Research Insights

//Research Insights

Explaining the Value Effect in Emerging Markets

By | 2018-02-21T07:36:22+00:00 February 21st, 2018|Academic Research Insight, Research Insights, Value Investing Research|

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

By | 2018-02-20T11:52:40+00:00 February 20th, 2018|Basilico, Academic Research Insight|

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 [...]

Short Sellers Profitably Trade Prior to Credit Rating Agency Announcements

By | 2018-02-12T08:34:41+00:00 February 12th, 2018|Basilico, Academic Research Insight, Research Insights|

Are Short Sellers Informed? Evidence from Credit Rating Agency Announcements Jian Shi, Junbo Wang, Ting Zhang Journal of Financial Research A version of this paper can be found here Want to read our summaries of [...]

Time Series Momentum (aka Trend-Following): A Good Time for a Refresh

By | 2018-02-09T10:57:32+00:00 February 8th, 2018|Trend Following, Research Insights, Momentum Investing Research, Managed Futures Research|

Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess returns. Time-series momentum, also called trend momentum or trend-following, is measured by a portfolio which [...]

The End of 60/40? The Case for Diversified Value, Momentum, and Carry Risk Exposures

By | 2018-02-06T08:32:03+00:00 February 6th, 2018|Basilico, Academic Research Insight, Research Insights|

Hobbled by Benchmarks Mike Aked, Rob Arnott, Omid Shakernia, Jonathan Treussard Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic [...]

An Inside Look at How ETF Firms are Competing. Hint: Price Isn’t Everything

By | 2018-01-31T10:05:35+00:00 January 31st, 2018|Research Insights, ETF Investing|

Morgan Housel had a post on the idea of conflicting skill sets. Morgan makes the following comment: F. Scott Fitzgerald said intelligence is "the ability to hold two opposing ideas in your head at the [...]

Monetary Policy Rate Uncertainty Predicts Higher Equity Volatility

By | 2018-01-29T08:46:33+00:00 January 29th, 2018|Basilico, Academic Research Insight, Research Insights|

Volatility in equity markets and monetary policy rate uncertainty Iryna Kaminska and Matt Roberts-Sklar Journal of Empirical Finance A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

A Quantitative Strategy for Enhancing Merger Arbitrage

By | 2018-01-25T21:31:25+00:00 January 25th, 2018|Research Insights, Guest Posts|

Merger arbitrage, sometimes known as "risk arbitrage," is an investing strategy in which the investor bets on announced M&A deals. After a merger is announced, shares of the target tend to trade below the offered [...]

Academic Research Insight: Results on Financial Misconduct Depend on the Database One Uses

By | 2018-01-22T05:18:01+00:00 January 22nd, 2018|Basilico, Academic Research Insight, Research Insights|

Proxies and Databases in Financial Misconduct Research Jonathan M. Karpoff, Allison Koester, D. Scott Lee and Gerald S. Martin The Accounting Review A version of this paper can be found here Want to read our summaries [...]

Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?

By | 2018-01-19T17:34:43+00:00 January 19th, 2018|Factor Investing, Guest Posts, Value Investing Research, Momentum Investing Research|

 Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on the topic, all with different viewpoints: Alpha Architect's take AQR's take [...]

The Mother of All Momentum Research Reports. A Must Read!

By | 2018-01-17T12:20:18+00:00 January 18th, 2018|Momentum Investing Research|

J.P. Morgan researchers, Marko Kolanovic and Zhen Wei, produced an incredibly detailed report on all aspects of momentum (one of our favorite topics!) Here is a link to the report 188 pages of pure effort [...]

Academic Research Insight: Surprise! Seeking Alpha Opinions Have Investment Value

By | 2018-01-16T11:56:26+00:00 January 16th, 2018|Basilico, Academic Research Insight|

Wisdom of the Crowds: The Value of Stock Opinions Transmitted Through Social Media Hailiang Chen, Prabuddha De, Yu Jeffrey Hu, Byoung Hyoun Hwang Review of Financial Studies, forthcoming A version of this paper can be found here [...]

The History of ETFs: Perspectives from ETF Legends, Reggie Browne and Arlene Rockefeller

By | 2018-01-11T11:30:02+00:00 January 11th, 2018|Interviews, ETF Investing|

ETFs have grown fast, yet there are still some opponents of the structure. However, the general story by ETF opponents has changed over the past 5 to 7 years. Opponents of ETF growth have gone [...]

The Value Effect and Macroeconomic Risk

By | 2018-01-09T09:26:25+00:00 January 9th, 2018|Larry Swedroe, Research Insights, Guest Posts, Value Investing Research|

It has been well-documented that value stocks have provided higher expected returns than growth stocks. However, there is a great debate about the source of that premium: Is it risk-based or is it related to [...]

Academic Research Insight: Yes, Departing Outside Directors Are Aware of Fraud Before They Resign

By | 2018-01-09T17:20:42+00:00 January 8th, 2018|Basilico, Academic Research Insight, Research Insights|

Go Before the Whistle Blows: An Empirical Analysis of Director Turnover and Financial Fraud Yanmin Gao, Jeong-Bon Kim, Desmond Tsang, Haibin Wu Review of Accounting Studies A version of this paper can be found here Want [...]

Predicting Stock Returns Using Firm Characteristics

By | 2018-01-03T13:40:05+00:00 January 4th, 2018|Factor Investing, Research Insights|

A few weeks ago, we did a deep dive into the factors versus characteristics debate. One of the reasons we've brought up this debate is due to the fact that "factor" loadings (from regressions) are [...]

Academic Research Insight: The Importance of Financial Literacy

By | 2018-01-02T09:38:04+00:00 January 2nd, 2018|Basilico, Academic Research Insight|

Employees Financial Literacy and Retirement Plan Behavior: A Case Study Robert Clark, Annamaria Lusardi, Olivia Mitchell Economic Inquiry, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

The Tax Efficiency of Long-Short Strategies

By | 2017-12-28T07:07:09+00:00 December 28th, 2017|Larry Swedroe, Research Insights, Tax Efficient Investing|

Conventional wisdom can be defined as ideas that are so accepted that they go unquestioned. Unfortunately, conventional wisdom is often wrong. Two great examples are that millions of people once believed the conventional wisdom that [...]

The Returns to Value Strategies When Valuation Spreads Are Wide (Deep Value)

By | 2017-12-20T21:43:21+00:00 December 21st, 2017|Larry Swedroe, Research Insights, Value Investing Research, Tactical Asset Allocation Research|

The academic research has generally found valuations, such as the earnings yield (E/P) (or the CAPE 10 earnings yield) and valuation spreads, have predictive value in terms of future returns. The higher the earnings yield, [...]