Academic Research Insight

///Academic Research Insight

Public Hedge Funds and Their Performance

By |2019-02-19T08:32:29+00:00February 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+00:00February 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+00:00February 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+00:00January 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+00:00January 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+00:00January 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 |2019-01-07T11:14:42+00:00January 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+00:00January 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+00:00December 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+00:00December 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+00:00December 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 [...]

Measuring Factor Exposures: Uses and Abuses

By |2018-12-03T11:15:12+00:00December 3rd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Measuring Factor Exposures: Uses and Abuses Ronen Israel and Adrienne Ross The Journal of Alternative Investments A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

A Proxy for the Unobservable Global Market Portfolio

By |2018-11-26T11:45:20+00:00November 26th, 2018|Basilico and Johnsen, Academic Research Insight|

The Global Capital Stock: Finding a Proxy for the Unobservable Global Market Portfolio Gregory Gadzinski, Markus Schuller, and Andrea Vacchino Journal of Portfolio Management, 2018 A version of this paper can be found here Want to [...]

Short volatility strategies are extensive and widespread

By |2018-11-19T11:32:50+00:00November 19th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers Vineer Bhansali and Larry Harris Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing

By |2018-11-12T12:14:37+00:00November 12th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Hedge Funds and Stock Price Formation Charles Cao, Yong Chen, William N. Goetzmann, and Bing Liang Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance [...]

Fund Capacity Analysis: How Much Capital Will a Strategy Handle?

By |2018-12-19T08:14:44+00:00November 5th, 2018|Basilico and Johnsen, Academic Research Insight|

Capacity Analysis for Equity Funds Michael O’Neill,Camille Schmid and Geoffrey Warren Journal of Portfolio Management, Spring 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Do Bank Affiliated Funds Underperform Unaffiliated Funds?

By |2018-10-30T11:36:13+00:00October 29th, 2018|Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Asset Management within Commercial Banking Groups: International Evidence Miguel Ferreira, Pedro Matos and Pedro Pires The Journal of Finance, Fall 2018 A version of this paper can be found here Want to read our summaries of [...]

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending

By |2018-10-22T11:48:56+00:00October 22nd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this paper can be found here Want to read our summaries of [...]

Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help.

By |2018-10-15T10:51:14+00:00October 15th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective  Rob Arnott, Vitali Kalesnik and Trevor Schuesler Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

Investment Factor Timing: Challenging, but Not Impossible

By |2018-10-08T11:36:08+00:00October 8th, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic [...]

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