Jason C. Hsu

Research Affiliates

Co-founder & Advisor

620 Newport Center Dr

Suite 900

Newport Beach, CA 92660

United States

http://www.jasonhsu.org

Rayliant Global Advisors

CEO & CIO

Hong Kong

University of California, Los Angeles - Anderson School of Business

Adjunct Professor

110 Westwood Plaza

Los Angeles, CA 90095-1481

United States

  • Research Affiliates

  • Rayliant Global Advisors

SCHOLARLY PAPERS

49

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Top 2,248

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29,614

TOTAL CITATIONS
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SSRN RANKINGS

Top 11,611

in Total Papers Citations

132

Scholarly Papers (49)

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1.

Fundamental Indexation

Downloads 6,262 ( 2,697)
Citation 22

Fundamental Indexation

Financial Analysts Journal, Vol. 61, No. 2, March/April 2005, pp. 83-99.
Number of pages: 35 Posted: 15 Oct 2004 Last Revised: 30 Dec 2016
Robert D. Arnott, Jason C. Hsu, Jason C. Hsu and Philip Moore
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors and Pacific Investment Consultants, LLC
Downloads 6,262 (2,664)
Citation 22

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Indexation, Fundamental Indexing, Non-cap based indexing, Mean-Variance Efficiency, Portfolio Construction, Value Premium, Return Predicability

Fundamental Indexation

Posted: 05 May 2005
Robert D. Arnott, Jason C. Hsu, Jason C. Hsu and Philip Moore
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors and Pacific Investment Consultants, LLC

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Investment Theory, Portfolio Theory, Portfolio Management, Equity Strategies, Performance Measurement and Evaluation, Performance Measurement, Equity Investments, Fundamental Analysis and Valuation Models

2.

What Is Quality?

Financial Analysts Journal, vol. 75, no. 2 (Second Quarter 2019): 44–61
Number of pages: 46 Posted: 19 May 2017 Last Revised: 10 May 2019
Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Engin Kose
Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and affiliation not provided to SSRN
Downloads 3,959 (5,896)
Citation 5

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factor investing, multifactor, smart beta, quality factor, quality investing

3.

The Harm in Selecting Funds that Have Recently Outperformed

Number of pages: 12 Posted: 13 Feb 2016 Last Revised: 28 Feb 2016
Bradford Cornell, Jason C. Hsu, Jason C. Hsu and David Nanigian
Anderson Graduate School of Management, UCLA, Research AffiliatesRayliant Global Advisors and Mount Ararat Financial Services LLC
Downloads 2,644 (11,269)
Citation 2

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Asset Management, Investment Consultants, Fund Performance, Mutual Fund Selection

4.

Cap-Weighted Portfolios are Sub-Optimal Portfolios

Downloads 2,631 (11,374)
Citation 29

Cap-Weighted Portfolios are Sub-Optimal Portfolios

Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006
Number of pages: 22 Posted: 11 Jan 2005 Last Revised: 04 Jan 2017
Jason C. Hsu and Jason C. Hsu
Research AffiliatesRayliant Global Advisors
Downloads 2,631 (11,165)
Citation 29

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Fundamental Indexing, Non-cap based indexing, Portfolio construction, market inefficiency, excess price volatility

Cap-Weighted Portfolios are Sub-Optimal Portfolios

Journal of Investment Management, Vol. 4, No. 3, Third Quarter 2006
Posted: 03 Oct 2006 Last Revised: 15 Jun 2010
Jason C. Hsu and Jason C. Hsu
Research AffiliatesRayliant Global Advisors

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Cap-weighting, alternative weighting schemes, index portfolio strategies

5.

A Survey of Alternative Equity Index Strategies

Downloads 2,194 (15,221)
Citation 15

A Survey of Alternative Equity Index Strategies

Financial Analysts Journal, Vol. 67, No. 5, September/October 2011
Number of pages: 31 Posted: 24 Oct 2010 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu, Tzee-man Chow, Vitali Kalesnik and Bryce Little
Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC, Research Affiliates Global Advisors and Citadel LLC
Downloads 2,194 (14,916)
Citation 15

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alternative, equity

A Survey of Alternative Equity Index Strategies

Financial Analysts Journal, Vol. 67, No. 5, 2011
Posted: 30 Sep 2011
Tzee-man Chow, Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Bryce Little
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and Citadel LLC

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Portfolio Management, Equity Portfolio Management Strategies, Passive Management, Portfolio Construction and Revision, Implementation Issues, Equity Investments, Equity Markets, Characteristics, Institutions, and Benchmarks, Security Market Indices and Benchmarks

6.

Value Investing: Smart Beta vs. Style Indices

Journal of Indexes, Forthcoming
Number of pages: 7 Posted: 07 Aug 2014
Jason C. Hsu and Jason C. Hsu
Research AffiliatesRayliant Global Advisors
Downloads 1,845 (20,094)

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Value Index, Smart Beta, Value Strategies

7.

Can Noise Create Size and Value Effects?

AFA 2008 New Orleans Meetings Paper
Number of pages: 32 Posted: 10 Oct 2006 Last Revised: 26 Oct 2011
Robert D. Arnott, Jason C. Hsu, Jason C. Hsu, Jun Liu and Harry Markowitz
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors, University of California, San Diego (UCSD) - Rady School of Management and University of California at San Diego
Downloads 1,831 (20,304)
Citation 18

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noise, size effect, value effect

8.

Bond Pricing with Default Risk

Number of pages: 57 Posted: 01 Nov 2004
Jason C. Hsu, Jason C. Hsu, Jesus Saa-Requejo and Pedro Santa-Clara
Research AffiliatesRayliant Global Advisors, Vega Asset Management LLC and Nova School of Business and Economics
Downloads 1,576 (25,579)
Citation 17

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Bond pricing, default risk, term structure of yield spread

9.

Smart Beta, 'Smarter' Flows

Journal of Empirical Finance (JEF), Vol. 81, 2025
Number of pages: 59 Posted: 03 May 2017 Last Revised: 13 Apr 2025
Jie Cao, Jason C. Hsu, Jason C. Hsu, Linjia Song, Zhanbing Xiao and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, Research AffiliatesRayliant Global Advisors, School of Management, Xiamen University, Harvard University and Fudan University - School of Management
Downloads 1,407 (30,278)
Citation 2

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Smart beta ETFs, mutual fund flows, factor model, friction, financial innovation

10.

Merger Arbitrage Profitability in China

International Conference on Management Science and Engineering, Press of Harbin Institute of Technology, 1995
Number of pages: 6 Posted: 11 Jun 2007
Jason Tuan, Jason C. Hsu, Jason C. Hsu, Jinxin Zhang and Zhang Qiusheng
School of Economics and Management of Beijing Jiaotong University, Research AffiliatesRayliant Global Advisors, Beijing Jiaotong University - School of Economics and Management and Beijing Jiaotong University - School of Economics and Management
Downloads 942 (53,895)

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Merger Arbitrage, Risk Arbitrage, Insider Trading, Pre-Bid Price Appreciation, Merger and Acquisition, Standard Event Study Methodology

11.

Performance Attribution: Measuring Dynamic Allocation Skill

Downloads 829 (64,259)
Citation 9

Performance Attribution: Measuring Dynamic Allocation Skill

Financial Analysts Journal, Vol. 66, No. 6, 2010
Number of pages: 21 Posted: 27 Mar 2010 Last Revised: 11 Aug 2013
Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Brett W. Myers
Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and Texas Tech, Rawls College of Business
Downloads 829 (63,254)
Citation 9

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Performance Attribution, Mutual Funds, Brinson Attribution

Performance Attribution: Measuring Dynamic Allocation Skill

Financial Analysts Journal, Vol. 66, No. 6, 2010
Posted: 11 Dec 2010
Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Brett W. Myers
Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and Texas Tech, Rawls College of Business

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Performance Measurement and Evaluation, Peer Group Comparisons, Tactical Asset Allocation, Performance, Performance Attribution, Measuring Manager Skill

12.

An Examination of Fundamental Indexation

New Frontiers in Index Investing: Journal of Indexes, Vol. 58, pp. 32-37, January/February 2006
Number of pages: 7 Posted: 01 Jan 2008 Last Revised: 03 Jan 2017
Jason C. Hsu, Jason C. Hsu and Carmen Campollo
Research AffiliatesRayliant Global Advisors and FTSE Americas
Downloads 773 (70,491)
Citation 1

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Fundamental Index, Indexing, Capitalization Weighting, Non-price-based Indexing

13.

What Drives Equity Market Non-Participation?

North American Journal of Economics and Finance, January 2012, vol. 23, no 1, 86-114
Number of pages: 54 Posted: 01 Dec 2003 Last Revised: 09 Jan 2017
Jason C. Hsu and Jason C. Hsu
Research AffiliatesRayliant Global Advisors
Downloads 748 (73,670)
Citation 7

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Equity Market Non-participation, Portfolio Choice, Endogenous Wealth Heterogeneity

14.

Performance Evaluation of Active Managers: An Overview of Current Practice

Investments & Wealth Monitor, January/February 2011
Number of pages: 8 Posted: 27 Oct 2010 Last Revised: 22 Nov 2011
Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Russ Wermers
Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and University of Maryland - Robert H. Smith School of Business
Downloads 723 (76,972)

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Performance, Evaluation

15.

A Model of R&D Valuation and the Design of Research Incentives

Downloads 529 (114,467)
Citation 2

A Model of R&D Valuation and the Design of Research Incentives

Insurance: Mathematics and Economics, Vol. 43, No. 3, pp. 350-367, 2008
Number of pages: 67 Posted: 31 Dec 2007 Last Revised: 03 Jan 2017
Jason C. Hsu, Jason C. Hsu, Eduardo S. Schwartz and Eduardo S. Schwartz
Research AffiliatesRayliant Global Advisors and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 378 (168,240)

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real option, incentive design, R&D valuation

A Model of R&D Valuation and the Design of Research Incentives

NBER Working Paper No. w10041
Number of pages: 65 Posted: 27 Oct 2003 Last Revised: 10 Dec 2022
Jason C. Hsu, Jason C. Hsu, Eduardo S. Schwartz and Eduardo S. Schwartz
Research AffiliatesRayliant Global Advisors and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 151 (418,908)
Citation 2

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16.

Dynamic Segment Timing and the Predictability of Actively Managed Mutual Fund Returns

Number of pages: 35 Posted: 29 Feb 2016
Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik, Brett W. Myers and Ryan Whitby
Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors, Texas Tech, Rawls College of Business and Utah State University - Huntsman School of Business
Downloads 242 (271,983)

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Mutual fund, mutual fund return predictability, mutual fund investment, active management

17.

Selling Hope

Rotman International Journal of Pension Management, Vol. 5, No. 2, 2012
Number of pages: 2 Posted: 18 Sep 2012 Last Revised: 11 Aug 2013
Jason C. Hsu and Jason C. Hsu
Research AffiliatesRayliant Global Advisors
Downloads 195 (334,322)
Citation 2

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Active Management, Hedge Funds, Index Funds, Irrational Investor Behavior, Mutual Funds, Pension Fund

18.

Skewness Preferences and Gambling Cultures

Number of pages: 29 Posted: 31 Jan 2016 Last Revised: 23 Mar 2016
Benjamin M. Blau, Jason C. Hsu, Jason C. Hsu and Ryan Whitby
Utah State University - Huntsman School of Business, Research AffiliatesRayliant Global Advisors and Utah State University - Huntsman School of Business
Downloads 181 (357,856)

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Lotteries, Gambling, Skewness, Stock Returns

19.

Smart Beta, “Smarter” Flows

Number of pages: 46 Posted: 01 Nov 2023
Jie Cao, Jason C. Hsu, Jason C. Hsu, Linjia Song, Zhanbing Xiao and Xintong Zhan
The Hong Kong Polytechnic University - School of Accounting and Finance, Research AffiliatesRayliant Global Advisors, Xiamen University, Harvard University and Fudan University - School of Management
Downloads 103 (563,698)
Citation 1

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Smart beta ETFs, mutual fund flows, asset pricing models, financial innovation, investor behavior

20.

Kicking the Elephant Out of the Room: The Case for EM ex-China

Journal of Beta Investment Strategies, Volume 15, Issue 2
Posted: 13 Feb 2024 Last Revised: 20 Mar 2024
Lu He, Jason C. Hsu, Jason C. Hsu and Phillip Wool
Rayliant Global Advisors, Research AffiliatesRayliant Global Advisors and Rayliant Global Advisors

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Emerging Markets, International Diversification, Portfolio Construction, Portfolio Management, Asset Allocation, Manager Selection, Exchange Traded Funds

21.

ESG and Investing in China and the United States

The Journal of Impact and ESG Investing, Fall 2022, 3 (1) 121 - 133 DOI:10.3905/jesg.2022.1.049
Posted: 17 Jan 2022
Bradford Cornell, Jason C. Hsu and Jason C. Hsu
Anderson Graduate School of Management, UCLA and Research AffiliatesRayliant Global Advisors

Abstract:

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ESG China Investsing

22.

Assessing Mutual Fund Performance in China

Journal of Portfolio Management, Vol. 46, 2020, https://jpm.pm-research.com/content/46/5/118
Posted: 10 Mar 2020
Bradford Cornell, Jason C. Hsu, Jason C. Hsu, Patrick Christian Kiefer and Phillip Wool
Anderson Graduate School of Management, UCLA, Research AffiliatesRayliant Global Advisors, University of California, Los Angeles (UCLA) - Anderson School of Management and Rayliant Global Advisors

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China, Mutual Fund, Performance

23.

Anomalies in Chinese A-Shares

https://doi.org/10.3905/jpm.2018.44.7.108
Posted: 20 Apr 2017 Last Revised: 22 May 2019
Jason C. Hsu, Jason C. Hsu, Vivek Viswanathan, Chenhui Wang and Phillip Wool
Research AffiliatesRayliant Global Advisors, Rayliant Global Advisors, Rayliant Global Advisors and Rayliant Global Advisors
Downloads 0 (1,338,298)

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Factors; anomalies; China

24.

Low-Volatility Investing

Journal of Index Investing, vol. 4, no. 2, Fall 2013
Posted: 08 Feb 2017
Jason C. Hsu, Jason C. Hsu and Feifei Li
Research AffiliatesRayliant Global Advisors and Research Affiliates, LLC

Abstract:

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25.

Value Investing: Smart Beta Versus Style Indexes

Journal of Index Investing, vol. 5, no. 1, Summer 2014
Posted: 08 Feb 2017
Jason C. Hsu and Jason C. Hsu
Research AffiliatesRayliant Global Advisors

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26.

A Framework for Assessing Factors and Implementing Smart Beta Strategies

Journal of Index Investing, vol. 6, no. 1, Summer 2015
Posted: 08 Feb 2017
Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Vivek Viswanathan
Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and Rayliant Global Advisors

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27.

Investment Firm Culture: A New Take on Manager Selection and Social Responsibility

Practical Applications, vol. 3, no. 2, Fall 2015
Posted: 08 Feb 2017
Jason C. Hsu and Jason C. Hsu
Research AffiliatesRayliant Global Advisors

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28.

Two Determinants of Lifecycle Investment Success

Journal of Retirement, vol. 2, no. 4, 2015 (Spring), pp. 14-21.
Posted: 01 Jun 2015 Last Revised: 07 Feb 2017
Jason C. Hsu, Jason C. Hsu, Jonathan Treussard, Vivek Viswanathan and Lillian J. Wu
Research AffiliatesRayliant Global Advisors, Treussard Capital Management LLC, Rayliant Global Advisors and Research Affiliates, LLC

Abstract:

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Investment Management, Retirement, Target Date Funds

29.

Timing Poorly: A Guide to Generating Poor Returns While Investing in Successful Strategies

Journal of Portfolio Management, Vol. 42, No. 2, 2016
Posted: 06 Feb 2015 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu, Brett W. Myers and Ryan Whitby
Research AffiliatesRayliant Global Advisors, Texas Tech, Rawls College of Business and Utah State University - Huntsman School of Business

Abstract:

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value premium, mutual fund performance, behavioral finance, IRR, factor investing

30.

What Drives the Value Premium? Risk versus Mispricing: Evidence from International Markets

Journal Of Investment Management (JOIM), Fourth Quarter 2013
Posted: 15 Nov 2014
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Joseph (Yoseop) Shim
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and Research Affiliates, LLC

Abstract:

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Value premium, mispricing, risk, value, growth, book-to-market ratio, beta, HML

31.

The Self-fulfilling Prophecy of Popular Asset Pricing Models

Journal of Investment Management, vol. 14, no. 1, 2016
Posted: 08 Aug 2014 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu and Bradford Cornell
Research AffiliatesRayliant Global Advisors and Anderson Graduate School of Management, UCLA

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asset pricing, expected returns, behavioral finance, discounted cash flows, utility functions

32.

The Folly of Blame: Why Investors Should Care About Their Managers' Culture

Journal of Portfolio Management, Vol. 41, No. 3, 2015 (Spring), pp. 23-34
Posted: 19 May 2014 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu, James Ware and Chuck Heisinger
Research AffiliatesRayliant Global Advisors, Focus Consulting Group and Focus Consulting Group

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culture, investments, blame, performance, asset management

33.

Option-Writing Strategies in a Low-Volatility Framework

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Option-Writing Strategies in a Low-Volatility Framework

Journal of Investing, Vol. 24, No. 3, 2015 (Fall), pp. 116-128
Posted: 08 May 2014 Last Revised: 07 Feb 2017
Donald He, Jason C. Hsu, Jason C. Hsu and Neil Rue
Allianz Global Investors US LLC, Research AffiliatesRayliant Global Advisors and Pension Consulting Alliance

Abstract:

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Low volatility, covered call, preference for lottery, leverage constraints, skewness premium

Option-Writing Strategies in a Low-Volatility Framework

Journal of Investing, Vol. 24, No. 3, Fall 2015
Posted: 08 Feb 2017
Jason C. Hsu, Jason C. Hsu, Donald He and Neil Rue
Research AffiliatesRayliant Global Advisors, Allianz Global Investors US LLC and Pension Consulting Alliance

Abstract:

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34.

A Study of Low Volatility Portfolio Construction Methods

Journal of Portfolio Management, Vol. 40, No. 4, 2014
Posted: 25 Jul 2013 Last Revised: 28 Dec 2016
Tzee-man Chow, Jason C. Hsu, Jason C. Hsu, Li-Lan Kuo and Feifei Li
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

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low volatility, smart beta, minimum variance

35.

A Framework for Examining Asset Allocation Alpha

Journal of Index Investing, vol. 3, no. 4 (Spring 2013), pp. 64-72
Posted: 11 Jan 2013 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu and Omid Shakernia
Research AffiliatesRayliant Global Advisors and Research Affiliates, LLC

Abstract:

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asset allocation, alpha, portfolio performance

36.

The Risk in Risk Parity: A Factor-based Analysis of Asset-based Risk Parity

Journal of Investing, Vol. 21, No. 3, Fall 2012, pp. 102-110
Posted: 25 Oct 2012 Last Revised: 28 Dec 2016
Vineer Bhansali, Josh Davis, Graham Rennison, Jason C. Hsu, Jason C. Hsu and Feifei Li
LongTail Alpha, LLC, Pacific Investment Management Company (PIMCO), Pacific Investment Management Company (PIMCO), Research AffiliatesRayliant Global Advisors and Research Affiliates, LLC

Abstract:

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risk parity, asset allocation, risk factor parity

37.

Efficient Algorithms for Computing Risk Parity Portfolio Weights

Journal of Investing, vol. 21, no. 3, Fall 2012, pp. 150-163.
Posted: 26 Jul 2012 Last Revised: 30 Dec 2016
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Feifei Li and Omid Shakernia
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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risk parity, asset allocation, portfolio management

38.

When Sell-Side Analysts Meet High-Volatility Stocks: An Alternative Explanation for the Low-Volatility Puzzle

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When Sell-Side Analysts Meet High-Volatility Stocks: An Alternative Explanation for the Low-Volatility Puzzle

Journal of Investment Management, Vol. 11, No. 2, Second Quarter 2013, 28-46
Posted: 17 May 2012 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu, Hideaki Kudoh and Toru Yamada
Research AffiliatesRayliant Global Advisors, Nomura Asset Management Co., Ltd. (NAM) and Nomura Holdings, Inc. (NHI) - Nomura Asset Management Co., Ltd. (NAM)

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When Sell-Side Analysts Meet High-Volatility Stocks: An Alternative Explanation for the Low-Volatility Puzzle

Journal Of Investment Management (JOIM), Second Quarter 2013
Posted: 15 Jun 2013
Jason C. Hsu, Jason C. Hsu, Hideaki Kudoh and Toru Yamada
Research AffiliatesRayliant Global Advisors, Nomura Asset Management Co., Ltd. (NAM) and Nomura Holdings, Inc. (NHI) - Nomura Asset Management Co., Ltd. (NAM)

Abstract:

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Analyst forecast bias, low volatility puzzle

39.

What Drives the Value Premium? Risk versus Mispricing: Evidence from International Markets

Journal of Investment Management, vol. 11, no. 4, 2013 (Fourth Quarter).
Posted: 08 Oct 2011 Last Revised: 07 Feb 2017
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Joseph (Yoseop) Shim
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and Research Affiliates, LLC

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value strategy, value premium, value factor, value investing

40.

Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios

Journal of Investing, Vol. 20, No. 1, pp. 108-118, Spring 2011
Posted: 27 Aug 2011 Last Revised: 28 Dec 2016
Denis B. Chaves, Jason C. Hsu, Jason C. Hsu, Feifei Li and Omid Shakernia
The Capital Group Companies, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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risk parity, heuristic

41.

An Examination of Traditional Style Indexes

Journal of Index Investing, vol. 1, no. 2, Fall 2010, pp. 14-23
Posted: 02 Aug 2010 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu, Vitali Kalesnik and Himanshu Surti
Research AffiliatesRayliant Global Advisors, Research Affiliates Global Advisors and Cambria Investment Management

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Value Investing, Small Cap, Risk Models, Style Indexes

42.

Risk-Managing the Uncertainty in VAR Parameters

In 'THE VAR IMPLEMENTATION HANDBOOK', Chapter 18, pp. 385-400, G. Gregoriou, ed., McGraw-Hill, 2009
Posted: 26 Mar 2010 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu and Vitali Kalesnik
Research AffiliatesRayliant Global Advisors and Research Affiliates Global Advisors

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Value at Risk, Parameter Uncertainty

43.

Model Risk for Market Risk Modeling

In 'THE RISK MODELING RISK EVALUATION HANDBOOK: RETHINKING FINANCIAL RISK MANAGEMENT METHODOLOGIES IN THE GLOBAL CAPITAL MARKETS', G. Gregoriou, C. Hoppe, and C. Wehn, eds, McGraw-Hill, 2010
Posted: 26 Mar 2010 Last Revised: 16 Sep 2022
Jason C. Hsu, Jason C. Hsu, Shane D. Shepherd and Vitali Kalesnik
Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates Global Advisors

Abstract:

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Risk Modeling, Parameter Uncertainty

44.

Cyclicality in Stock Market Volatility and Optimal Portfolio Allocation

In 'STOCK MARKET VOLATILITY', Chapter 10, pp. 195-208, Greg Gregoriou, ed., Chapman & Hall, 2009
Posted: 20 Mar 2010 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu and Feifei Li
Research AffiliatesRayliant Global Advisors and Research Affiliates, LLC

Abstract:

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Conditional Volatility, Risk Management, Portfolio Choice

45.

A Structural Model of Default Risk

Journal of Fixed Income, Vol. 19, No. 3, pp. 77-94, Winter 2010
Posted: 20 Mar 2010 Last Revised: 28 Dec 2016
Jason C. Hsu, Jason C. Hsu, Jesus Saa-Requejo and Pedro Santa-Clara
Research AffiliatesRayliant Global Advisors, Vega Asset Management LLC and Nova School of Business and Economics

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Fixed Income, Default Risk, Corporate Bonds

46.

Shadow Banks and the Financial Crisis of 2007-2008

In 'THE BANKING CRISIS HANDBOOK', Chapter 3, pp. 39-56, Greg Gregoriou, ed., CRC Press, 2009
Posted: 20 Mar 2010 Last Revised: 29 Dec 2016
Jason C. Hsu, Jason C. Hsu and Max Moroz
Research AffiliatesRayliant Global Advisors and Research Affiliates, LLC

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Shadow Banking, Financial Crisis, Subprime Crisis

47.

Does Valuation - Indifferent Indexing Work for the Real Estate Market?

Journal of Investing, Vol. 19, No. 3, pp. 72-79, Fall 2010
Posted: 01 Feb 2010 Last Revised: 28 Dec 2016
Feifei Li, Jason C. Hsu, Jason C. Hsu and Vitali Kalesnik
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors and Research Affiliates Global Advisors

Abstract:

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Real Estate, REITs, Fundamental Indexing, Valuation-Indifferent Indexing, Alternative Indexing

48.

Valuation-Indifferent Weighting for Bonds

Journal of Portfolio Management, Vol. 36, No. 3, pp. 117-130, Spring 2010
Posted: 04 Sep 2008 Last Revised: 30 Dec 2016
Robert D. Arnott, Jason C. Hsu, Jason C. Hsu, Feifei Li and Shane D. Shepherd
Research Affiliates, LLC, Research AffiliatesRayliant Global Advisors, Research Affiliates, LLC and Research Affiliates, LLC

Abstract:

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Fundamental Index, Valuation-Indifferent Index, Bond Index

49.

Noise, CAPM, and the Size and Value Effects

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Noise, CAPM, and the Size and Value Effects

Journal of Investment Management, vol. 6, no. 1, First Quarter 2008.
Posted: 05 Sep 2006 Last Revised: 30 Dec 2016
Robert D. Arnott, Jason C. Hsu and Jason C. Hsu
Research Affiliates, LLC and Research AffiliatesRayliant Global Advisors

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Mispricing, noise, CAPM, size effect, value effect, excess volatility puzzle, dividend predictability puzzle

Noise, CAPM and the Size and Value Effects

Journal of Investment Management, Vol. 6, No. 1, First Quarter 2008
Posted: 27 Mar 2008
Robert D. Arnott, Jason C. Hsu and Jason C. Hsu
Research Affiliates, LLC and Research AffiliatesRayliant Global Advisors

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Noise, value effect, size effect, CAPM, non-price-weighted portfolios

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1.

Blame, Accountability, and Performance

CFA Institute Magazine, Vol. 25, No. 5, September/October 2014
Number of pages: 2 Posted: 08 Feb 2017
James Ware, Jason C. Hsu and Jason C. Hsu
Focus Consulting Group and Research AffiliatesRayliant Global Advisors
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