Do Short-Term Factor Strategies Survive Transaction Costs?
Short term return anomalies are generally dismissed in the academic literature "because they seemingly do not survive after accounting for market frictions.” In this research, short term “factors” are taken seriously and the authors argue the standard parameters may not apply for short horizons.
Dissecting the Investment Factor
Investment predicts returns because, given expected profitability, high costs of capital imply low net present value of new capital and low investment, and low costs of capital imply high net present value of new capital and high investment.
DIY Trend-Following Allocations: September 2023
Full exposure to domestic equities. Full exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
The Determinants of Inflation
The findings from this Hidden Markov Model analysis provide policymakers with valuable insights into the nature and behavior of inflation regimes. This information can inform the design and implementation of monetary, fiscal, and regulatory policies to effectively manage inflation, stabilize the economy, and promote sustainable economic growth.
Structured Notes Are Financial Fairy Tales
Wall Street’s product machine is continuously pumping out fairy tales; structured products should be avoided.
The case for the tax-free conversion of SMAs into an ETF via Section 351
This piece outlines the high-level benefits of the ETF structure, which boils down to market access, tax efficiency, and transparency. It covers the considerations for a 351 tax-free conversion and the mechanics and tax consequences of a 351 conversion.
Evidence supporting factor-based seasonalities
Factor seasonality reflects its own stock-level equivalent. It is not an independent risk factor.
The Performance of Listed Private Equity
It is important to diversify the risks of private equity. This is best achieved by investing indirectly through a private equity fund rather than through direct investments in individual companies. Because most such funds typically limit their investments to a relatively small number, it is also prudent to diversify by investing in more than one fund. Unfortunately, the evidence we reviewed suggests that diversifying by investing in LPEs is not an effective strategy. And finally, top-notch funds are likely closed to most individual investors.
Flight to Safety in the Regional Bank Crisis of 2023
This article provides insights into the behavior of depositors and the role of large banks during a banking crisis, offering valuable implications for policymakers, regulators, and researchers in the field of banking and finance.
Value and Profitability/Quality: Complementary Factors
There are various measures of value and quality, with one being Marx’s gross profits-to-assets.