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 [...]

Market Timing Using Aggregate Equity Allocation Signals

By |April 29th, 2021|Research Insights, Guest Posts, Academic Research Insight, Tactical Asset Allocation Research|

When it comes to predicting long-term equity returns, several well-known indicators come to mind—for example, the CAPE ratio, Tobin’s Q, and Market Cap to GDP, to name a few. Yet there is another indicator without [...]

We Should Increase Trust in Financial Services

By |April 26th, 2021|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Investment Advisor Education, Behavioral Finance|

Trust and Financial Advice Burke and HungJournal of Pension Economics and Finance, 2021A 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 [...]

Building a Better q-Factor Asset Pricing Model

By |April 22nd, 2021|Factor Investing, Larry Swedroe, Academic Research Insight|

Since the development of the first asset pricing model, the Capital Asset Pricing Model (CAPM), academic research has attempted to develop models that increase the explanatory power of the cross-section of stock returns. We moved [...]

Climate Change and Asset Allocation

By |April 19th, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Climate Change and Asset Allocation: A Distinction ThatMakes a Difference Brian Jacobsen, Eddie Cheng, and Wai LeeJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

Gender Gaps in Venture Capital Performance

By |April 12th, 2021|Private Equity, Research Insights, Basilico and Johnsen, Academic Research Insight|

Gender Gaps in Venture Capital Performance Gompers, Mukharlyamov, Weisburst, and XuanJournal of Financial and Quantitative Analysis, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Estimating the Stock-Bond Correlation

By |April 5th, 2021|Empirical Methods, Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Stock-Bond Correlation Megan Czasonis, 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 out our Academic Research Insight category [...]

How Active Mutual Funds Use ETFs

By |March 29th, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, ETF Investing|

ETF use among actively managed mutual fund portfolios D. Eli Sherrill, Sara E. Shirley, Jeffrey R. StarkJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? [...]

More on the Factor Investing Replication Debate

By |March 26th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing|

Open Source Cross-Sectional Asset Pricing Andrew Chen and Tom ZimmermannWorking paperA version of this paper can be found here What are the research questions? There has been a wave of articles (and press) suggesting that academic [...]

Is There a Replication Crisis in Finance?

By |March 23rd, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight|

In recent years the field of empirical finance has faced challenges from papers arguing that there is a replication crisis because the majority of studies cannot be replicated and/or their findings are the result of [...]

An Economic Framework for ESG Investing

By |March 22nd, 2021|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Investment Advisor Education, Machine Learning|

Responsible Investing: The ESG Efficient Frontier Pedersen, Fitzgibbons, and PomorskiJournal of Financial Economics, 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 [...]

Conditional Volatility Targeting

By |March 18th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights|

Financial economists have long known that volatility and returns are negatively correlated. Fischer Black documented this in his 1976 paper “Studies of Stock Price Volatility Changes.”  This relationship results in the tendency to produce negative [...]

How to Predict Stock Returns (using a simple model)

By |March 16th, 2021|Predicting Market Returns, Research Insights, Academic Research Insight, Other Insights|

Jack Bogle, the founder of Vanguard, created a simple explanation for predicting future stock returns. The so-called “Occam's razor” (law of parsimony) approach is an attempt to explain projected returns as simple as possible. Mr. [...]

How to Measure the Liquidity of Cryptocurrency?

By |March 15th, 2021|Transaction Costs, Crypto, Research Insights, Basilico and Johnsen, Academic Research Insight|

How to Measure the Liquidity of Cryptocurrency? Brauneis, Mestel , Riordan and TheissenJournal of Banking and Finance, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Low Volatility Factor Investing: Risk-Based or Behavioral-Based or Both?

By |March 8th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing|

Betting against correlation: Testing theories of the low-risk effect Cliff Asness, Andrea Frazzini, Niels Joachim Gormsen, Lasse Heje PedersenJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic [...]

Does Crowdsourced Investing Work?

By |March 1st, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Extrapolative Beliefs in the Cross Section: What Can We Learn from the Crowds? Zhi Da, Xing Huang, Lawrence J. JinJournal of Financial Economics, 2020A version of this paper can be found hereWant to read our summaries [...]

The Forecasting Power of Value, Profitability, and Investment Spreads

By |February 25th, 2021|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Value Investing Research|

Studies such as the 2019 paper “Value Return Predictability Across Asset Classes and Commonalities in Risk Premia,” have demonstrated that while it is difficult to time investments based on their value spreadsThe difference in the [...]

The Risk and Returns to Private Debt Investments

By |February 22nd, 2021|Research Insights, Basilico and Johnsen, Academic Research Insight, Fixed Income|

The Returns to Private Debt: Primary Issuances vs. Secondary Acquisitions Douglas Cumming, Grant Fleming, and Zhangxin (Frank) Liu Financial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance [...]

ESG Factors and Traditional Factors

By |February 16th, 2021|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Investment Advisor Education|

Toward ESG Alpha: Analyzing ESG Exposures through a Factor Lens Ananth Madhavan, Aleksander Sobczyk and Andrew AngFinancial Analyst Journal, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

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