Bond Investing: Reach for Safety
Yield. Within almost any asset class, investors want to know, what is the "yield" on the investment? For some investors, this is the most important and only screen used when sorting funds. Mutual fund companies [...]
ESG and Factor Investing
Thematic Indexing, Meet Smart Beta! Merging ESG into Factor Portfolios Jennifer Bender, Xiaole Sun, and Taie Wang Journal of Index Investing, 2017 A version of this paper can be found here Want to read our summaries of academic finance [...]
What the CFOs Think About the Equity Premium in 2018
Professors John Graham and Campbell Harvey consistently put out great research. One of their innovations in financial research is their annual CFO survey (we've covered this research here, here, and here, if interested). In their [...]
Systematic Investment Strategies are Hot. But What Happens Next?
Systematic Investment Strategies Daniel Giamouridis (Co-editor of FAJ) Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
Timing Country Exposure with Value: A Valuation Measure Horserace
Buy cheap. This is a motto many live by, not only in their daily lives but also in their investment philosophy. Historically, "buying cheap" stocks was a good idea (i.e., the so-called "value" premium). But [...]
How to Perform Investment Sentiment Analysis on Twitter
Company Event Popularity for Financial Markets using Twitter and Sentiment Analysis Mariana Daniel, Rui Ferreira Neves, Nuno Horta Expert Systems with Applications, 2017 A version of this paper can be found here Want to read our [...]
Investing in IPOs? Look at IPOs from Firms with More SEC Comment Letters
The oversight role of regulators: evidence from SEC comment letters in the IPO process Bing Li and Zhenbin Liu Review of Accounting Studies A version of this paper can be found here Want to read our [...]
Democratize Quant 2018 Recap and Educational Materials
This past week we had the honor of hosting the first annual "Democratize Quant Conference" with our friends at Villanova University (a link to the conference site). Despite Mother Nature's best attempts to kill our [...]
Momentum Everywhere, Including in Factors
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. In 1997, Mark [...]
Stock Buybacks are Bad? What About the Alternative — Investment
Recently there has been a fairly active discussion within the financial media on the topic of stock buybacks, or share repurchases. This is probably due to the recent tax reform, which has caused many to [...]
STEM Parents and Women in Finance
STEM Parents and Women in Finance Renee Adams, Brad Barber and Terrance Odean Financial Analyst Journal, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]
Is The US Stock Market Overvalued? Depends on which Model You ask
When stock prices reach a new high, investors start asking the question: Are stocks overvalued? To answer this question, investors have developed several alternative equity valuation models. Typically, each of these models compares the stock [...]
Do Relative-Value Strategies Beat Traditional Systematic Value Investing Strategies?
Readers often send us great questions related to different ideas on systematic value strategies. The outcome of years of back and forth with readers and internal discussions is several books and hundreds of blog posts [...]
Worried about extreme down markets? Consider formal portfolio risk models.
Do risk management practices work? Evidence from hedge funds Gavin Cassar and Joseph Gerakos Review of Accounting Studies A version of this paper can be found here. Want to read our summaries of academic finance papers? [...]
Are Long/Short Equity Strategies Worth the Fees?
High net worth individuals, university endowments, and public pension funds have heavily invested in long/short equity hedge funds. But is the long/short equity asset class benefiting investors? The pitfalls of expensive financial products are well [...]
Macroeconomic factors and Tactical Asset Allocation
Macroeconomic Dashboards for Tactical Asset Allocation David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sebastien Page, and Charles Shriver Journal of Portfolio Management, special issue A version of this paper can be found here Want to read our summaries [...]
Retail Short Sellers: Trading Skill or Insider Trading?
Informed retail investors: Evidence from retail short sales Keith Jacks Gamble and Wei Xu Journal of Empirical Finance A version of this paper can be found here Want to read our summaries of academic finance papers? [...]
Are Factors Better and More Diversifying Than Asset Classes?
Executive Summary Factor investing promises outperformance at low cost. But to add value in a portfolio, it must deliver positive risk-adjusted returns and with low correlation to existing holdings. Historically, pure factor exposures have earned [...]
Explaining the Value Effect in Emerging Markets
Explaining the Value Effect in Emerging Markets: Tangible vs Intangible Information Douglas W. Blackburn and Nusret Cakici A version of this paper can be found here. Want to read our summaries of academic finance papers? Check [...]
How to Evaluate Multi-Asset Strategies
Evaluating Multi-Asset Strategies K. Stuart Peskin Journal of Portfolio Management, special issue A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are [...]