Occasional Papers

The CFA Institute Research Foundation is pleased to offer the following Occasional Papers for your review. These works include award-winning papers from various global contests as well as other papers deemed valuable to the global investment community.

To submit a paper for review by our research committee and advisory board, please contact the Research Foundation

Momentum is Really Momentum: US and International Evidence

Source: 2014 FMA Asian Conference
Author: Qiang Gong, Ming Liu, Qianqiu Liu*

This paper is a recipient of the CFA Institute Asia-Pacific Capital Markets Research Award 2014, presented at the 2014 FMA Asian Conference in Tokyo, Japan.

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*Corresponding author. Department of Financial Economics and Institutions, Shidler College of Business, University of Hawaii at Manoa

Alpha-Like Attributes of Hedge Fund Performance in a Risk-On, Risk-Off Environment

Source: Professional Investor, The Journal of the CFA Society of the UK
Author: Bill Fung

Bill Fung outlines a discrete framework for analyzing hedge fund performance in three market risk sentiment scenarios.

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Dual-Listed Shares and Trading

Source: 2012 Capital Markets Research Prize
Sponsors: Hong Kong University of Science and Technology
Authors: Clark Liu | Mark S. Seasholes

This paper is the recipient of the 2012 Capital Markets Research Prize.

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Endogenous Benchmarks

Source: Asian Finance Association Award
Sponsors:
 CFA Institute, CFA Institute Research Foundation, and the Asian Finance Association
Authors: David Hunter | Eugene Kandel | Shmuel Kandel | Russell Wermers

This paper is a recipient of the award for Best Paper on Asia Pacific Investments at the Asia Finance Association 2011 Annual Conference. The award was sponsored by CFA Institute Research Foundation.

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Hedge Funds, Active Management, and the Asset Allocation Decision: A Descriptive Framework

Source: Advanced Portfolio Management
Authors: Roy D. Henriksson | Robert E. Kiernan III

"Hedge Funds, Active Management, and the Asset Allocation Decision" has been selected by Larry Siegel, Research Director of the Research Foundation, as an Occasional Paper that provides valuable insights for global investment professionals. Henriksson and Kiernan evaluate the role of hedge funds in investor portfolios and explore whether they should be considered as a separate asset class or a form of active management.

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Informed Trading Before Earnings Shock

Source: CFA Institute Asia Pacific Capital Markets Research Prize 2013
Author: Tae-Jun Park | Youngjoo Lee | Kyojik "Roy" Song

This paper is a recipient of the CFA Institute Asia Pacific Capital Markets Research Prize 2013 (Auckland Finance Meeting 2013).

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The Long and Short of Leveraged ETFs: The Financial Crisis and Performance Attribution 

Source: Toronto CFA Society Hillsdale Research Award
Author:
Pauline M. Shum

This is the winning paper from the Toronto CFA Society Hillsdale Research Award (2011). This paper establishes a framework for assessing the performance of leveraged ETFs. The author proposes a way to distinguish compounding, fund management, and trading/premium discounts, and how each impacts the assessment of fund performance.

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Media-Based Merger Arbitrage

Source: Hong Kong Asian Capital Markets Research Prize 2013
Sponsors:
 CFA Institute and The Hong Kong Society of Financial Analysts
Authors: Matthias M. M. Buehlmaier | Josef Zechner

This is the winning paper from the Hong Kong Asian Capital Markets Research Prize 2013. It investigates a key determinant of merger arbitrage success: the financial media, for example financial newspapers and financial newswires.

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Overcoming the Liability of Foreignness: Pre-IPO Investors from the Host Country and Foreign IPO Performance

Source: CFA Institute Research Award 2013
Author: Ning Jia

This paper is a recipient of the CFA Institute Research Award 2013 offered at the Australasian Finance and Banking Conference 2013. 

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Private Placements, Regulatory Restrictions, and Firm Value: Theory and Evidence from the Indian Market

Source: Asian Finance Association Award
Sponsors:
 CFA Institute, CFA Institute Research Foundation, and the Asian Finance Association
Authors: V. Ravi Anshuman | Vijaya B. Marisetty | Marti G. Subrahmanyam

This paper is a recipient of the award for Best Paper on Asia Pacific Investments at the Asia Finance Association 2011 Annual Conference. The award was sponsored by CFA Institute Research Foundation.

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