Board Diversity and Innovation: International Evidence

By |July 26th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Board Gender Diversity and Corporate Innovation: International Evidence Dale Griffin , Kai Li , and Ting XuJournal of Financial and Quantitative AnalysisA version of this paper can be found hereWant to read our summaries of academic [...]

Factor Investing in Sovereign Bond Markets: 221 years of evidence!

By |July 19th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Fixed Income, Value Investing Research, Momentum Investing Research|

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence Baltussen, Martens and Penningaworking paper, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

The Misery Index and Future Equity Returns

By |July 15th, 2021|Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance|

Prospect theory was developed by Daniel Kahneman and Amos Tversky in 1979. The theory starts with the concept of loss aversion—the observation that people react differently between potential losses and potential gains. Thus, people make [...]

Maximize ESG exposure or screen out sin stocks?

By |July 12th, 2021|ESG, Empirical Methods, Research Insights, Basilico and Johnsen, Academic Research Insight|

Optimal Strategies for ESG Portfolios Fabio Alessandrini and Eric JondeauJournal 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 [...]

The Different Types of ESG Investors

By |July 6th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

ESG as Waving Banners and as Pulling Plows Meir StatmanJournal of Portfolio Management, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Low Volatility Factor Investing: How Investment Horizon Affects Results

By |July 2nd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Low Volatility Investing|

Two of the more interesting puzzles in finance are the high beta anomaly (high beta stocks have lower returns) and the IVOL anomaly (stocks with greater idiosyncratic volatility have produced lower returns). These are anomalies [...]

Can Investors Beat Active Mutual Funds with Cheap ETFs, YUP!

By |June 28th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, ETF Investing|

Are Passive Funds Really Superior Investments? AnInvestor Perspective Edwin J. Elton, Martin J. Gruber & Andre de SouzaFinancial Analysts Journal A version of this paper can be found hereWant to read our summaries of academic finance [...]

Private Equity: Is There Anything Special There?

By |June 22nd, 2021|Private Equity, Research Insights, Larry Swedroe, Academic Research Insight|

As the following table demonstrates, since its inception in the 1970s, the private equity industry has grown significantly. According to Preqin data, there are now more than 18,000 private equity funds, with assets under management [...]

Factors Timing is a Difficult Practice

By |June 21st, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Factor Exposure Variation and Mutual Fund Performance Ammann, Fischer and WeigertFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]

Can Hedge Funds Successfully Time Factors?

By |June 14th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Timing is money: The factor timing ability of hedge fund managers Albert Jakob Osinga, Marc B.J. Schauten, Remco C.J. ZwinkelsJournal of Empirical FinanceA version of this paper can be found hereWant to read our summaries of [...]

Still Using Book to Market for a Value Metric? Read This.

By |June 7th, 2021|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Going by the Book: Valuation Ratios and Stock Returns Choi, So and WangWorking Paper, 2021A version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

This Time is Different? Consider Quantifying Subjective Priors

By |June 4th, 2021|Empirical Methods, Research Insights, Guest Posts, Academic Research Insight, Behavioral Finance|

This time is different. --John Templeton "This time is different," is a sentiment that leads many investors to stray from using data analysis in their investment decision process and more towards discretionary judgment.  The logic [...]

Get Green or Die Trying?

By |June 1st, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

Get Green or Die Trying? Carbon Risk Integration into Portfolio Management Maximilian Görgen, Andrea Jacob, and Martin NerlingerJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]

Using Satellite Images to Study Local Information Advantage

By |May 24th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Investor Education|

The Firm Next Door: Using Satellite Images to Study Local Information Advantage Kang, Stice-Lawrence, Wong Journal of Accounting Research, 2021A version of this paper can be found here.Want to read our summaries of academic finance papers? [...]

Predictability of the Value Premium Across Asset Classes

By |May 21st, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Value Investing Research|

The value spread is the difference between the value signal in the long versus the short portfolio. This isn’t the first time we have hit on this topic. Wes and I have done several posts [...]

ESG Performance Breakdown by E, S, and G

By |May 18th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

Deconstructing ESG Ratings Performance: Risk and Returnfor E, S, and G by Time Horizon, Sector, and Weighting Guido Giese, Zoltán Nagy, and Linda-Eling LeeJournal of Portfolio ManagementA version of this paper can be found hereWant to [...]

Value Investing Still Beats Growth Investing, Historically

By |May 11th, 2021|Research Insights, Academic Research Insight, Value Investing Research|

A few weeks ago I saw comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. For example, here is Ben Johnson from MorningstarA great person to [...]

Where Are The Women in Finance? More Clues.

By |May 10th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight|

The Family Origin of the Math Gender Gap is a White Affluent Phenomenon Dossi, Figlio, Giuliano and SapienzaNBER working paper, 2020A version of this paper can be found hereWant to read our summaries of academic finance [...]

Resurrecting the Value Premium

By |May 4th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Value Investing Research|

The dramatic underperformance of value stocks as defined by the HmL (the return on high book-to-market stocks minus the return on low book-to-market stocks) since 2017 has led many to question the existence of the [...]

Competition for Attention in the ETF Space

By |May 3rd, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Competition for Attention in the ETF Space Itzhak Ben-David, Francesco Franzoni, Byungwook Kim, and Rabih MoussawiSSRN Working paperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

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