Academic Research Insight

///Academic Research Insight

Only Hedge Fund Winners in Tough Times Show Skill

By |2019-04-22T12:16:50-04:00April 22nd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions Zheng Sun, Ashley W. Wang, and Lu Zheng Journal of Financial and Quantitative Analysis A version of this paper can be [...]

Aggregate Investor Confidence in the Stock Market

By |2019-04-15T08:50:30-04:00April 15th, 2019|Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Aggregate Investor Confidence in the Stock Market Christoph Meier Journal of Behavioral Finance, 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research [...]

Investment Strategy in an Uncertain World

By |2019-04-02T08:28:43-04:00April 11th, 2019|Research Insights, Larry Swedroe, Academic Research Insight, Tactical Asset Allocation Research|

In 1921, University of Chicago Professor Frank Knight wrote the classic book “Risk, Uncertainty, and Profit.” An article from the Library of Economics and Liberty described Knight’s definitions of risk and uncertainty as follows: Risk [...]

Distracted Institutional Investors

By |2019-04-02T08:33:58-04:00April 8th, 2019|Basilico and Johnsen, Academic Research Insight|

Distracted Institutional Investors Daniel Schmidt Journal of Financial and Quantitative Analysis, forthcoming 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 [...]

Short Selling + Insider Selling = Bad News

By |2019-04-01T11:20:54-04:00April 1st, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Do Short Sellers Trade on Private Information or False Information? Amiyatosh Purnanandam and H. Nejat Seyhun Journal of Financial and Quantitative Analysis A version of this paper can be found here Want to read our summaries [...]

Industry Insiders Can Outperform the Market

By |2019-03-18T10:16:07-04:00March 18th, 2019|Basilico and Johnsen, Academic Research Insight|

Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders Itzhak Ben-David, Justin Birru and Andrea Rossi Journal of Financial Economics, forthcoming A version of this paper can be found here Want to read our [...]

Factor Investing in Practice

By |2019-03-14T08:21:47-04:00March 14th, 2019|Research Insights, Factor Investing, Academic Research Insight, Value Investing Research, Size Investing Research|

Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art Johnson for mentioning this paper![/ref] What are the research questions? [...]

Low Volatility Turnover with Value and Momentum

By |2019-03-11T10:56:52-04:00March 11th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Low Volatility Needs Little Trading Pim van Vliet 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 Research Insight [...]

Day of the Week Matters for Some Anomalies

By |2019-03-04T10:09:37-04:00March 4th, 2019|Basilico and Johnsen, Academic Research Insight|

Day of the Week and the Cross-Section of Returns Justin BirruJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Public Hedge Funds and Their Performance

By |2019-02-19T08:32:29-04:00February 18th, 2019|Basilico and Johnsen, Academic Research Insight|

Public Hedge Funds Lin Sun and Melvyn TeoJournal of Financial Economics, forthcomingA 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 [...]

How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons

By |2019-02-15T09:30:11-04:00February 11th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Size Investing Research|

Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

Manager Sentiment and Stock Returns

By |2019-02-04T11:43:16-04:00February 4th, 2019|Basilico and Johnsen, Academic Research Insight|

Manager Sentiment and Stock Returns Fuwei Jiang, Joshua Lee, Xiumin Martin, Guofu Zhou Journal of Financial Economics, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

Size and Value in China

By |2019-01-28T00:05:53-04:00January 31st, 2019|Research Insights, Guest Posts, Academic Research Insight, Value Investing Research, Size Investing Research|

Size and Value in China Jianan Liu, Rob Stambaugh, and Yu YuanJournal of Financial EconomicsA version of this paper can be found here What are the research questions? China represents the world's second largest stock market [...]

Rankings and Risk-Taking in the Finance Industry

By |2019-01-22T13:17:41-04:00January 22nd, 2019|Basilico and Johnsen, Academic Research Insight|

Rankings and Risk-Taking in the Finance Industry Michael Kirchler, Florian Lindner, and Utz WeitzelThe Journal of Finance, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Equity investing is Riskier than You Probably Expected

By |2019-01-18T11:56:43-04:00January 14th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

Herding and Mutual Fund Performance

By |2019-03-18T14:56:26-04:00January 7th, 2019|Basilico and Johnsen, Academic Research Insight|

Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance Hao Jiang and Michela VerardoThe Journal of Finance, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance [...]

Why and How Investors use ESG Information

By |2019-01-02T14:15:10-04:00January 2nd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Why and How Investors Use ESG Information: Evidence from a Global Survey Amir Amel-Zadeh and George Serafeim Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic [...]

Data Science is Revolutionizing Investment Practice

By |2018-12-17T12:54:04-04:00December 18th, 2018|Basilico and Johnsen, Academic Research Insight|

Order from Chaos: Data Science is Revolutionizing Investment Practice Joseph Simonian, Marcos Lopez de Prado, and Frank FabozziJournal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries of academic [...]

A Protocol to Prevent “Quants Gone Wild”

By |2018-12-18T10:16:08-04:00December 17th, 2018|Academic Research Insight, Machine Learning|

A Backtesting Protocol in the Era of Machine Learning Rob Arnott, Campbell Harvey, and Harry MarkowitzWorking paperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities

By |2018-12-10T10:56:30-04:00December 10th, 2018|Basilico and Johnsen, Academic Research Insight|

The Impact of Flows into Exchange Traded Funds: Volumes and Correlations Ananth Madhavan and Daniel Morillo Journal of Portfolio Management, summer 2018 A version of this paper can be found here Want to read our summaries [...]

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