The Research and Development Factor
The higher returns to high R&D stocks represent compensation for heightened systematic risk not captured in standard asset pricing models.
The higher returns to high R&D stocks represent compensation for heightened systematic risk not captured in standard asset pricing models.
Cryptocurrency and the various forms of infrastructure are currently in a stage of rapid innovation. If the manipulation embedded in PADs is widespread then the confidence in and integrity of the crypto market will suffer.
The continued popularity of sustainable strategies could create sufficient cash flows to offset the risk premium in the lower-scoring stocks, at least until an equilibrium is reached.
Trend follower nerd alert: This study is important because it offers a comprehensive analysis of TS momentum strategies, its unifying framework that links performance to underlying variables, and its practical implications for investors seeking to enhance their understanding of momentum investing and improve their portfolio performance.
The correlation between stocks and bonds should be a critical component of any asset allocation decision, as it impacts not only the overall risk of a diversified multi-asset class portfolio but also the risk premia one should expect to receive for taking risk in different asset classes. The problem for investors is that the correlation between stocks and bonds fluctuates extensively across time and economic regimes.
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
Short term return anomalies are generally dismissed in the academic literature "because they seemingly do not survive after accounting for market frictions.” In this research, short term “factors” are taken seriously and the authors argue the standard parameters may not apply for short horizons.
Investment predicts returns because, given expected profitability, high costs of capital imply low net present value of new capital and low investment, and low costs of capital imply high net present value of new capital and high investment.
Full exposure to domestic equities. Full exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
The findings from this Hidden Markov Model analysis provide policymakers with valuable insights into the nature and behavior of inflation regimes. This information can inform the design and implementation of monetary, fiscal, and regulatory policies to effectively manage inflation, stabilize the economy, and promote sustainable economic growth.
Wall Street’s product machine is continuously pumping out fairy tales; structured products should be avoided.
This piece outlines the high-level benefits of the ETF structure, which boils down to market access, tax efficiency, and transparency. It covers the considerations for a 351 tax-free conversion and the mechanics and tax consequences of a 351 conversion.
Factor seasonality reflects its own stock-level equivalent. It is not an independent risk factor.
It is important to diversify the risks of private equity. This is best achieved by investing indirectly through a private equity fund rather than through direct investments in individual companies. Because most such funds typically limit their investments to a relatively small number, it is also prudent to diversify by investing in more than one fund. Unfortunately, the evidence we reviewed suggests that diversifying by investing in LPEs is not an effective strategy. And finally, top-notch funds are likely closed to most individual investors.
This article provides insights into the behavior of depositors and the role of large banks during a banking crisis, offering valuable implications for policymakers, regulators, and researchers in the field of banking and finance.
There are various measures of value and quality, with one being Marx’s gross profits-to-assets.
In this episode host Belle Osvath, CFP® talks with Dr. Wesley Gray the founder of ETF Architect and Alpha Architect, about how advisors can create their own ETFs which can be used to help manage client funds and taxes. They discuss the creation process, the cost, and what type of advisory practice would benefit the most from their own ETF.
The following factor performance modules have been updated on our Index website.
The traditional financial theory attributes security returns to market- or factor-based risk, with no role ascribed to other influences. In this research, the authors argue for including investor demand as an additional variable in explaining returns. Can changes in investor demand generate systematic changes in security returns?
The empirical evidence demonstrates that returns to the low-beta anomaly are well explained by exposure to other common factors, and it has only justified investment when low-beta stocks were in the value regime, after periods of strong market and small-cap stock performance, and when they excluded high-beta stocks that had low short interest.