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25 February 2022 Financial Analysts Journal

Financial Analysts Journal, First Quarter, 2022, Vol. 78 No. 1

  1. CFA Institute
This PDF contains the complete First Quarter 2022 issue of the Financial Analysts Journal.
2022 First Quarter Issue (Vol.78, No.1) Read the full issue CFA Institute Member Content


The first issue of 2022 opens with "Carry Momentum," by Josh Davis, Normane Gillmann, and Jerry Tsai. Assets with high carry momentum tend to have higher returns, but the phenomenon has defied conventional explanations. The authors propose a model in which the differential is explained by investor demand and the market’s view of expected returns.

Next, authors K. J. Martijn Cremers, Jon A. Fulkerson, and Timothy B. Riley, CFA, examine "Active Share and the Predictability of the Performance of Separate Accounts." Although the average separate account underperforms, separate accounts with high active share have persistent positive performance. Analysis of return dispersion and style factors supports the predictive utility of active share.

In the third article of the issue, George Serafeim and Aaron Yoon ask "Which Corporate ESG News Does the Market React To?" Prices react to ESG news, but which types of news do investors find more significant? Serafeim and Yoon analyze various news components and conclude that investors are motivated by financial considerations, not other factors.

Finally, in "Is 'Not Trading' Informative? Evidence from Corporate Insiders’ Portfolios," Luke DeVault , Scott Cederburg, CFA, and Kainan Wang investigate whether trades reveal information about the value of not-traded positions for investors with insider positions. This study finds that “not sold” stocks outperform “not bought” stocks, suggesting that such data provide value-relevant information.

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