Third Edition T. DANIEL COGGIN FRANK J. FABOZZI EDITORS

Contents About the Editors ix Preface xi Overview of the Book xiii Contributing Authors xv CHAPTER 1 Style Analysis: Asset Allocation and Performance Evaluation 1 Arik Ben Dor and Ravi Jagannathan CHAPTER 2 The Many Elements of Equity Style: Quantitative Management of Core, Growth, and Value Strategies 47 Robert D. Arnott and Christopher G. Luck CHAPTER 3 Models of Equity Style Information 75 Robert C. Radcliffe CHAPTER 4 Style Analysis: A Ten-Year Retrospective and Commentary 109 R. Stephen Hardy CHAPTER 5 More Depth and Breadth than the Style Box: The Morningstar Lens 131 Paul D. Kaplan, James A. Knowles, and Don Phillips CHAPTER 6 Using Portfolio Holdings to Improve the Search for Skill 159 Ronald J. Surz

CHAPTER 7 Are Growth and Value Dead?: A New Framework for Equity Investment Styles 171 Lawrence S. Speidell and John Graves CHAPTER 8 The Style of Investor Expectations 195 Hersh Shefrin and Meir Statman CHAPTER 9 The Effects of Imprecision and Bias on the Abilities of Growth and Value Managers to Outperform their Respective Benchmarks 219 Robert A. Haugen CHAPTER 10 Style Return Differentials: Illusions, Risk Premiums, or Investment Opportunities 229 Richard Roll CHAPTER 11 The Persistence of Equity Style Performance: Evidence from Mutual Fund Data 259 Ronald N. Kahn and Andrew Rudd CHAPTER 12 How the Technology Bubble of 1999–2000 Disrupted Equity Style Investing 273 Kari Bayer Pinkernell and Richard Bernstein CHAPTER 13 Multistyle Equity Investment Models 293 Parvez Ahmed, John G. Gallo, Larry J. Lockwood, and Sudhir Nanda CHAPTER 14 A Comparison of Fixed versus Flexible Market Capitalization Style Allocations: Don’t Be Boxed in by Size 315 Marc R Reinganum CHAPTER 15 A Plan Sponsor Perspective on Equity Style Management 333 Keith Cardoza

CHAPTER 16 An Analysis of U.S. and Non-U.S. Equity Style Index Methodologies 359 H. David Shea CHAPTER 17 Country-Level Equity Style Timing 407 Clifford Asness, Robert Krail, and John Liew CHAPTER 18 Value Investing and the January Effect: Some More International Evidence 419 Bala Arshanapalli, T. Daniel Coggin, and William Nelson CHAPTER 19 Exploring the Mathematical Basis of Returns-Based Style Analysis 435 Thomas Becker CHAPTER 20 Trading (and Investing) in “Style” Using Futures and Exchange-Traded Funds 455 Joanne M. Hill INDEX 483

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