Disentangling measures of carbon risk
Decarbonizing Everything Alexander Cheema-Fox, Bridget Realmuto LaPerla, George Serafeim, David Turkington, & Hui (Stacie) WangFinancial Analysts JournalA version of this paper can be found hereWant to [...]
Behavioral Finance Warning: Humans Love Complexity
People systematically overlook subtractive changes Gabrielle S. Adams, Benjamin A. Converse, Andrew H. Hales & Leidy E. Klotz Nature 592, 258-161A version of this paper can be found hereWant to read [...]
Factor Investing and International Markets
Factors and Risk Premia in Individual International Stock Returns Geert Bekaert, Eric Engstrom and Andrey ErmolovJournal of Financial Economics, 2021A version of this paper can [...]
Board Diversity and Innovation: International Evidence
Board Gender Diversity and Corporate Innovation: International Evidence Dale Griffin , Kai Li , and Ting XuJournal of Financial and Quantitative AnalysisA version of this [...]
Factor Investing in Sovereign Bond Markets: 221 years of evidence!
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 [...]
The Misery Index and Future Equity Returns
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 [...]
Maximize ESG exposure or screen out sin stocks?
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 [...]
The Different Types of ESG Investors
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 [...]
Low Volatility Factor Investing: How Investment Horizon Affects Results
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 [...]
Can investors beat active mutual funds with Cheap ETFs? Yup!
In this article we discuss the research concerning the question of whether or not investors can beat active mutual funds with cheap ETFs. Are Passive [...]
Private Equity: Is There Anything Special There?
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 [...]
Factors Timing is a Difficult Practice
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 [...]
Can Hedge Funds Successfully Time Factors?
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 [...]
Still Using Book to Market for a Value Metric? Read This.
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 [...]
This Time is Different? Consider Quantifying Subjective Priors
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 [...]
Get Green or Die Trying?
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 [...]
Using Satellite Images to Study Local Information Advantage
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 [...]
Predictability of the Value Premium Across Asset Classes
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 [...]
ESG Performance Breakdown by E, S, and G
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting Guido Giese, Zoltán Nagy, and Linda-Eling LeeJournal [...]
Value Investing Still Beats Growth Investing, Historically
In the past, I've seen comments on Twitter regarding the Russell 3,000 Value and Growth indices having approximately the same returns since inception. Let's talk [...]