Citigroup 花旗：全球金融学术研究文摘月报 09.25

25 September 2007 20 pages

Academic Research Digest A New Monthly Report

 Report — This new monthly report is designed to help portfolio managers to focus
on some of the most recent academic research.
 Paper Selection — Papers are chosen on the basis of relevance, timing, and
academic rigor.
 Five Working Papers — Focusing on just five recent working papers we attempt to
summarise their key points and investment implications and cover most areas in
the equity investment process.
 Stock Selection — Using financial statement information to pick winners and
losers among Hold-rated stocks.
 Factor Selection — The importance of sentiment in style selection.
 Industry Rotation — Evaluating the performance of sector rotation over business
cycles.
 Portfolio Construction — Long/short extensions: how much is enough?
 Performance Attribution — Where do alphas come from? A new measure of the
value of active investment management