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The predictability of crowding on factor strategy performance

By |2020-01-27T11:39:22-05:00January 27th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight|

The Impact of Crowding in Alternative Risk Premia Investing Nick BaltasFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Enterprise Multiples and Expected Stock Returns

By |2020-01-21T10:54:39-05:00January 21st, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Why Do Enterprise Multiples Predict Expected Stock Returns? Steve Crawford, Wesley Gray and Jack VogelJournal of Portfolio Management, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

How ESG Affects Valuation, Risk, and Performance

By |2020-01-13T10:43:46-05:00January 13th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Foundations of ESG Investing: How ESG Affects Equity Valuation, Risk, and Performance Guido Giese, Linda-Eling Lee, Dimitris Melas, Zoltán Nagy, and Laura NishikawaJournal of Portfolio ManagementA version of this paper can be found hereWant to read [...]

Quant Tools for Private Equity and Real Assets

By |2020-01-06T12:14:02-05:00January 6th, 2020|Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Covariance Matrix of Real Assets Marielle De JongThe Journal of Portfolio Management, Fall 2018A 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 Active Investing Doomed as a Negative Sum Game? A Critical Review.

By |2020-01-04T11:20:21-05:00January 2nd, 2020|Research Insights, Factor Investing, Academic Research Insight, Key Research, Active and Passive Investing|

1. Introduction In an influential piece, Sharpe (1991)Sharpe, W.F. 1991. The arithmetic of active management. Financial Analysts Journal, 47(1), pp.7-9.9 put forward the proposition that active investing must be a losing pursuit in aggregate, [...]

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method?

By |2019-12-30T11:25:44-05:00December 30th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Asset Allocation vs. Factor Allocation—Can We Build a Unified Method? Jennifer Bender, Jerry Le Sun, and Ric ThomasJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

The market impact of rebalancing factor investing strategies

By |2019-12-23T13:12:33-05:00December 23rd, 2019|Transaction Costs, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Transaction Costs of Factor-Investing Strategies Feifei Li, Tzee-Man Chow, Alex Pickard & Yadwinder GargFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Protecting the Downside of Trend When It Is Not Your Friend: Part 2/2

By |2019-12-16T12:32:08-05:00December 16th, 2019|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Protecting the Downside of Trend When It Is Not Your Friend : Part 1

By |2019-12-09T12:07:59-05:00December 9th, 2019|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Protecting the Downside of Trend When It Is Not Your Friend Kun Yang, Edward Qian, and Bran BeltonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Myth-busting: Fed Actions and Stock Prices

By |2019-12-02T08:10:24-05:00December 2nd, 2019|Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Does the Fed Impact Stock Prices? McDonald, Puleo and Shadmani Journal of Investing, February 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 Earnings Forecasts of Sell-side Analysts Biased?

By |2019-11-25T09:22:02-05:00November 26th, 2019|Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance|

There is a substantial body of evidence linking various accounting ratios to expected stock returns. One explanation of the links is that they could be explained by the accounting ratios being associated with systematic sources [...]

Enterprise Multiples and Equity Country Allocations

By |2019-11-25T08:08:33-05:00November 25th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub SzczygielskiJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Dividends are Different

By |2019-11-26T12:40:36-05:00November 20th, 2019|Dividends and Buybacks, Research Insights, Guest Posts, Academic Research Insight, Value Investing Research|

There has been abundant discussion regarding the utility of dividends.Here are a few examples: dividends, dividends, and more dividends...and Jon See'ds piece on buybacks, if you'd like to go down that rabbit hole. Many [...]

Lowering Portfolio Risk with Corporate Social Responsability

By |2019-11-18T08:53:57-05:00November 18th, 2019|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Lowering Portfolio Risk with Corporate Social Responsibility Clark, Krieger, and MauckJournal of Investing, February 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 [...]

The Investment Factor and Expected Returns

By |2019-11-18T14:15:00-05:00November 14th, 2019|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

Editor's note: Earlier this week, Lu Zhang discussed his thoughts on the investment factor and expected returns. In this piece, Larry discusses a recent research piece that tells a different side of the story. We [...]

Investment, Expected Investment, and Expected Stock Returns

By |2019-11-11T08:57:30-05:00November 12th, 2019|Research Insights, Factor Investing, Academic Research Insight|

A new DFA article by Rizova and Saito (2019, “Investment and Expected Stock Returns”) Sadly this article is currently only available to clients of Dimensional Fund Advisers rehashes previous arguments in Fama and French [...]

Are Early Stage Investors Biased Against Women?

By |2019-11-11T07:59:16-05:00November 11th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Are Early Stage Investors Biased Against Women? Michael Ewens and Richard TownsendJournal 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 [...]

Costs and Benefits of ESG investing

By |2019-11-04T12:40:18-05:00November 4th, 2019|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Responsible Investing: The Environmental, Social, and Governance (ESG) - Efficient Frontier Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz PomorskiWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

Liquidity might be a better proxy for Size in equity markets

By |2019-10-28T12:35:08-04:00October 28th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Size Investing Research|

The Size Premium in Equity Markets: Where Is the Risk? Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, and Jean-Philippe BouchaudJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries [...]

Superstar Investors

By |2019-10-22T09:34:11-04:00October 23rd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Superstar Investors Brooks, Tsuji and VillalonJournal of Investing, February 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 Research Questions? Many [...]