Which Investment Factors Drive Corporate Bond Returns Turan G. Bali, Avanidhar Subrahmanyam, & Quan Wen A version of this paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic [...]
Craftsmanship Alpha: An Application to Style Investing Ronen Israel, Sarah Jiang, and Adrienne Ross Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? [...]
One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicts a positive relationship between risk and return. However, the [...]
What causes a stock's price to move? A great question, and one that puzzles most market observers every day. Since this is puzzling, it is an entertaining topic to discuss--enter CNBC and the financial media. [...]
Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 A 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 [...]
After a 226 year dry spell (!), a woman will finally serve as the president of the NYSE (article). Stacey Cunningham, the new NYSE president, is an inspirational figure and her presence in a top [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights:[ref]The information contained herein is [...]
The Impact of Market Conditions on Active Equity Management Harsh Parikh, Karen McQuiston, and Sujian Zhi Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic [...]
Here is a link to our podcast on Flirting with Models. Today I am speaking with Jack Vogel, co-CIO of boutique ETF issuer Alpha Architect. I’ve known Jack for some time now and was particularly [...]
The superior performance of low-beta and low-volatility stocks was documented in the literature back in the 1970s — by Fischer Black (in 1972) among others — even before the size and value premiums were “discovered.” [...]
Here is a link to our podcast on Behind the Markets In this episode of Behind the Markets Jeremy and Wes talk to Kate Waldock, Assistant Professor of Finance at Georgetown University and Jeff Korzenik, [...]
Are Financial Constraints Priced? Evidence from Textual Analysis Matthias Buehlmaier and Toni Withed Review of Financial Studies, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]
As a native Philadelphian and huge basketball fan, I fully agree with the 76ers fan's rally cry -- Trust the Process. Even the players, such as Joel Embiid, have echoed the sentiment of the fans: [...]
Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]
In the past, we have examined the following two topics: (1) stock performance & the 52-week high and (2) the investment CAPM. When examining the performance of stocks relative to their respective 52-week high (highlighted [...]
Commodities for the Long Run Ari Levine, Yao Hua Ooi, Matthew Richardson, Caroline Sasseville Financial Analyst Journal, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]
We believe there are cause and effect relationships in the world -- and in investing -- that hold true over time. Many are common sense and easily observable - like fire creates smoke - while [...]
Recently, Wes pointed me to this interesting paper by David Rapach, Jack Strauss, Jun Tu and Guofu Zhou: "Dynamic Return Dependencies Across Industries: A Machine Learning Approach." The paper presents a strategy that forecasts industry [...]
Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance A version of this paper can be found here Want to [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here.[ref] Create a free account here if you want to access the site directly. The link is here. [/ref] Exposure Highlights:[ref]The information contained herein is [...]
