The Impact of ESG Scores on Asset Prices
Sustainable investing has grown substantially in recent years, demonstrating that investor demand can be driven by nonfinancial issues such as environmental (E), social (S), and [...]
Do Big Value Spreads Mean Big Returns to Value Strategies?
Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our [...]
ETF Liquidity Risks? A Discussion
Because of the complexity inherent to ETF trading in the secondary market, there are frequent misunderstandings about the relationship between the liquidity of the underlying [...]
Studying Financial Idea “Infection Rates”
The rate of communication Huang, Hwang and LouJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of academic [...]
Value Investing and Intangibles
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just [...]
Macro risks and the term structure of interest rates
Macro risks and the term structure of interest rates Bekaert, Engstrom, ErmolovJournal of Financial Economics, 2021A version of this paper can be found hereWant to read [...]
Crowding and Factor Premiums
My March 23, 2021, article for Alpha Architect addressed the issue that in recent years the field of empirical finance has faced challenges from papers arguing that [...]
ESG Ratings are Noisy. Buyer Beware.
Aggregate Confusion: The divergence of ESG ratings Florian Berg, Julian F. Koelbel, and Roberto RigobonMIT Working PaperA version of this paper can be found hereWant to [...]
Is Currency Momentum Factor Momentum?
A large body of evidence, including the studies “Is There Momentum in Factor Premia? Evidence from International Equity Markets,” Factor Momentum Everywhere (Summary)” and “Factor [...]
Impact Investing: When Finance Meets Psycology
Impact Investing: Killing Two Birds with One Stone? Caseau and GrolleauFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries [...]
Is The Value Premium Smaller Than We Thought?
From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many [...]
Do Cryptocurrencies Improve Portfolio Diversification?
The Role of Cryptocurrencies in Investor Portfolios Megan Czasonis, Mark Kritzman, Baykan Pamir, and David TurkingtonMIT Sloan School Working Paper 6418-21A version of this paper [...]
Factor Timing Is Tempting
Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, Arnav Sheth, and Tee Lim, authors of [...]
Mutual Funds: Negative $125B in Value-Add?
The Persistence of Fee Dispersion among Mutual Funds Cooper, Halling and YangReview of Finance, 2021A version of this paper can be found hereWant to read our [...]
International Tests of Factor Anomalies: Most Don’t Survive
Since the development of the capital asset pricing model (CAPM) about 50 years ago, academic researchers have documented hundreds of “anomalies” that generate significant positive [...]
The Value Premium Might be Smaller Than We Originally Thought
Is the Value Premium Smaller Than We Thought? Mathias HaslerSSRN Working PaperA version of this paper can be found hereWant to read our summaries of academic [...]
The Impact of Goodwill on Stock Returns
A firm’s stock price should reflect the value of both its tangible and intangible capital. While tangible capital has been widely studied, intangible capital has [...]
Financial Media, Price Discovery, and Merger Arbitrage
Financial Media, Price Discovery, and Merger Arbitrage Buehlmaier and ZechnerReview of Finance, forthcomingA version of this paper can be found hereWant to read our summaries of [...]
Relative Sentiment and Market Returns
Market Returns and A Tale of Two Types of Attentions Da, Hua, Hung, and PengA version of this paper can be found hereWant to read [...]
Value Investing and the Role of Intangibles
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just [...]