Academic Finance Research and Insights

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Combining Value and Profitability Factors to Improve Performance

By |2020-10-26T09:57:45-04:00October 29th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Prior Research on Value and Profitability Factors The 1997 publication of Mark Carhart’s paper “On Persistence in Mutual Fund Performance” led to the four-factor model, which added momentum to market beta, size, and value, becoming [...]

Does Portfolio Timing Based on Volatility Signals Outperform Buy and Hold?

By |2020-10-26T08:51:01-04:00October 26th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing, Tactical Asset Allocation Research|

On the Performance of Volatility-Managed Portfolios Scott Cederburg, Michael S. O’Doherty, Feifei Wang, Xuemin (Sterling) YanJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Building Factor Portfolios Based with the Lowest Correlations

By |2020-10-19T15:14:31-04:00October 22nd, 2020|Skewness, Research Insights, Factor Investing, Guest Posts|

INTRODUCTION The two basic rules of asset allocation are: i) identify assets with positive expected payoffs, and ii) ensure that the assets are not too highly correlated, so that diversification benefits can be harvested. Although [...]

Can A Computer Read Employee Emails and Detect Fraud?

By |2020-10-19T09:28:09-04:00October 19th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Investment Advisor Education, Machine Learning|

Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News S.R. Das, S. Kim, B. KothariJournal of Financial Data Science, Spring 2019A version of this paper can be found hereWant to read our summaries [...]

Equity Trend Following Performance Around the Globe

By |2020-10-15T10:52:15-04:00October 15th, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Other Insights|

Time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. Also called trend following, it is measured by a portfolio that is long assets that have had recent positive returns and short assets that have had [...]

News and its Impact on Risk and Returns Around the World

By |2020-10-12T10:34:20-04:00October 12th, 2020|Research Insights, Machine Learning, Macroeconomics Research|

How news and its context drive risk and returns around the world Charles Calomiris and Harry MamayskyJournal of Financial Economics, August 2019A version of this paper can be found here.Want to read our summaries of academic [...]

Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.

By |2020-10-09T09:08:49-04:00October 8th, 2020|Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Value Investing Research|

Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers in 2000, offering a simple yet powerful [...]

Institutional Investment Strategies: Keep it Simple

By |2020-10-05T09:41:39-04:00October 5th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, ETF Investing|

Institutional Investment Strategy and Manager Choice: A Critique Richard M. EnnisJournal of Portfolio Management A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

DIY Asset Allocation Weights: October 2020

By |2020-10-01T17:18:45-04:00October 2nd, 2020|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 [...]

Lottery Preferences and Their Relationship with Factor Investing

By |2020-09-28T13:19:43-04:00October 1st, 2020|Skewness, Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance, Low Volatility Investing|

Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, and they care only about the mean and variance of [...]

ETFs and Mutual Funds Should Pay More Attention to Their Investor Base

By |2020-09-28T09:55:28-04:00September 28th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Investor-Stock Decoupling in Mutual Funds Miguel A. Ferreira, Massimo Massa, Pedro MatosManagement Science, forthcomingA version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

How To Design Machine Learning Models – A Market Timing Example

By |2020-09-08T07:56:00-04:00September 24th, 2020|Research Insights, Factor Investing, Guest Posts, Machine Learning, Tactical Asset Allocation Research|

We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair to say that machine learning hasn’t received mass adoption in [...]

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?

By |2020-09-22T11:11:37-04:00September 21st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]

Accruals and Momentum and Their Implications for Factor Investors

By |2020-09-02T14:41:24-04:00September 17th, 2020|Research Insights, Factor Investing, Larry Swedroe, Other Insights, Momentum Investing Research|

The price momentum and accruals (the difference between accounting earnings and cash flows—adjustments made for revenue that has been earned but not received, and costs that have been incurred but not paid) anomalies are two [...]

Can the Best Stock Pickers Still Beat the Market? An Out of Sample Test

By |2020-09-14T08:52:06-04:00September 14th, 2020|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006) Timothy Riley and Sam WaltonCritical Review of Finance, 2019A version of this paper can be found hereWant to [...]

Can We Use the Shiller CAPE Ratio to Forecast Country Returns?

By |2020-09-30T15:05:41-04:00September 10th, 2020|Research Insights, Factor Investing, Value Investing Research, Tactical Asset Allocation Research|

Utilizing an Amended CAPE Ratio to Derive a Country's Expected Return and Develop Portfolio Rotation Between Countries Sailesh S. RadhaJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]

Predicting Bond Returns? Focus on GDP Growth and Inflation Indicators

By |2020-09-08T08:31:59-04:00September 8th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Machine Learning, Fixed Income|

Predicting Bond Returns: 70 Years of International Evidence Guido Baltussen, Martin Martens, Olaf PenningaWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

How to Optimize Fixed Annuity Tax Deferral

By |2020-08-31T15:54:42-04:00September 3rd, 2020|Financial Planning, Guest Posts, Tax Efficient Investing|

Annuities are popular tools for retirement income planning. While stigmas exist around some annuity products (for good reason), recent research shows how fixed annuities can add value in the context of retirement income. In addition [...]

DIY Asset Allocation Weights: September 2020

By |2020-09-02T10:15:34-04:00September 2nd, 2020|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 [...]

Effects of Portfolio Construction on the Performance of Style Factor ETFs

By |2020-08-31T08:50:00-04:00August 31st, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, ETF Investing|

The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says Jason MacQueenJournal of Portfolio Management A version of this paper [...]

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