Academic Research Insight

///Academic Research Insight

The Failure of Value Investing explained

By |2019-09-16T11:35:38-04:00September 16th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Explaining the Demise of Value Investing Baruch Lev and Anup Srivastava A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Spending Policies in a Low Return Environment

By |2019-09-04T07:56:34-04:00September 9th, 2019|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight|

Evaluating Spending Policies in a Low Return Environment Peng Wang,  Laura Chapman, Steven Peterson, and Jon SpinneyFinancial Analyst Journal, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

An Analysis of “Benjamin Graham’s Net Current Asset Values: A Performance Update”

By |2019-09-06T08:51:11-04:00September 5th, 2019|Research Insights, Academic Research Insight, Value Investing Research|

Henry R. Oppenheimer A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Summary The study examined the performance of securities that were trading [...]

Crisis proof your portfolio: part 2/2

By |2019-09-03T09:35:34-04:00September 3rd, 2019|Quality Investing, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]

Can We Explain the Low Volatility Anomaly?

By |2019-08-22T09:12:16-04:00August 29th, 2019|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Low Volatility Investing, Active and Passive Investing|

One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the [...]

Social Media, News Based Sentiment, and Market Timing

By |2019-08-26T08:32:29-04:00August 26th, 2019|Basilico and Johnsen, Academic Research Insight|

Does Social Media Trump News? The Relative Importance of Social Media and News Based Sentiment for Market Timing Stan BeckersJournal of Portfolio Management, Winter 2019A version of this paper can be found hereWant to read our [...]

Crisis Proof Your Portfolio: part 1/2

By |2019-08-20T11:00:42-04:00August 20th, 2019|Quality Investing, Crisis Alpha, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]

Do Most Individual Stocks Outperform Cash? No.

By |2019-08-02T18:04:32-04:00August 13th, 2019|Research Insights, Academic Research Insight|

I'd argue that a typical investor believes the following--In the past and over the long run, stocks outperformed bonds.[ref]and definitely beat cash![/ref] However, as highlighted here, an academic paper last year shows that the majority [...]

No Skill? Well, Active Share Won’t Save You!

By |2019-07-28T12:26:24-04:00August 5th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Is High Active Share Always Good? Giuliano De Rossi and Gurvinder BrarThe Journal of Asset ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Financial Advice and Bank Profits

By |2019-07-31T09:29:34-04:00July 29th, 2019|Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Financial Advice and Bank Profits Daniel Hoechle, Stefan Ruenzi,Nic Schaub, Markus Schmid Review of Financial Studies, November 2018 Versions of this paper can be found here and here. Want to read our summaries of academic finance papers? [...]

Research on the Financial Performance of Collectibles

By |2019-07-22T12:41:52-04:00July 22nd, 2019|Basilico and Johnsen, Academic Research Insight|

When Rationality Meets Passion: on the Financial Performance of Collectibles Philippe Masset and Jean-Philippe WeisskopfJournal of Alternative Investments, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Pathetic Protection via Protective Puts

By |2019-07-12T13:14:02-04:00July 15th, 2019|Crisis Alpha, Factor Investing, Basilico and Johnsen, Academic Research Insight, Managed Futures Research|

Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A 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 [...]

Fact, Fiction, and the Size Effect

By |2019-07-07T11:21:15-04:00July 8th, 2019|Factor Investing, Basilico and Johnsen, Academic Research Insight, Size Investing Research|

Fact, Fiction and the Size Effect Ron Alquist, Ronen Israel, And Tobias MoskowitzJournal of Portfolio Management, 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Debunking myths about stock buybacks

By |2019-06-28T09:10:06-04:00July 1st, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Buyback Derangement Syndrome Clifford Asness, Todd Hazelkorn, And Scott Richardson Journal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

The Curse of Popularity

By |2019-06-20T08:28:54-04:00June 20th, 2019|Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance|

We can define popularity as the condition of being admired, sought after, well-known, and/or accepted. One would think popularity is a good thing. However, when it comes to investing, the research shows that along with [...]

Fama French Factors and ESG: The Good Minus Bad Factor

By |2019-06-17T08:27:56-04:00June 17th, 2019|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

Integrating ESG in Portfolio Construction Roy Henriksson, Joshua Livnat, Patrick Pfeifer, and Margaret StumppJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Passive Sustainable Funds

By |2019-06-10T07:41:26-04:00June 10th, 2019|ESG, Basilico and Johnsen, Academic Research Insight|

Passive Sustainable Funds: the Global Landscape Hortense Bioy and Kenneth LamontThe Journal of Index Investing, 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]

Is factor momentum really everywhere?

By |2019-06-03T11:16:20-04:00June 3rd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Factor Momentum Everywhere Tarun Gupta  and Bryan KellyJournal of Portfolio ManagementA 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 [...]

News Sentiment and Bonds

By |2019-05-28T13:25:20-04:00May 28th, 2019|Basilico and Johnsen, Academic Research Insight, Fixed Income|

Investing in US 10-year Yields with News Sentiment Nina Gotthelf and Matthias W. UhlJournal of Investing, Winter 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]