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Overview

ARX receives up to 100 new submissions each month: academic papers, industry research, white papers, market analysis and others. Here is a curated selection of new and noteworthy posts from our institutional and individual contributors.

To browse or search ARX's repository of more than 3000 posts, select "Research" in the upper left-hand corner of the page.


Tomorrow Never Dies: Bond. Renewable Bond

A study of the historical performance and characteristics of a basket of sovereign bonds weighted according to their issuing country’s renewable energy generation capacity shows that such strategy outperforms a market-weighted bond portfolio.

4 November 2019 | Solactive AG

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The Future of Asset Management in China

The FleishmanHillard report examines investors' attitudes and behavior in China and offers an analysis of the liberation trends of the asset management industry.

1 November 2019 | Patrick Yu, Paolo Danese

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Transforming an Advisor Practice from Mutual Funds to ETFs Using Factors

Sam G. Huszczo, CFP, CFA, owner of SGH Wealth Management, talks about transitioning his practice from using mutual funds to using ETFs and employing them in factor investing strategies. 

29 October 2019 | S&P Dow Jones Indices | Video: 5 min.

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Industry Classification Benchmark (ICB) Reclassification: Expanded and Improved

The ICB is a globally recognized standard for categorizing companies and securities, operated and managed by FTSE Russell. It has been updated to reflect the evolution of the global economy and to address the needs of today’s investment professionals.

28 October 2019 | FTSE Russell

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Appraising Home Bias Exposure in Pension Funds: A Regional Review of the US, Japan, Canada, the UK, and Australia

Studies have shown that pension funds have inherent biases to their domestic markets within their equity allocations. In this paper, we examine the extent of the home biases in five pension fund markets and analyze their effects over a 12-year period.

28 October 2019 | FTSE Russell

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Practitioner's Brief: Drilling into Corporate Responsibility - Thai Researcher Finds Measurable Impact of Social Engagement

In the paper “Synergistic effects of CSR practices on firm value: Evidence from Asia Pacific emerging markets ”, Boonlert Jitmaneeroj, assistant professor of finance, University of the Thai Chamber of Commerce, introduces a structural equation modeling approach to investigate if corporate social responsibility (CSR) correlates with value creation. This new approach does not settle the debate, but it leads to some noteworthy findings. In particular, it sheds new light on the “S” in ESG.

21 October 2019 | Rich Blake

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Practitioner's Brief: A Digital Currency Valuation Framework is Born

Although many have dismissed Bitcoin as not having any intrinsic value, analysts and portfolio managers pioneering digital currency trading continue to wrestle with the task of assigning a fair market value to crypto-assets. In the paper “Tokenomics: Dynamic Adoption and Valuation,” Lin William Cong, Ye Li, and Neng Wang have taken a broad leap for the financial industry by providing the first dynamic asset-pricing model of digital coins on blockchain-based platforms.

21 October 2019 | Rich Blake

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What Goes Down Must Come Up: Investigating Companies with Negative Book Value

In this paper, we attempted to study the historical performance of US companies with negative book value relative to the broader US equities, as well as to identify the factors that drive the performance of companies with negative book value.

17 July 2019 | Solactive AG

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Corporate Non-Financial (ESG) Incident Report 2018: Top 200 Korean Listed Companies

An overview of ESG incidents among Korea’s top 200 listed companies in 2018, based on Who's Good ESG Incident Analysis, a real-time AI-based corporate ESG risk analysis platform, which analyses incidents reported in news.

22 October 2019 | Who's Good, PBC

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China Icebergs: Forces That Could Reshape the World

This report by Economist Intelligence Unit, sponsored by PineBridge Investments, examines hidden strengths in the Chinese economy—“icebergs”—that existing and potential investors into the world’s second-largest economy should be watching.

2 October 2019 | PineBridge Investments

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Comparing China Green Definitions with the EU Sustainable Finance Taxonomy

This briefing provides a preliminary analysis on China's Green Bond Endorsed Project Catalogue, the Green Industry Guiding Catalogue and the EU Sustainable Finance Taxonomy in terms of their guiding principles, users, classification and screening.

10 September 2019 | Climate Bonds Initiative

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Investing in Listed Real Estate: Practical Considerations

Real estate is a popular asset class. One of the ways to get exposure to it is via listed real estate companies. In this report we are looking at practical considerations of investing in listed real estate.

10 October 2019 | FTSE Russell

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Indexing GARP Strategies: A Practitioner’s Guide

Growth at a Reasonable Price (GARP) is a strategy that balances pure growth and pure value, favoring companies with consistent earnings and sales growth, reasonable valuation, and solid financial strength, combined with strong profitability.

13 September 2019 | Wenli Bill Hao, Aye M. Soe, CFA, S&P Dow Jones Indices

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Diversifier, Hedge & Safe Heaven Properties of Cryptocurrencies: The Case Against Asian Fiat Currencies

The hedging property of Bitcoin is limited but reasonably strong for Stellar, Monero and Ripple. Safe haven is a common property among tested cryptocurrencies.

This paper has been submitted to the 2019 “Finance, Property, Technology and Economy Conference” at University of South Australia.

3 October 2019 | Ruzita Abdul-Rahim, Ling Pick Soon

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Integrating ESG Values into Core around the World: The S&P 500 ESG Index and Beyond

The S&P ESG Indices are designed for investors wishing to integrate ESG factors into their core investments, while not straying far from the overall profile of the corresponding benchmark.

5 August 2019 | Reid Steadman, Daniel Perrone, S&P Dow Jones Indices

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Understanding the Investment Fundamentals of the Semiconductor Sector

The semiconductor value chain comprises six stages: research and development, design, manufacturing, assembly, testing and packing, and distribution. This R&D and supply chain spans continents, as it is impossible for one country to house all six stages in a single location and excel at every stage. In addition to the complexity and geographic spread, the industry is also far from static. 

2 October 2019 | Alan Lok, CFA; Eunice Chu, ACCA; Guruprasad Jambunathan, FRM

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For more articles in the series "Understanding Investment Fundamentals", visit the Sector Analysis page.


An Old Merger Arbitrage Technique Ripe for Takeover: Practitioner's Brief

In this Practitioner’s Brief, veteran financial journalist Rich Blake explores so-called toehold variables in the Australian mergers and acquisitions market.

2 October 2019 | Rich Blake

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Time Horizons and Diversification Benefits of Japanese REITs

We assess the diversification potential of REITs for investors in stock market and real estate. We derive the correlations between J-REITs, direct real estate assets, and stocks, as well as their volatilities, using a model that accounts both for the long-run relationship between these assets and their short-term dynamics. 

This paper has been submitted to the 2019 “Finance, Property, Technology and Economy Conference” at University of South Australia.

25 September 2019 | Damian Damianov, Nigar Hashimzade, Muhammad Zaim Razak.

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Career Insights: Sell-side Research in India (Webinar)

Sell-side research has emerged as a coveted profession in India, riding on the growth and development of the country’s equity market. Amit Khurana, CFA, head of equities at Dolat Capital, discusses the employment outlook and career paths.

23 September 2019 | Amit Khurana, CFA, Biharilal Deora, CFA, CIPM | 1 CE | Video: 1 hr 4 min

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For more "Career Insights" webinars, visit the Webinars section or browse ARX posts under Research.


Practitioners’ Insights: Investing Wisdom from a Library of Mistakes (Webinar)

Learning from the mistakes others have made is a powerful way to build expertise. This webinar covers a range of common investing mistakes: accounting shenanigans, being caught in a bubble vortex, valuation errors, and others.

23 September 2019 | Kuntal Shah, Shreenivas Kunte, CFA, CIPM |1 CE | Video: 1 hr 2 min

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For more "Practitioners' Insights" webinars, visit the Webinars section or browse ARX posts under Research.


Impact of Toeholds in Corporate Takeovers

An investment portfolio made up of companies subject to takeover offers achieves abnormal returns. This study uses a takeover prediction model with newly conceived "toehold" variables to create such a portfolio and beat the market.

13 September 2019 | Ray McNamara, Simone Kelly, Samuel Herlihy 

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There’s a Place, and a Time, for Stock Mispricings: Practitioner's Brief

An entire segment of the money management industry (“smart beta”) has flourished around identifiable anomalies such as momentum, when recent winners outperform recent losers. Curiously, however, anomalies seem to have gone missing in China.

13 September 2019 | Richard Blake 

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Data Regulation Implications for Robo-Advisory

A framework for protecting investors and their data in an AI-driven world. The report highlights key focus points for regulators as they approach the growing segment of robo-advisors and AI-driven investment algorithms. The issues include: privacy and protection of investor data, algorithm transparency, and model validation.

4 September 2019 | Alexander Helter, CFA, FRM, CAIA 

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About the Author(s)

ARX Editorial Team

Director: Scott Lee
Content manager, Editor: Piotr Zembrowski, CFA
Coordinator: Natalie Yiu

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