Research Insights

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Academic Research Insight: Political Connections May Actually Increase SEC oversight

By | 2017-11-20T10:13:03+00:00 November 20th, 2017|Basilico, Academic Research Insight, Research Insights|

Do political connections help or hinder SEC oversight? Jonas Heese, Mozaffar Khan, Karthik Ramanna Journal of Accounting and Economics A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

Monetary Momentum

By | 2017-11-13T13:47:42+00:00 November 16th, 2017|Academic Research Insight, Research Insights, Momentum Investing Research|

On most mainstream finance websites, a good chunk of the stories discuss the FED and where interest rates are going. Intuitively, this makes sense: The FED is arguably an extremely influential component of U.S. economy. [...]

Can asset bubbles be mathematically quantified before they burst?

By | 2017-11-13T13:08:42+00:00 November 14th, 2017|Research Insights, Guest Posts, Low Volatility Investing, Macroeconomics Research|

The subject of asset bubbles and market crashes has fascinated me for more than 20 years. As an options market maker for Susquehanna International Group ("SIG"), extreme price movements were a daily source of concern. I [...]

Academic Research Insight: How to Balance Short and Long term Goals in Asset Allocation

By | 2017-11-13T08:10:47+00:00 November 13th, 2017|Basilico, Academic Research Insight|

Strategic Asset Allocation-Combining Science and Judgment to Balance Short Term and Long Term Goals Peng Wang and Jon Spinney A version of this paper can be found here Want to read our summaries of academic finance [...]

Factor Investors Beware: Positive SMB May Not Mean You Own Small-Caps

By | 2017-11-10T10:25:36+00:00 November 10th, 2017|Factor Investing, Research Insights, Size Investing Research|

Regression analysis is used all the time to assess how a portfolio "loads" on certain factors. The most common factor loadings examined are the market, size, value, and momentum factors. This can be an informative [...]

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Do Trend-following Managed Futures Increase Safe Withdrawal Rates?

By | 2017-11-08T12:09:53+00:00 November 8th, 2017|Trend Following, Research Insights, Managed Futures Research|

Andrew Miller, a regulator contributor to the blog, is passionate about the intersection of academic finance research and financial planning. We obviously love the academic finance research stuff, but our financial planning advice lacks serious [...]

Academic Research Insight: Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns

By | 2017-11-07T16:31:36+00:00 November 6th, 2017|Basilico, Research Insights|

Are we misidentifying seasonal patterns as genuine earnings news? Tom Y. Change, Samuel M. Hartzmark, David H. Solomon, Eugene F. Soltes The Review of Financial Studies A version of this paper can be found here Want [...]

Do Portfolio Factors or Characteristics Drive Expected Returns?

By | 2017-10-31T10:09:59+00:00 October 31st, 2017|Factor Investing, Research Insights, Value Investing Research|

This article examines a somewhat over-looked, but important, discussion that raged among academic researchers in the late 1990's and early 2000's. The topic: factors versus characteristics. What do you mean, "Factors versus characteristics?" We often [...]

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Academic Research Insight: Sin Stocks May Earn a “Boycott” Risk Premium

By | 2017-10-30T07:57:39+00:00 October 30th, 2017|Basilico, Academic Research Insight, Research Insights|

Social Screens and Systematic Boycott Risk H. Arthur Luo and Ronald J. Balvers Journal of Financial and Quantitative Analysis A version of this paper can be found here Want to read our summaries of academic [...]

Want to Learn More About Factor Investing? Read This.

By | 2017-10-26T10:23:15+00:00 October 26th, 2017|Factor Investing, Research Insights, Interviews, Value Investing Research, Momentum Investing Research, $mtum, $vlue|

Replicating Anomalies is arguably a "must read" for anyone who thinks about factor investing and is looking to improve their understanding of the space. Lu Zhang, and his colleagues, Kewei Hou and Chen Xue, spent [...]

Takeaways from a Non-PHD who Powered Through a 144-page Factor Investing Paper

By | 2017-10-25T15:24:19+00:00 October 25th, 2017|Factor Investing, Research Insights|

Wes recently challenged me with a unique proposition: Hey Ryan, read through this Replicating Anomalies paper and tell me what you think. Its a bit long, but I'm curious to hear your thoughts. Well, by [...]

Academic Research Insight: Stick to the Fundamentals and Discover Your Industry Peers

By | 2017-10-23T08:01:14+00:00 October 23rd, 2017|Factor Investing, Basilico, Academic Research Insight, Research Insights, Value Investing Research|

Stick to the Fundamentals and Discover Your Peers Jean Overgaard Knudsen, Simon Kold and Thomas Plenborg A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

A Potential Winner: Buying Lottery Stocks with Low Short Interest

By | 2017-10-19T09:12:40+00:00 October 20th, 2017|Academic Research Insight, Research Insights, Guest Posts|

Short Interest and Lottery Stocks Kelley Bergsma & Jitendra Tayal A version of this paper can be found here Want to read our short summaries of academic finance papers? Check out our Academic Research Insight category. What are [...]

Trend-Following: A Deep Dive Into A Unique Risk Premium

By | 2017-10-18T10:56:41+00:00 October 18th, 2017|Factor Investing, Trend Following, Research Insights|

Trend-following strategies have historically been laughed at via the modern academic finance research community. Having first-hand knowledge of that community, we can verify that academic researchers are humans like the rest of us (we checked, [...]

A Fund Flows Theory for Value and Momentum Investing

By | 2017-10-17T09:16:42+00:00 October 17th, 2017|Research Insights, Value Investing Research, Momentum Investing Research|

Value and Momentum Investing -- our two favorite factors. We talk about these phenomena on our blog all the time, and have given both rational and behavioral explanations as to why these may occur. However, very few in the finance community are direct investors into Value and Momentum securities -- the individual stocks (or bonds) themselves. Many use ETFs or mutual funds to gain access to these factors. Institutions generally do the same, either investing in hedge funds or managed accounts. This is delegated asset management, whereby one delegates the decision of the security selection onto a third-party manager. A by-product of delegation is that from time to time, the third-party manager must be assessed. While many may claim the process is most important, the performance is always taken into consideration. So what happens to a Value manager who is overweight the wrong industry? While the manager may be following the same process discussed ex-ante, the ex-post assessment may be that the manager needs to be fired due to underperformance.

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Academic Research Insight: Sentiment Feedback Strength Trading Strategy

By | 2017-10-17T06:44:16+00:00 October 16th, 2017|Basilico, Academic Research Insight, Research Insights|

Genetic programming optimization for a sentiment feedback strength based trading strategy Steve Y.Yang, Sheung Yin Kevin Mo, AnqiLiu, Andrei A.Kirilenko A version of this paper can be found here Want to read our summaries of academic [...]

Replicating Anomalies

By | 2017-11-08T11:34:27+00:00 October 13th, 2017|Factor Investing, Research Insights, Value Investing Research, Momentum Investing Research|

Academic research is amazing and incredibly useful for helping us better understand the complex world in which we live. In fact, academic research has literally rewired my brain at times. However, research isn't perfect and [...]

Dividend Capture Strategy: Trade Execution Matters

By | 2017-10-09T20:38:51+00:00 October 12th, 2017|$dtd, Research Insights, Guest Posts|

One area in investing that is often overlooked by investors is trade execution, which relates primarily to commissions, bid-ask spreads, and price impact. Yet sometimes it is trade-execution alone that can make the difference between [...]

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Academic Research Insight: Does Social Capital payoff during times of crisis in the markets?

By | 2017-10-16T08:09:37+00:00 October 9th, 2017|Basilico, Research Insights|

Title: Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis Authors: Karl V. Lins, Henri Servaes, and Ane Tamayo Publication: The Journal of Finance, Vol. LXXII, No. 4, [...]