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 [...]
Where Are The Women in Finance? More Clues.
The Family Origin of the Math Gender Gap is a White Affluent Phenomenon Dossi, Figlio, Giuliano and SapienzaNBER working paper, 2020A version of this paper [...]
Resurrecting the Value Premium
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 [...]
Competition for Attention in the ETF Space
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 [...]
Market Timing Using Aggregate Equity Allocation Signals
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, [...]
We Should Increase Trust in Financial Services
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 [...]
Building a Better q-Factor Asset Pricing Model
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 [...]
Climate Change and Asset Allocation
Climate Change and Asset Allocation: A Distinction That Makes a Difference Brian Jacobsen, Eddie Cheng, and Wai LeeJournal of Portfolio ManagementA version of this paper [...]
Gender Gaps in Venture Capital Performance
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 [...]
Estimating the Stock-Bond Correlation
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 [...]
How Active Mutual Funds Use ETFs
In this paper we discuss the academic research about how active mutual funds use ETFs for the purpose of improving the operations of the fund, [...]
More on the Factor Investing Replication Debate
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 [...]
Is There a Replication Crisis in Finance?
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 [...]
An Economic Framework for ESG Investing
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 [...]
Conditional Volatility Targeting
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 [...]
How to Predict Stock Returns (using a simple model)
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 [...]
How to Measure the Liquidity of Cryptocurrency?
In this blog we discuss the academic research surrounding the question of cryptocurrency liquidity. How to Measure the Liquidity of Cryptocurrency? Brauneis, Mestel , Riordan [...]
Low Volatility Factor Investing: Risk-Based or Behavioral-Based or Both?
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 [...]