Financial literacy and financial crime: A regression discontinuity approach
Financial crime is often treated as a matter of enforcement. People break rules, courts prosecute, and regulators respond. But in reality, financial crime can also [...]
The Impressive Markets Hypothesis: Prices Still Know the Future
Markets are not perfect. Anomalies exist. But the idea that social media and information overload have fundamentally broken the relationship between prices and business fundamentals doesn’t survive contact with 20 years of data.
Why Retail Loves SpaceX: A Puzzle with a Long History and Predictable Ending
As I'm writing this, the largest IPO in history is underway. SpaceX, which targeted a $135 IPO price, closed above $160 in its first trading day, making Elon Musk the world's first trillionaire and SpaceX the sixth largest public company in the world. Talk about a rocket ship! While the numbers are astonishing, the story is the same. Retail loves expensive stocks that tell a story.
Extrapolators and contrarians: Forecast bias and individual investor stock trading
Forecast bias is not just about stated beliefs. It shows up directly in individual stock selection.
Dividend Timing and Global Dividend Premium
Dividend-paying stocks outperform non-payers by a meaningful margin, even after controlling for traditional global and regional risk factors.
The Factor Zoo Has Hundreds of Animals — But Only a Handful of Species
Only a few truly distinct forces actually drive the market. The problem: too many factors, too little meaning.
Second Chance: Life with Less Student Debt
There is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.
Why You Bought GameStop — And Why You Lost Money On It
New academic research explains how retail investors’ own psychology turned the COVID trading boom into a wealth-destroying machine — and what it means for you. [...]
Institutions’ return expectations across assets and time
Institutional investors largely behave in line with rational asset pricing models. Yet at the same time, they strongly disagree with each other, and this disagreement has important implications for markets.
Trend-Following Filters – Part 10
1. Introduction Two previous articles, “Trend-Following Filters – Part 7” [1] and “Trend-Following Filters – Part 9” [2], examined, from a digital signal processing (DSP) [...]
What Drives Investors’ Portfolio Choices? It’s Not What You May Think
Portfolio choices are not driven by preferences alone, they are also shaped by frictions, small costs, inertia, and default options. The result is a subtle but powerful mechanism. What investors hold is not always what they want.
When Everyone Trades the Same Factor Playbook
What happens to market prices when millions of investors simultaneously follow the same mechanical rules to rebalance the same portfolios? If you allocate to factor strategies, this paper has interesting findings as to where your returns are actually coming from.
Leader-Follower Dynamics in Shareholder Activism
Activists do not need formal coordination to act together. Instead, they use market signals. Trading itself becomes a way to influence other investors. The result is a subtle but powerful mechanism.
Why the 351 Exchange Might Revolutionize Investing
The 351 exchange seems to be gaining real traction. A section 351 exchange allows investors to exchange property for shares of a new company. In the case of ETFs, investors are able to exchange their appreciated holdings for shares of a new exchange-traded fund without immediately triggering capital gains, if rules and tests are met. Still, many are wondering what the basis is for using a century-old tax rule and applying it to a modern investment wrapper. More importantly, if 351 exchanges are not tools for achieving portfolio diversification, why are they being used to seed ETFs?
Institutional Investor Attention
Funds that reallocate attention toward macro news when volatility rises perform better. Funds also pay more attention to the stocks they own, and that attention helps them make more valuable position and trading decisions.
Why Momentum Investing Has Been Struggling—And What Volatility Has to Do With It
A look at recent academic research connecting market volatility spikes to the underperformance of momentum strategies (especially for long/short versions of the strategy) The Big [...]
Should Your Mom Have Private Equity in Her 401K?
For most investors, private equity may not deliver the promised edge. There is a simpler, more liquid way to access the same economic exposure.
Rethinking Trend Following: Optimal Regime-Dependent Allocation
Most trend-following research focuses on signal construction: how to detect trends better, faster, or earlier. The paper asks a different question, and arguably a more [...]
Bank Monitoring with On-Site Inspections
This research shows that when banks closely track how projects evolve and act on new information, they can significantly reduce losses. Even more importantly, the mere presence of monitoring encourages borrowers to behave more responsibly, improving outcomes before problems even arise.
The Skip-Month Mystery: What Last Month’s Returns Are Really Telling You
New research challenges a long-standing rule in momentum investing—and reveals surprising insights about when to use it For decades, investors using momentum strategies have followed [...]