IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789811222634_0007.html
   My bibliography  Save this book chapter

Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet

In: HANDBOOK OF APPLIED INVESTMENT RESEARCH

Author

Listed:
  • Bijan Beheshti
  • John B. Guerard Jr.
  • Chris Mercs

Abstract

Financial anomalies have been studied in the U.S. Recent evidence suggests that financial anomalies have diminished in the U.S. and possibly in non-U.S. portfolios. Have the anomalies changed and are they persistent? Have historical and earnings forecasting data been a consistent and highly statistically significant source of excess returns? We test many financial anomalies of the 1980–1990s and report that several models and strategies continue to produce statistically significant excess returns. We test a large set of U.S. and global variables over the past 16 years. We report that many of these fundamental, earnings forecasts, revisions, and breadth and momentum, and cash deployment strategies maintained their statistical significance during the 2003–2018 time period. Moreover, the earnings forecasting model and robust regression estimated that composite model excess returns are greater in non-U.S. and global markets than in the U.S. markets.

Suggested Citation

  • Bijan Beheshti & John B. Guerard Jr. & Chris Mercs, 2020. "Truly Active Management Requires a Commitment to Excellence: Portfolio Construction and Management with FactSet," World Scientific Book Chapters, in: John B Guerard & William T Ziemba (ed.), HANDBOOK OF APPLIED INVESTMENT RESEARCH, chapter 7, pages 87-126, World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789811222634_0007
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789811222634_0007
    Download Restriction: Ebook Access is available upon purchase.

    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789811222634_0007
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Applied Investments; Financial Forecasting; Portfolio Theory; Investment Strategies; Fundamental and Economic Anomalies; Behaviour of Investors;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G1 - Financial Economics - - General Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789811222634_0007. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.