Academic Research Insight

Home/Posts/Research Insights/Academic Research Insight

The Investment Factor and Expected Returns

By |2019-11-15T23:14:56-05:00November 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”) [ref]Sadly this article is currently only available to clients of Dimensional Fund Advisers[/ref] rehashes previous arguments in Fama and French (2006, [...]

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 |2019-10-28T12:35:08-05:00October 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 |2019-10-22T09:34:11-05:00October 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 [...]

Active Share: Predictor of Future Performance or Urban Legend?

By |2019-10-10T08:59:01-05:00October 17th, 2019|Financial Planning, Research Insights, Factor Investing, Academic Research Insight, Active and Passive Investing|

The crowning achievement for investors is the ability to identify which of the few active mutual funds will outperform in the future. Despite an overwhelming body of academic research which has demonstrated that past performance [...]

Crowded trades, asset centrality and predicting equity bubbles

By |2019-10-14T08:55:58-05:00October 14th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Crowded Trades: Implications for Sector Rotation and Factor Timing William Kinlaw, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

A Framework for Creating Model Portfolios

By |2019-10-07T10:07:25-05:00October 7th, 2019|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Model Portfolios Basu, Gates, Karir and AngJournal of Wealth Management, Spring 2019A version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Short-Duration Stock Anomaly: Risk or Mispricing

By |2019-09-23T09:09:24-05:00October 1st, 2019|Research Insights, Factor Investing, Academic Research Insight, Behavioral Finance|

Cash Flow Duration and the Term Structure of Equity Returns Michael WeberA version of the paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are [...]

Quality: Independent attributes or a real factor?

By |2019-09-30T15:23:19-05:00September 30th, 2019|Quality Investing, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

What is Quality? Jason Hsu , Vitali Kalesnik , and Engin Kose Financial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Technological Links and Predictable Returns

By |2019-09-23T12:30:16-05:00September 23rd, 2019|Basilico and Johnsen, Academic Research Insight|

Technological Links and Predictable Returns Charles Lee, Stephen Sun, Rongfei Wang and Ran ZhangJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Factor Investing from Concept to Implementation

By |2019-10-08T10:41:47-05:00September 17th, 2019|Research Insights, Factor Investing, Academic Research Insight, Active and Passive Investing|

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? [...]

The Failure of Value Investing explained

By |2019-09-16T11:35:38-05:00September 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 |2019-09-04T07:56:34-05:00September 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 |2019-09-06T08:51:11-05:00September 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 |2019-09-03T09:35:34-05:00September 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 |2019-08-22T09:12:16-05:00August 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 |2019-08-26T08:32:29-05:00August 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 [...]