Explaining the Demise of Value Investing Baruch Lev and Anup Srivastava A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]
Value and Momentum each had back to back extreme returns (five sigma) days on Monday, September 9th and Tuesday, September 10th. The Dow Jones Thematic Market Neutral Value Index (“Value”) started the week up 3.45%, [...]
Evaluating Spending Policies in a Low Return Environment Peng Wang, Laura Chapman, Steven Peterson, and Jon SpinneyFinancial Analyst Journal, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? [...]
Henry R. Oppenheimer A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Summary The study examined the performance of securities that were trading [...]
Action Item: Please let us know your trip details so we can support you as much as possible. We are a little over 3 weeks away from March for the Fallen (#MFTF). NOTE: There is [...]
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 [...]
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]
One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the [...]
What Induces Children to Save (More)? Moritz Lukas (University of Hamburg) and Markus Nöth (University of Hamburg)A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
Does Social Media Trump News? The Relative Importance of Social Media and News Based Sentiment for Market Timing Stan BeckersJournal of Portfolio Management, Winter 2019A version of this paper can be found hereWant to read our [...]
One of the most well known and most beloved forms of literature is the fairy tale. Although most fairy tales are not about fairies, they are fictitious and highly fanciful tales of legendary deeds and [...]
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]
The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same underlying asset. This has created a profit opportunity for volatility [...]
I'd argue that a typical investor believes the following--In the past and over the long run, stocks outperformed bonds.[ref]and definitely beat cash![/ref] However, as highlighted here, an academic paper last year shows that the majority [...]
Risk and Investment Horizon: Is Time Really Money? Ekaterina E. Emm and Ruben C. TrevinoJournal of Investing, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
I’m 34. I have some savings (long-term investments), earn a respectable living, and am comfortable—and happy—spending modestly relative to income. I have a simple balance sheet and no debt. I don’t ever want to fully [...]
One of the more popular equity strategies over the past decade is low volatility investing. Simply put, this is a systematic strategy that invests in stocks with lower volatility, either measured by Beta or standard [...]
Is High Active Share Always Good? Giuliano De Rossi and Gurvinder BrarThe Journal of Asset ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
In this week's post, we discuss two articles. The first article examines the financial performance of collectibles, such as Cars, Wine, and Art. The second article examines PMI and its impact on factor performance. [...]
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 [...]
