Academic Research Insight

Home/Posts/Research Insights/Academic Research Insight

Pandemics and Factor Investing: A Glimpse into the Past

By |2020-04-03T12:17:29-04:00April 3rd, 2020|Research Insights, Factor Investing, Academic Research Insight|

Equity Styles and the Spanish Flu Guido Baltussen, Pim van VlietA 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 [...]

An Empirical Challenge for Trend-Following

By |2020-03-30T10:40:00-04:00March 30th, 2020|Research Insights, Factor Investing, Trend Following, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research, Tactical Asset Allocation Research|

Editor's Note: For the foreseeable future, we'll be focusing on research that explores investment strategies that are believed to help investors manage risk and diversify their portfolios. Time Series Momentum: Is it There? Dashan Huang [...]

Corporate Governance, ESG, and Stock Returns around the World

By |2020-03-26T12:24:35-04:00March 26th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Corporate Governance, ESG, and Stock Returns around the World Mozzafar KahnFinancial 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 [...]

The Use and Value of Financial Advice for Retirement Planning: Part 1/2

By |2020-03-17T08:19:27-04:00March 17th, 2020|Financial Planning, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

The Use and Value of Financial Advice for Retirement Planning W.V. Arlow, K.C. Brown, and S.E. JenksJournal of Retirement, Winter 2020A version of this paper can be found hereWant to read our summaries of academic finance [...]

Do Insider Trades Provide Insights into Future Returns?

By |2020-03-09T09:57:42-04:00March 11th, 2020|Research Insights, Larry Swedroe, Academic Research Insight, Behavioral Finance|

The volume of work that has been done on insider transactions is not inconsequential, we've covered a variety of research on the topic in several blog posts just a few of which are here and [...]

What to Do When Alpha Becomes Beta

By |2020-03-11T12:39:02-04:00March 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Dynamic Strategy Migration and the Evolution of Risk Premia David E. KuenziJournal of Portfolio ManagementA version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic [...]

Macroeconomic Risks in Equity Factor Investing: Part 2/2

By |2020-02-24T10:33:19-05:00February 24th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Macroeconomic Risks in Equity Factor Investing: Part 1

By |2020-02-10T13:18:05-05:00February 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

The Case Against REIT’s

By |2020-03-13T08:54:05-04:00February 6th, 2020|Research Insights, Guest Posts, Academic Research Insight|

Surveys often reveal investor behavior that is challenging to understand. For example, Preqin’s Alternative Investor Outlook for H2 2019 highlighted the following: 65% of institutional investors believe that real estate is overvalued and a correction [...]

Book Review: Smart(er) Investing by Elisabetta and Tommi

By |2020-02-04T10:20:41-05:00February 4th, 2020|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight, Book Reviews, Other Insights|

It's not often I get the opportunity to write a book review for our fellow teammates and the best authors on our website -- Elisabetta Basilico and Tommi Johnsen! If you haven't read Elisabetta and [...]

Conflict of Interest and Mutual Fund Sales

By |2020-02-03T10:54:41-05:00February 3rd, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Conflict of Interest in Mutual Fund Sales: What Does the Data Tell Us? Jasmin Sethi, Jake Spiegel, and Aron SzapiroJournal of Retirement, Winter 2019A version of this paper can be found hereWant to read our summaries [...]

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 |2020-03-06T10:04:29-05:00January 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 [...]