What Changes after Women Enter Top Management Teams?
By Elisabetta Basilico, PhD, CFA|May 6th, 2024|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Other Insights, Behavioral Finance, Corporate Governance|
How do female appointments to top management teams (TMTs) affect a firm's approach to knowledge-related strategic renewal?
Momentum and the Clarity of the Trend
By Larry Swedroe|May 3rd, 2024|Larry Swedroe, Factor Investing, Research Insights, Guest Posts, Other Insights, Momentum Investing Research|
Momentum continues to receive much attention from researchers because of the strong empirical evidence.
DIY Trend-Following Allocations: May 2024
By Ryan Kirlin|May 1st, 2024|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Do-It-Yourself trend-following asset allocation weights for the Robust Asset Allocation Index
Can Machine Learning Improve Factor Returns? Not Really
By Tommi Johnsen, PhD|April 29th, 2024|Factor Investing, Research Insights, Basilico and Johnsen, Academic Research Insight, AI and Machine Learning|
Can AI models improve on the failures in predicting returns strictly from a practical point of view? In this paper, the possibilities are tested with a battery of AI models including linear regression, dimensional reduction methods, regression trees and neural networks. These machine learning models may be better equipped to address the multidimensional nature of stock returns when compared to traditional sorting and cross-sectional regressions used in factor research. The authors hope to overcome the drawbacks and confirm the results of traditional quant methods. As it turns out, those hopes are only weakly fulfilled by the MLM framework.
Social Media, Analyst Behavior and Market Efficiency
By Larry Swedroe|April 26th, 2024|Larry Swedroe, Research Insights, Guest Posts, Other Insights, Behavioral Finance|
Hibbert, Kang, Kumar and Mishra provided us with yet another explanation: social media is providing analysts with information that reduces their forecasting errors. The result has been an increase in market efficiency, leading to a reduction in the PEAD anomaly. The bottom line is that the ability to generate alpha continues to be under assault—trying to outperform the market by stock selection is becoming even more of a loser’s game.
How to Crush the CFA Exams On Your First Attempt: Part II
By Jose Ordonez|April 25th, 2024|Compound Your Knowledge, Investor Education|
The key to success is studying for Level I and Level II not for the sake of passing that level, but for the sake of passing Level III.
How investors form beliefs and make decisions
By Elisabetta Basilico, PhD, CFA|April 23rd, 2024|Research Insights, Basilico and Johnsen, Academic Research Insight, Other Insights, Behavioral Finance|
The implications of wishful thinking and subjective belief choice for endogenous disagreement among investors are substantial and can vary with economic conditions:
The Performance of the Hedge Fund Industry
By Larry Swedroe|April 19th, 2024|Transaction Costs, Empirical Methods, Research Insights, Larry Swedroe, Other Insights|
New research reveals that the performance of the hedge fund industry has not been as bad as the results from studies that relied on hedge fund data providers.
How to Crush the CFA Exams On Your First Attempt: Part I
By Jose Ordonez|April 17th, 2024|Investor Education, Uncategorized|
The CFA designation has for long been recognized as the gold standard for investment analysts. But like anything that is worth pursuing, obtaining the charter is no easy task.
Is Sector Neutrality in Factor Investing a Mistake?
By Tommi Johnsen, PhD|April 15th, 2024|Factor Investing, Research Insights, Basilico and Johnsen, Academic Research Insight|
The justification for neutralizing sectors in factor strategies is a work in progress. To date, academic researchers haven't had an empirical model to mimic the impact of removing sector "effects" on the measurement and performance of factor strategies. The authors develop and test a two-component model to address the question of, "Is Sector Neutrality in Factor Investing a Mistake?"