The American Finance Association Annual Meetings are here.(1) The conference is virtual this year but that doesn’t mean the organization hasn’t done a good job collecting the brightest minds in academia to discuss hundreds of new finance research papers — a gold mine for new and exciting ideas!(2)
There is so much research available it is a bit difficult to read it all — and many of the papers have still not been made available. Nonethless, I tried to highlight some of the work that was interesting to me. We encourage everyone to explore the research library on their own since you might enjoy different topics.
Here are the top 5 papers that were interesting(3) to me:
- Forest through the Trees: Building Cross-Sections of Stock Returns: I’m still trying to understand what is going on in this paper, but one thing is clear — their figures/graphics are incredible!
- In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis: Have you ever wondered how fund flows might affect asset prices? Check this paper out!
- What Drives the Size and Value Factors?: I was convinced that there was nothing left to be said on this topic. I was wrong. Flows matter.
- Do Women Receive Worse Financial Advice? This is a remarkable study that uses undercover agents in Hong Kong. Fascinating.
- The Great Divorce Between Investment and Profitability: More information on the dynamics and foundations for the profitability factor, which we cover often on this blog. (and use in practice)
Also, I went through the PhD poster session, which is work conducted by a current PhD student (i.e., new researchers).
- Decomposing Factor Momentum: There has been a lot of new research discussing the ability to tactically allocate across factors based on momentum.(4) This research goes deeper with a decomposition of the returns and finds that factor momentum probably works because it holds the factors that earn the highest premiums over the sample.
Enjoy all this academic finance research!
References[+]
↑1 | here is information on the broader conference |
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↑2 | Of course, read this recent paper first before falling head over heels in love with the research. |
↑3 | note, interesting isn’t a value judgement, but merely a ‘taste' |
↑4 | Here is an example and here. |
About the Author: Wesley Gray, PhD
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