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 2020-05-01 to 2024-05-01.)

Article	Citations
Divergent ESG Ratings	165
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting	33
Optimal Strategies for ESG Portfolios	27
Tokenization—The Future of Real Estate Investment?	20
Is (Systematic) Value Investing Dead?	19
Get Green or Die Trying? Carbon Risk Integration into Portfolio Management	16
The Best Strategies for Inflationary Times	16
The Unreasonable Attractiveness of More ESG Data	16
Resurrecting the Value Premium	15
ESG in Global Corporate Bonds: The Analysis Behind the Hype	15
Currency Conversion of Fama–French Factors: How and Why	14
Mean–Variance Optimization for Asset Allocation	14
Risk Parity: The Democratization of Risk in Asset Allocation	11
Financial Anomalies in Portfolio Construction and Management	11
Do Corporate Carbon Emissions Data Enable Investors to Mitigate Climate Change?	11
Climate Risk and Real Estate Prices: What Do We Know?	10
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?	10
The Quantitative Approach for Sustainable Investing	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	9
The Market Measure of Carbon Risk and its Impact on the Minimum Variance Portfolio	9
Downside Volatility-Managed Portfolios	9
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization	8
Three Decades of Global Institutional Investment in Commercial Real Estate	7
Settling the Size Matter	7

Asset Allocation and Private Market Investing	7
Foundations of Climate Investing: How Equity Markets Have Priced Climate-Transition Risks	7
Systematic ESG Risk and Decision Criteria for Optimal Portfolio Selection	7
Selecting Computational Models for Asset Management: Financial Econometrics versus Machine Learning—Is There a Conflict?	7
Black–Litterman and Beyond: The Bayesian Paradigm in Investment Management	7
A Survey of Institutional Investors’ Investment and Management Decisions on Illiquid Assets	6
The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead of Short-Term Bills	6
Why Do Equally Weighted Portfolios Beat Value-Weighted Ones?	6
Deep Value	6
Private Equity Real Estate Fund Performance: A Comparison to REITs and Open-End Core Funds	6
The Myth of Diversification Reconsidered	6
The Stock-Bond Correlation	6
Private Equity Performance and the Effects of Cash-Flow Timing	6
An Overview of Machine Learning for Asset Management	5
The Quant Crisis of 2018–2020: Cornered by Big Growth	5
Factor Investing with Black–Litterman–Bayes: Incorporating Factor Views and Priors in Portfolio Construction	5
Quantifying Long-Term Market Impact	5
The Role of Factors in Asset Allocation	5
Systematic ESG Risk and Passive ESG Investing	5
Cross-Asset Skew	4
From ELIZA to ChatGPT: The Evolution of Natural Language Processing and Financial Applications	4
Market Liquidity: An Elusive Variable	4
A Changing Stock–Bond Correlation: Drivers and Implications	4
Turning Tail Risks into Tailwinds	4
Beta Instability and Implications for Hedging Systematic Risk: Takeaways from the COVID-19 Crisis	4
An Investor’s Guide to Crypto	4
Sustainable Investing and Climate Transition Risk: A Portfolio Rebalancing Approach	4
Strategic Asset Allocation for Endowment Funds	4
The Data Dilemma in Alternative Risk Premium: Why Is a Benchmark So Elusive?	4
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence	4
Better Betas	4
Dual Momentum: Testing the Dual Momentum Strategy and Implications for Lifetime Allocations	4
INTRODUCTION: Quantitative Strategies: Multi-Asset	4
The Canadian Pension Fund Model: A Quantitative Portrait	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
Socially Responsible Investing and Factor Investing, Is There an Opportunity Cost?	4
Multi-Asset Class Factor Premia: A Strategic Asset Allocation Perspective	4
Active Sector Funds and Fund Manager Skill	3
A Market Microstructure View of the Informational Efficiency of Security Prices	3
Workhorse or Trojan Horse? The Alternative Risk Premium Conundrum in Multi-Asset Portfolios	3
Sharpe Parity Redux	3
The Future of Factor Investing	3
Fact, Fiction, and Factor Investing	3
The Norway Model in Perspective	3
Volatility Targeting: It’s Complicated!	3
Macro Factor Model: Application to Liquid Private Portfolios	3
The Canadian Pension Model: Past, Present, and Future	3
Trends and Cycles of Style Factors in the 20th and 21st Centuries	3
Addition by Subtraction: A Better Way to Forecast Factor Returns (and Everything Else)	3

Managing Portfolio Volatility	3
Stock Characteristics and Stock Returns: A Skeptic’s Look at the Cross Section of Expected Returns	3
Should Equity Factors Be Betting on Industries?	3
A Novel Approach to Risk Parity: Diversification across Risk Factors and Market Regimes	3
Portfolio Upside and Downside Risk—Both Matter!	3
Venture Capital Financing in Europe: Gender and Ethnic Diversity in Founder Teams	3
American Exceptionalism: The Long-Term Evidence	3
Carbon-Tax-Adjusted Value	3
Monetization Matters: Active Tail Risk Management and the Great Virus Crisis	3
Active Factor Completion Strategies	3
Don’t Give Up the Ship: The Future of the Endowment Model	3
Factor Modeling: The Benefits of Disentangling Cross-Sectionally for Explaining Stock Returns	3
Macro Factor Investing with Style	3
Emerging Markets Debt Securities: A Literature Review	3
Assessing Climate Change Impact on Sovereign Bonds	3
Failure of the Endowment Model	3
Modelling the Shiller CAPE Ratio, Mean Reversion, and Return Forecasts	2
Calculating Outperformance in Dollars: Introducing the Excess Value Method	2
The Quant Cycle	2
Carbon Risk Factor Framework	2
PERSPECTIVES: The New Normal 2.0	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
Investment Management Post Pandemic, Post Global Warming, Post Resource Depletion	2
Volatility-Dependent Skewness Preference	2
International Diversification—Still Not Crazy after All These Years	2
Editors’ Introduction to the Special Issue on Investment Models	2
Public and Private Equity Returns: Different or Same?	2
Momentum and Downside Risk in Emerging Markets	2
Optimal Allocation to Time-Series and Cross-Sectional Momentum	2
New Perspective on Investment Models	2
Is Incorporating ESG Considerations Costly?	2
Putting Credit Factor Investing into Practice	2
Mutual Fund Illiquidity and Stock Price Fragility: A Study Based on Chinese Mutual Funds	2
The Interconnectedness between Green Finance Indexes and Other Important Financial Variables	2
Demystifying Index Rebalancing: An Analysis of the Costs of Liquidity Provision	2
Robust Statistics for Portfolio Construction and Analysis	2
Measuring Investment Skill in Multi-Asset Strategies: An Empirical Study of the Information Coefficient as Weighted Rank Correlation	2
Using a Mean-Changing Stochastic Processes Exit–Entry Model for Stock Market Long–Short Prediction	2
Drawdown Measures: Are They All the Same?	2
Risk Parity and Beyond—From Asset Allocation to Risk Allocation Decisions	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
Momentum Information Propagation through Global Supply Chain Networks	2
Recent Trends and Perspectives on the Korean Asset Management Industry	2
Method in the Madness: Bubbles, Trading, and Incentives	2
Type I and Type II Errors of the Sharpe Ratio under Multiple Testing	2
Endogenous Dynamics of Intraday Liquidity	2
Editor’s Introduction for 2021 Special Issue on Factor Investing	2
Corporate Bond Trading: Finding the Customers’ Yachts	2