The Momentum Factor is Driven by Behavioral Bias, Not Risk
Momentum, Reversals, and Investor Clientele Andy Chui, Avanidhar Subrahmanyam, and Sheridan TitmanReview of Financial Studies, 2021A version of this paper can be found hereWant to read [...]
US Funds Have Surprisingly Large International Exposure
How Global is Your Mutual Fund? International Diversification from Multinationals Irem Demirci, Miguel A. Ferreira, Pedro Matos, and Clemens SialmReview of Financial Studies, 2021A version [...]
Using Machine Learning to Predict Options Returns
Option Return Predictability with Machine Learning and Big Data Bali, Beckmeyer, Moerke, WeigertA version of this paper can be found hereWant to read our summaries of [...]
Fee Disclosures Can Improve Investor Decision-Making
Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations Kronlund, Pool, Sialm and StefanescuJournal of Financial Economics, 2021A version of [...]
What percentage of CFO/CAOs are Women?
In this original research, Elisabetta and I study data across 29 global markets and provide empirical data on the following question: What percentage of CFO [...]
Do factors have a role in asset allocation?
The Role of Factors in Asset Allocation Mark KritzmanJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
A History of Wealth Creation in the U.S. Equity Markets
Hendrik Bessembinder contributes to the literature on the returns to public equity investment diversification benefits with his study “Wealth Creation in the US Public Stock [...]
Boards are More Diverse-What about Board Leadership?
At the table but cannot break through the glass ceiling: Board leadership positions elude diverse directors Laura Casares Field, Matthew E. Souther, Adam S. YoreJournal [...]
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 [...]