Academic Finance Research and Insights

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Compound Your Knowledge Ep 29: What’s the Story Behind EBIT/TEV?

By |2020-05-19T10:48:00-04:00May 19th, 2020|Compound Your Knowledge, Research Insights, Podcasts and Video, Media, Value Investing Research|

This week we discuss Ryan's article examining the Enterprise Multiple, EBIT/TEV, or Earnings Before Interest and Taxes (EBIT) divided by the firm's Total Enterprise Value (TEV). Article Links: What's the Story Behind EBIT/TEV [...]

Trend Following the S&P 500? Some Practical Advice

By |2020-05-18T10:42:45-04:00May 18th, 2020|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500 Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasWorking Paper, Cass Business School, London and University [...]

Discussion: Managing the Costs of Passively Investing in Active Strategies

By |2020-06-05T07:40:57-04:00May 14th, 2020|Research Insights, Academic Research Insight, Active and Passive Investing|

We recently covered a paper by David Blitz that highlighted the potential problems with passively investing in "active" strategies. The research piece is great and surfaces a lot of great concepts. Like a lot of [...]

Academic Finance Research Galore. WFA Sessions Announced

By |2020-05-13T15:27:59-04:00May 13th, 2020|Research Insights, Conferences|

Attention all finance geeks. The latest and greatest from academic researchers is available for all to review. The WFA recently released their sessions. WFA is one of the more prestigious academic conferences and papers presented [...]

Machine Learning and Investing: Forecasting Fundamentals w/ Ensembles

By |2020-05-13T10:20:28-04:00May 13th, 2020|Research Insights, Guest Posts, Academic Research Insight, Machine Learning|

Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements of risk and/or systematic mispricing. However, what if we could [...]

Skulls, Financial Turbulence and Risk Management

By |2020-05-11T11:28:49-04:00May 11th, 2020|Volatility (e.g., VIX), Research Insights, Basilico and Johnsen, Academic Research Insight|

Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the Research Questions When hunting [...]

Absolute Value Versus Relative Value: A Quick Note on the Value Debate

By |2020-05-11T11:05:52-04:00May 11th, 2020|Factor Investing, Value Investing Research|

We've saw a spike in questions the last few days related to the various "value is really cheap posts" coming into the mainstream. This conversation was elevated after Cliff Asness posted the best piece of [...]

The Size Effect in Multifactor Portfolios

By |2020-05-11T09:00:07-04:00May 7th, 2020|Research Insights, Size Investing Research|

The lack of a statistically significant size premium in the U.S. since the publication of Rolf Banz’s 1981 paper, “The Relationship Between Return and Market Value of Common Stocks,” published in the Journal of Financial [...]

Cheap vs. Expensive Factors: Does Valuation Matter for Future Returns?

By |2020-05-05T08:28:30-04:00May 5th, 2020|Research Insights, Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research, Low Volatility Investing|

Tesla (TSLA) breached the $100 billion market capitalization in January 2020 and became the most valuable car manufacturer globally. However, valuing the company is challenging given the growth profile, complexity of the business, and erratic [...]

Why Passively Investing in Active Methods May Not Work.

By |2020-05-04T10:49:16-04:00May 4th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Are Passive Investing Techniques Efficient for Active Strategies? David BlitzJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

DIY Asset Allocation Weights: May 2020

By |2020-05-04T09:23:10-04:00May 4th, 2020|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

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 [...]

Ways to Measure Extreme Downside Risk

By |2020-04-27T10:54:04-04:00April 27th, 2020|Crisis Alpha, Research Insights, Basilico and Johnsen, Academic Research Insight|

Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Trend Following is Everywhere

By |2020-04-22T09:50:30-04:00April 23rd, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following|

Similar to some better-known factors, such as size and value, time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. For the less familiar with trend following it's worth your time to review Alpha Architects white [...]

How to Compute Active Share

By |2020-04-21T18:52:36-04:00April 21st, 2020|Compound Your Knowledge, Research Insights, Podcasts and Video, Media, Academic Research Insight, Tool How-To-Guides, ETF Investing|

In the short video below, I show how to compute Active Share. The accompanying excel file with the formulas can be found here. I start by computing the active share for two hypothetical funds, and [...]

Estimating Pandemic Economic Costs for “Face-to-Face” Businesses

By |2020-04-20T10:44:21-04:00April 20th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Business disruptions from social distancing Miklós Koren and Rita PetoCovid Economics, Center for Economic Policy ResearchA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Dividends, Stock Prices, and Inflation.

By |2020-04-17T11:39:57-04:00April 17th, 2020|Dividends and Buybacks, Factor Investing, Guest Posts|

Building on the concepts presented in my Dividends Are Different article, here we present data and observations highlighting the relationship between inflation and 1) company fundamentals, 2) dividends, and 3) stock market movements.It may be [...]

Attention Data Geeks: Our Factor Investing Data Library is Open

By |2020-04-17T11:45:42-04:00April 17th, 2020|Research Insights, Tool Updates|

Are you doing independent factor research? Have you spent countless hours on Ken French's website? Do you run factor regressions for "fun"? Congrats -- you are officially a finance geek and you will probably benefit [...]

Is There a Tail Risk Premium in Stocks?

By |2020-04-15T08:36:40-04:00April 16th, 2020|Crisis Alpha, Research Insights, Factor Investing, Larry Swedroe|

It has been well documented both that stock returns have much fatter tails than a normal distribution would generate, and that tail events occur much more frequently than a normal curve would predict.editor's note: This [...]

How Cheap (or Expensive) Are Value Stocks?

By |2020-04-14T09:34:57-04:00April 14th, 2020|Research Insights, Value Investing Research, Tactical Asset Allocation Research|

What are the two most annoying words in forecasting? IT DEPENDS. In this piece we look at the "value" of value, which has been beaten down recently. A few questions arise in this scenario: How [...]

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