5.10. Notes
[] Tim Loughran and Jay R. Ritter, "The New Issues Puzzle," Journal of Finance 50, no. 1 (March 1995): 23–51.
[] Vanessa O'Connell, "Some Stock Funds Beat Rivals by Following Insiders' Trades," Wall Street Journal, January 29, 1997.
[] This is true when the long and short portfolios have equal betas, or sensitivity to broad market moves. For long-short portfolios where this is not the case, a portion of the overall return may be due to exposure to the overall market.
[] Jia Ye, "Excess Returns, Stock Splits, and Analyst Earnings Forecasts," Journal of Portfolio Management 25, no. 2 (1999): 70–76.
[] See www.starmine.com for a world of information on this subject.
[] David Leinweber, "Uses and Views of Equity Style," in Handbook of Equity Style Management, ed. T. Daniel Coggin and Frank J. Fabozzi (New Hope, PA: Fabozzi Associates, 1997).
[] The all-time classic paper on trading costs is "Implementation Shortfall" by Andre Perold, published in the Journal of Portfolio Management (Spring 1988). It is a hot topic in algo trading, so a search may be overwhelming. Perold was the first to demonstrate the significance of trading costs in such a persuasive manner. The transaction cost measurement industry, which followed, was really originated by one firm, Plexus Group, founded by Wayne Wagner and now part of Investment Technology Group, Inc. (ITG). Wayne's personal perspective is found in "The Incredible Story of Transaction Cost Management: A Personal Recollection," ...
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