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Momentum Factor Investing: What’s the Right Risk-Adjustment?

By |March 4th, 2021|Research Insights, Factor Investing, Momentum Investing Research|

Momentum? What Momentum? Erik Theissen and Can YilanciA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the research questions? [...]

DIY Asset Allocation Weights: March 2021

By |March 2nd, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Does Crowdsourced Investing Work?

By |March 1st, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Extrapolative Beliefs in the Cross Section: What Can We Learn from the Crowds? Zhi Da, Xing Huang, Lawrence J. JinJournal of Financial Economics, 2020A version of this paper can be found hereWant to read our summaries [...]

The Forecasting Power of Value, Profitability, and Investment Spreads

By |February 25th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Value Investing Research|

Studies such as the 2019 paper “Value Return Predictability Across Asset Classes and Commonalities in Risk Premia,” have demonstrated that while it is difficult to time investments based on their value spreadsThe difference in the [...]

RealVision: Tony/Wes Discuss Investment Philosophy & ETF Operations

By |February 23rd, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

Tony Greer, the founder of TG Macro, is joined by Wes Gray, CEO of Alpha Architect, a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures. They break down the [...]

The Risk and Returns to Private Debt Investments

By |February 22nd, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Fixed Income|

The Returns to Private Debt: Primary Issuances vs. Secondary Acquisitions Douglas Cumming, Grant Fleming, and Zhangxin (Frank) Liu Financial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance [...]

The R&D Premium: Is it Risk or Mispricing?

By |February 18th, 2021|Quality Investing, Research Insights, Factor Investing|

Asset pricing models are important because they help us understand which factors explain the variation of returns across diversified portfolios. However, models are not like cameras that provide a perfect picture of the world. If [...]

Meb Faber Podcast: Doug Discusses 1042 QRP and ESOP Transactions

By |February 18th, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

Doug Pugliese, the head of our 1042 QRP business, was recently invited on the Meb Faber Podcast to discuss the ESOP landscape and the costs and benefits of 1042 QRP transactions. (article on the topic [...]

ESG Factors and Traditional Factors

By |February 16th, 2021|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Investment Advisor Education|

Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens Ananth Madhavan, Aleksander Sobczyk and Andrew AngFinancial Analyst Journal, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Do ETFs Adversely Affect Market Quality? Nope.

By |February 11th, 2021|Research Insights, Academic Research Insight, ETF Investing|

Intraday Arbitrage Between ETFs and their Underlying Portfolios Box, Davis, Evans, and LynchWorking paperA version of this paper can be found here Editor's note: Seeing how the results may have shifted since the "ARK phenomenon" would [...]

Global Factor Performance: February 2021

By |February 9th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Will the Real Value Factor Funds Please Stand Up?

By |February 8th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? Martin Lettau, Sydney C. Ludvigson, Paulo ManoelWorking paperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Excess Returns Podcast: Jack discussing Momentum and Trend

By |February 5th, 2021|Research Insights, Podcasts and Video, Media, Momentum Investing Research|

I was recently invited on the Excess Returns podcast with Justin Carbonneau and Jack Forehand. We discussed Momentum and Trend-following. Commentary/Links: In the conversation, I mentioned a post titled "Factor Investing and Trading [...]

Do Security Analysts Follow the Academic Evidence?

By |February 4th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

As my co-author Andrew Berkin and I explain in our new book “Your Complete Guide to Factor-Based Investing,” there is considerable evidence of cross-sectional return predictability. Citing more than 100 academic papers, we presented evidence [...]

DIY Asset Allocation Weights: February 2021

By |February 2nd, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Hot Topic: Does “Gamma” Hedging Actually Affect Stock Prices?

By |February 1st, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Hedging Demand and Market Intraday Momentum Guido Baltussen, Zhi Da, Sten Lammers and Martin MartensJournal of Financial Economics, ForthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

The Quality Factor—What Exactly Is It?

By |January 28th, 2021|Quality Investing, Research Insights, Factor Investing, Larry Swedroe, Value Investing Research|

The existence of a quality premium in stocks that has been persistent over time, pervasive around the globe, and robust to various definitions have been well documented by studies such as “Buffett’s Alpha,” “Global Return [...]

A Review of Ben Graham’s Famous Value Investing Strategy: “Net-Nets”

By |January 26th, 2021|Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Value Investing Research|

Benjamin Graham, often considered a strong candidate for "the father of quantitative value investing", developed an investment strategy that involved purchasing securities for less than their “current-asset value”, “a rough index of the liquidating value”. [...]

Mutual fund investments in private firms

By |January 25th, 2021|Private Equity, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Mutual fund investments in private firms Sungjoung Kwon, Michelle Lowry, Yiming QianJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Is the Market Getting more Efficient?

By |January 22nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Active and Passive Investing|

Another Alpha Opportunity Bites the Dust In 1998, Charles Ellis wrote “Winning the Loser’s Game,” in which he presented evidence that while it is possible to generate alpha and win the game of active management, [...]

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