Academic Research Insight

///Academic Research Insight

Video: Alpha Architect Weekly Research Recap (Jack & Ryan)

By |2018-09-17T08:11:56+00:00September 14th, 2018|Academic Research Insight, Podcasts and Video, Weekly Research Recap Videos, Research Insights, Low Volatility Investing|

You can watch the video via the link below: Video Summary Ryan and I discuss three articles published on our blog this week. First, we examine a summary by Larry Swedroe that highlights the Betting [...]

What’s in Your Benchmark?

By |2018-09-09T17:20:47+00:00September 10th, 2018|Basilico, Academic Research Insight, Research Insights|

What's in Your Benchmark? A Factor Analysis of Major Market Indexes Ananth Madhavan, Aleksander Sobczyk and Andrew Ang Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

Group Diversity May Constrain the Most Dangerous Investment Bias: Overconfidence

By |2018-09-04T10:52:33+00:00September 4th, 2018|Basilico, Academic Research Insight|

Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance [...]

Fintwit Might Matter for Momentum and Mean Reversion in Stock Prices

By |2018-08-27T09:50:12+00:00August 27th, 2018|Basilico, Academic Research Insight, Research Insights|

Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh Journal of Portfolio Management A version of this paper can be found here Want to [...]

Looking at Alternatives? Avoid Complexity and Magical Backtests

By |2018-09-17T15:49:19+00:00August 20th, 2018|Basilico, Academic Research Insight|

Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper can be found here Want to read our summaries of academic [...]

Macro Conditions May Enhance Short-term Predictability of the Shiller P/E

By |2018-08-13T13:28:25+00:00August 13th, 2018|Basilico, Academic Research Insight, Research Insights|

King of the Mountain: The Shiller P/E and Macroeconomic Conditions Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow Journal of Portfolio Management A version of this paper can be found here Want to read our [...]

An Academic Article that Claims Human-Based Advisory Services Face Serious Challenges

By |2018-09-18T07:27:34+00:00August 6th, 2018|Basilico, Academic Research Insight|

Robo-Advisors and Wealth Management Kokfai Phoon and Francis Koh The Journal of Alternative Investments, Winter 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research [...]

Finance Journals Rarely Publish Articles with low T-stats

By |2018-09-17T09:54:31+00:00July 30th, 2018|Basilico, Academic Research Insight, Research Insights|

Documentation of the File Drawer Problem in Academic Finance Journals Matthew R. Morey and Sonu Yadav Journal of Investment Management A version of this paper can be found here Want to read our summaries of academic [...]

Investment Performance of Female CEOs

By |2018-07-23T09:03:53+00:00July 23rd, 2018|Basilico, Academic Research Insight|

Performance of Female CEOs Srinidhi Kanuri, James Malm Journal of Investing, Spring 2018 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. [...]

Portfolio Craftsmanship is Just as Important as Choosing an Investment Style.

By |2018-07-16T10:54:04+00:00July 16th, 2018|Basilico, Academic Research Insight, Research Insights|

Craftsmanship Alpha: An Application to Style Investing Ronen Israel, Sarah Jiang, and Adrienne Ross Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

Artificial Intelligence and Value Investing

By |2018-06-25T11:15:37+00:00July 9th, 2018|Basilico, Academic Research Insight|

Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 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 [...]

For Consistency Across Market Conditions, Try a Quant Manager

By |2018-07-01T10:10:34+00:00July 2nd, 2018|Basilico, Academic Research Insight, Research Insights|

The Impact of Market Conditions on Active Equity Management Harsh Parikh, Karen McQuiston, and Sujian Zhi Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic [...]

Financial Constraints Generate a 6.5% 5-Factor Fama-French Alpha?

By |2018-06-25T10:26:34+00:00June 25th, 2018|Basilico, Academic Research Insight|

Are Financial Constraints Priced? Evidence from Textual Analysis Matthias Buehlmaier and Toni Withed Review of Financial Studies, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

A Smarter CAPE Ratio to Better Forecast Expected Stock Returns

By |2018-06-18T08:33:22+00:00June 18th, 2018|Basilico, Academic Research Insight, Research Insights, Tactical Asset Allocation Research|

Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market

By |2018-06-04T10:20:01+00:00June 4th, 2018|Factor Investing, Basilico, Academic Research Insight, Research Insights, Size Investing Research|

Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance A version of this paper can be found here Want to [...]

Technical Analysis in the Chinese Stock Market: Does it Work?

By |2018-05-21T09:08:19+00:00May 21st, 2018|Basilico, Academic Research Insight, Research Insights|

Technical Analysis Profitability Without Data Snooping Bias: Evidence from Chinese Stock Market Fuwei Jiang, Guoshi Tong and Guokai Song International Review of Finance A version of this paper can be found here Want to read our [...]

Automating Earnings Forecasts: Can a “MIDAS” touch help?

By |2018-05-14T10:18:58+00:00May 14th, 2018|Basilico, Academic Research Insight|

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer? Ryan Ball and Eric Ghysels Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Yes No