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 [...]
Does the Fed Impact Stock Prices? McDonald, Puleo and Shadmani Journal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]
When Equity Factors Drop Their Shorts David Blitz, Guido Baltussen, and Pim van VlietWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
There is a substantial body of evidence linking various accounting ratios to expected stock returns. One explanation of the links is that they could be explained by the accounting ratios being associated with systematic sources [...]
And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub SzczygielskiJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]
Recently I was invited to talk with Stig and Preston on The Investor's Podcast. I thank them for the opportunity and enjoyed the conversation! Below are some of the topics we discussed: What is factor [...]
Over the past decade academics and practitioners alike have argued that multi-factor portfolios offer significant benefits to investors looking for enhanced and more diversified solutions. Among the papers making this argument is “The Death of [...]
There has been abundant discussion regarding the utility of dividends.Here are a few examples: dividends, dividends, and more dividends...and Jon See'ds piece on buybacks, if you'd like to go down that rabbit hole. Many [...]
Lowering Portfolio Risk with Corporate Social Responsibility Clark, Krieger, and MauckJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]
Editor's note: Earlier this week, Lu Zhang discussed his thoughts on the investment factor and expected returns. In this piece, Larry discusses a recent research piece that tells a different side of the story. We [...]
A new DFA article by Rizova and Saito (2019, “Investment and Expected Stock Returns”) Sadly this article is currently only available to clients of Dimensional Fund Advisers rehashes previous arguments in Fama and French [...]
Are Early Stage Investors Biased Against Women? Michael Ewens and Richard TownsendJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
The collapse in interest rates, combined with historically high valuations (at least for U.S. stocks), have led many endowments, pension plans (especially those with large unfunded liabilities) and high net worth investors (such as those [...]
The Truth About the Panic of 2008 (And the Botched Regulatory Response) Ask 100 Americans what caused the 2008 financial crisis, and 99 will supply some version of the “Standard Narrative.” That is, they will [...]
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 [...]
Responsible Investing: The Environmental, Social, and Governance (ESG) - Efficient Frontier Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz PomorskiWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]
Here is a link to our podcast on "Rational Reminder": Today we are joined by Wesley Gray who is the CEO of Alpha Architect, a firm in the US that specializes in concentrated factor strategies. [...]
What is the relationship between insider trades and anomalies? Anginer, Hoberg and SeyhunA version of the paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]
Here is a link to the podcast on Jacek Lampert's System Trader Show. On the podcast, we discuss a few topics (among others): Market AnomaliesTactical Asset AllocationMomentumSystematic Approached to Investing Enjoy!
The Size Premium in Equity Markets: Where Is the Risk? Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, and Jean-Philippe BouchaudJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries [...]
