One of the lesser known resources maintained on this fledgling site is a no-bullshit collection of academic papers that have investigated relevant investment-related issues focused on SG and HK. I have neglected it for a while in the excitement of doing my own research and commentary but today I came across So and Tang (2010), published in Applied Economics. The main paper will be inaccessible to non-subscribers but I obtained a copy (thanks K) and thought I should highlight a few things:
The Intellectual Discourse
- In the beginning, there was Markowitz (1959), and mean variance analysis was born. Investors should hold a mean-variance efficient portfolio.
- Then the three wise men, Sharpe (1964), Lintner (1965) and Black (1972), came along, and gave us the gift of CAPM. CAPM said, 1) the expected return on a risky asset is postitively related to its systematic risk or market beta, and 2) no ...