The Impact of ESG Scores on Asset Prices

By |October 14th, 2021|ESG, Research Insights, Larry Swedroe, Academic Research Insight|

Sustainable investing has grown substantially in recent years, demonstrating that investor demand can be driven by nonfinancial issues such as environmental (E), social (S), and governance (G) characteristics. A full list of our posts on [...]

Global Factor Performance: October 2021

By |October 12th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Do Big Value Spreads Mean Big Returns to Value Strategies?

By |October 11th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

ETF Liquidity Risks? A Discussion

By |October 7th, 2021|Research Insights, Larry Swedroe, Academic Research Insight, ETF Investing|

Because of the complexity inherent to ETF trading in the secondary market, there are frequent misunderstandings about the relationship between the liquidity of the underlying securities and the liquidity of ETFs.  Sometimes we hear that [...]

DIY Asset Allocation Weights: October 2021

By |October 4th, 2021|Index Updates, Research Insights, Tool Updates, Tactical Asset Allocation Research|

Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you want to access the site directly. Exposure Highlights (bold implies [...]

Studying Financial Idea “Infection Rates”

By |October 4th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

The rate of communication Huang, Hwang and LouJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the [...]

Value Investing and Intangibles

By |September 30th, 2021|Intangibles, Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?,” have investigated the impact on U.S. value strategies of [...]

Macro risks and the term structure of interest rates

By |September 27th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Fixed Income, Macroeconomics Research|

Macro risks and the term structure of interest rates Bekaert, Engstrom, ErmolovJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Crowding and Factor Premiums

By |September 23rd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

My March 23, 2021, article for Alpha Architect addressed the issue that in recent years the field of empirical finance has faced challenges from papers arguing that there is a replication crisis because the majority of studies [...]

Jack Discusses Value Investing on Meb Faber Show

By |September 22nd, 2021|Factor Investing, Podcasts and Video, Tax Efficient Investing, ETF Investing|

Here is a link to our recent chat on The Meb Faber Show regarding the details on Value Investing: An Examination of the 1,000 Largest Firms: Among stock investors, a common strategy/belief held is Value [...]

ESG Ratings are Noisy. Buyer Beware.

By |September 20th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

Aggregate Confusion: The divergence of ESG ratings Florian Berg, Julian F. Koelbel, and Roberto RigobonMIT Working PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Is Currency Momentum Factor Momentum?

By |September 16th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

A large body of evidence, including the studies “Is There Momentum in Factor Premia? Evidence from International Equity Markets,” Factor Momentum Everywhere (Summary)” and “Factor Momentum and the Momentum Factor,” has demonstrated that momentum exists [...]

Impact Investing: When Finance Meets Psycology

By |September 13th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Impact Investing: Killing Two Birds with One Stone? Caseau and GrolleauFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Is The Value Premium Smaller Than We Thought?

By |September 9th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research, Momentum Investing Research|

From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many investors jumped to the conclusion that the value premium was [...]

Global Factor Performance: September 2021

By |September 9th, 2021|Index Updates, Research Insights, Factor Investing, Tool Updates, Tactical Asset Allocation Research|

The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads

Do Cryptocurrencies Improve Portfolio Diversification?

By |September 7th, 2021|Crypto, Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Role of Cryptocurrencies in Investor Portfolios Megan Czasonis, Mark Kritzman, Baykan Pamir, and David TurkingtonMIT Sloan School Working Paper 6418-21A version of this paper can be found hereWant to read our summaries of academic finance [...]

How to Start an ETF with Meb, Patrick, and Wes

By |September 6th, 2021|Factor Investing, Podcasts and Video, Tax Efficient Investing, ETF Investing|

Here is a link to our recent chat on The Meb Faber Show regarding the details on how to start an etf: This topic is up your alley, feel free to go back and listen [...]

Factor Timing Is Tempting

By |September 2nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, Arnav Sheth, and Tee Lim, authors of the December 2017 study “Fama-French Factors and Business Cycles,” examined [...]

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