model: Application to Liquid Private Portfolios	3
The Canadian Pension Model: Past, Present, and Future	3
Active Sector Funds and Fund Manager Skill	3
The Norway Model in Perspective	3
Addition by Subtraction: A Better Way to Forecast Factor Returns (and Everything Else)	3
The Future of Factor Investing	3
Should Equity Factors Be Betting on Industries?	3
Strategic Asset Allocation for Endowment Funds	3
Assessing Climate Change Impact on Sovereign Bonds	3
Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams	3
Trends and Cycles of Style Factors in the 20th and 21st Centuries	3
Monetization Matters: Active Tail Risk Management and the Great Virus Crisis	3
Active Factor Completion Strategies	3

Cross-Asset Skew	3
Macro Factor Investing with Style	3
Portfolio Upside and Downside Risk—Both Matter!	3
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	3
Failure of the Endowment Model	3
A Market Microstructure View of the Informational Efficiency of Security Prices	3
Emerging Markets Debt Securities: A Literature Review	3
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	3
Corporate Bond Trading: Finding the Customers’ Yachts	2
Modelling the Shiller CAPE Ratio, Mean Reversion, and Return Forecasts	2
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions	2
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns	2
New Perspective on Investment Models	2
Is Incorporating ESG Considerations Costly?	2
Momentum Information Propagation through Global Supply Chain Networks	2
Recent Trends and Perspectives on the Korean Asset Management Industry	2
The Interconnectedness between Green Finance Indexes and Other Important Financial Variables	2
Carbon-Tax-Adjusted Value	2
Method in the Madness: Bubbles, Trading, and Incentives	2
International Diversification—Still Not Crazy after All These Years	2
Editor’s Introduction for 2021 Special Issue on Factor Investing	2
Public and Private Equity Returns: Different or Same?	2
Momentum and Downside Risk in Emerging Markets	2
Don’t Give Up the Ship: The Future of the Endowment Model	2
Asleep at the Wheel? The Risk of Sudden Price Adjustments for Climate Risk	2
Portfolio Construction Matters	2
Corporate Bonds and Climate Change Risk	2
Who Gains from Place-Based Tax Incentives? Exploring Apartment Sales Prices in Qualified Opportunity Zones	2
Performance Evaluation, Factor Models, and Portfolio Strategies: Evidence from Chinese Mutual Funds	2
Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations	2
Type I and Type II Errors of the Sharpe Ratio under Multiple Testing	2
Volatility-Dependent Skewness Preference	2
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes	2
Editors’ Introduction to the Special Issue on Investment Models	2
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	2
Calculating Outperformance in Dollars: Introducing the Excess Value Method	2
Managing Portfolio Volatility	2
The Quant Cycle	2
Carbon Risk Factor Framework	2
PERSPECTIVES: The New Normal 2.0	2
Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds	2
Investment Management Post Pandemic, Post Global Warming, Post Resource Depletion	2
Demystifying Index Rebalancing: An Analysis of the Costs of Liquidity Provision	2
Endogenous Dynamics of Intraday Liquidity	2
Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation	2