When Short Sellers and Corporate Insiders Agree on Stock Pricing Chune Young Chung, Hong Kee Sul, and Kainan WangJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
Early last week, Meb Faber included me on a conversation on buying stocks trading at 10x their company's revenue (sales). Is this a good idea and how did it do in the past? Given that [...]
We did it. We democratized quant for one more year. Last year, we suffered through a 50% drawdown in attendance due to a perfectly timed snow storm. This year the weather cooperated with us and [...]
Tax-Managed Factor Strategies Lisa R. Goldberg , Pete Hand , and Taotao CaiFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
In this week's episode, we cover four articles published on our site. The first article, written by Ryan, examines the growth in assets of ETFs and Mutual Funds. The second article, summarized by Elisabetta, examines [...]
The financial equivalent of the famous Miller Lite, “tastes great, less filling” debate is the debate between traditional financial economics which uses risk theories to explain asset pricing and the newer behavioral finance field that [...]
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 [...]
Here is a link to our podcast on "The 15 Minute Financial Advisor" Show: Ryan Kirlin knows ETFs. He used to work at the New York Stock Exchange, helping ETF companies launch their funds on [...]
In this week's video, we discuss three posts. The first post discusses the new index analysis section on our site. The second post, written by Tommi, uses Hedge Funds' past performance to identify if one [...]
Peter Thiel has this quote to open his book Zero to One: Every moment in business happens only once. The next Bill Gates will not build an operating system. The next Larry Page or Sergey [...]
Family Descent as a Signal of Managerial Quality: Evidence from Mutual Funds Oleg Chuprinin and Denis Sosyura Review of Financial Studies, 2018 A version of this paper can be found here Want to read our summaries of academic [...]
Executive Summary • Tax loss harvesting is widely promoted, but we think the benefits are generally misunderstood and often overstated.[ref]a recent paper highlighted by Wes on twitter comes to a similar conclusion. Here is a [...]
What follows is a basic discussion on our long-only Focused Value and Momentum Factor Indexes. Additional information on these Indexes, as well as our alternative and tactical indexes, are available on our Index site.[ref]free to [...]
Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions Zheng Sun, Ashley W. Wang, and Lu Zheng Journal of Financial and Quantitative Analysis A version of this paper can be [...]
In this week's post, we discuss two posts. The first post, written by Elisabetta, examines a new method attempting to directly measure aggregate investor overconfidence. The second post, written by Larry Swedroe, examines issues that [...]
We are creating a series of long-form educational videos that present materials often covered in our white papers. The intent of these videos is make our content more accessible to visual learners. The video below [...]
For those interested in the literature on factor-based investing, a new paper by Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani Linnainmaa, “Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing,” focuses on why, [...]
In this week's post, I discuss three papers. The first examines a new factor, the Cash Conversion Cycle--while most are discounting factors in the new "Factor Zoo" world, this is definitely an interesting factor to [...]
Aggregate Investor Confidence in the Stock Market Christoph Meier Journal of Behavioral Finance, 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research [...]
In 1921, University of Chicago Professor Frank Knight wrote the classic book “Risk, Uncertainty, and Profit.” An article from the Library of Economics and Liberty described Knight’s definitions of risk and uncertainty as follows: Risk [...]
