20080520-Citi-Academic Research Digest

May Update
 What’s new in Academic Research — In the seventh issue of Academic Research
Digest, we highlight three articles on stock selection strategies and two articles on
risk management. We also cite five additional working papers that we believe are
of interest.
 Profiting from differences of opinion near earnings announcements — Exploiting
overvaluation/undervaluation prior/post earnings announcements.
 Macroeconomic risk of momentum profits — Explaining momentum profits using
growth rates in industrial production.
 Underreaction in momentum strategies — Refining momentum strategies by taking
into account the risk of near-term correction.
 Improving upon standard portfolio construction methodologies — The benefits of
constraining the norm of the portfolio weight vector.
 The value of incorporating economic theory when building optimal portfolios —
Flexible Bayesian portfolio construction with economically motivated prior
information.