Explaining the Performance of Low-Priced Stocks: The Penny Stock Anomaly
By Larry Swedroe|July 12th, 2024|Research Insights, Factor Investing, Larry Swedroe, Guest Posts, Other Insights, Size Investing Research|
An efficient way to improve the expected performance of an equity strategy would be to systematically exclude penny stocks, as well with high asset growth and extreme past returns, especially if they have low profitability (and exclude funds that don’t screen out such stocks).
Global Factor Performance: July 2024
By Wesley Gray, PhD|July 8th, 2024|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|
The following factor performance modules have been updated on our Index [...]
Overconfidence May Lead to Poor Emergency Planning
By Tommi Johnsen, PhD|July 8th, 2024|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight|
How does the perception of the need to hold emergency cash relate to overconfidence in one's degree of financial literacy? The answer is surprising.
Polluters Provide Higher Returns than Non-Polluters
By Larry Swedroe|July 5th, 2024|ESG, Research Insights, Larry Swedroe, Guest Posts, Other Insights|
Atilgan, Demirtas, and Gunaydin found that there has been a pollution premium for US stocks and that the premium translated into superior investment performance.
DIY Trend-Following Allocations: July 2024
By Ryan Kirlin|July 1st, 2024|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|
Full exposure to domestic equities. Full exposure to international equities. Partial exposure to REITs. Full exposure to commodities. Partial exposure to intermediate-term bonds.
How do macroeconomic announcements impact household spending?
By Elisabetta Basilico, PhD, CFA|July 1st, 2024|Research Insights, Basilico and Johnsen, Academic Research Insight, Other Insights, Behavioral Finance|
What are the primary factors contributing to the steep and persistent decline in U.S. consumption growth during the Great Financial Crisis of 2008-2009?
U.S. Companies Have Outperformed Japanese Companies, or Have They?
By Larry Swedroe|June 28th, 2024|Empirical Methods, Research Insights, Larry Swedroe, Guest Posts, Other Insights, Value Investing Research|
While both the S&P 500 and the Nikkei indices have recently hit all-time highs, the valuation and balance sheet data we have reviewed indicate that the downside risks in Japanese stocks appear to be far less than the risks in U.S. stocks. Evidence such as this helps explain why legendary investor Warren Buffett has been buying Japanese stocks.
Creating Better Factor Portfolio via AI
By Tommi Johnsen, PhD|June 24th, 2024|Transaction Costs, Empirical Methods, Factor Investing, Research Insights, Basilico and Johnsen, Academic Research Insight, AI and Machine Learning|
Trading costs, discontinuous trading, missed trades, and other frictions, along with asset management fees can cause a shortfall between live and paper portfolios. The focus of this paper is to test an effective rebalancing method that prioritizes trades with the strongest signals to capture more of the factor premia while reducing turnover and trading costs.
When Shorts Don’t Short
By Larry Swedroe|June 21st, 2024|Short Selling, Research Insights, Larry Swedroe, Other Insights, Behavioral Finance, Momentum Investing Research|
Low short positions come from positive public news, while negative news can drive average short or extremely high short positions
How to Track Retail Investor Activity in TAQ
By Elisabetta Basilico, PhD, CFA|June 17th, 2024|Research Insights, Basilico and Johnsen, Academic Research Insight, Other Insights, Behavioral Finance|
This paper explores the effectiveness of the BJZZ algorithm, developed by Boehmer, Jones, Zhang, and Zhang (2021), in identifying and signing retail trades executed off exchanges with subpenny price improvements.