ESG Factors and Traditional Factors
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 [...]
Do ETFs Adversely Affect Market Quality? Nope.
Intraday Arbitrage Between ETFs and their Underlying Portfolios Box, Davis, Evans, and LynchWorking paperA version of this paper can be found here Editor's note: Seeing how [...]
Will the Real Value Factor Funds Please Stand Up?
Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? Martin Lettau, Sydney C. Ludvigson, Paulo Manoel Working paper A version of this paper can [...]
Do Security Analysts Follow the Academic Evidence?
As my co-author Andrew Berkin and I explain in our new book “Your Complete Guide to Factor-Based Investing,” there is considerable evidence of cross-sectional return [...]
Hot Topic: Does “Gamma” Hedging Actually Affect Stock Prices?
Hedging Demand and Market Intraday Momentum Guido Baltussen, Zhi Da, Sten Lammers and Martin MartensJournal of Financial Economics, ForthcomingA version of this paper can be [...]
A Review of Ben Graham’s Famous Value Investing Strategy: “Net-Nets”
Benjamin Graham, often considered a strong candidate for "the father of quantitative value investing", developed an investment strategy that involved purchasing securities for less than [...]
Mutual fund investments in private firms
Mutual fund investments in private firms Sungjoung Kwon, Michelle Lowry, Yiming QianJournal of Financial EconomicsA version of this paper can be found hereWant to read our [...]
Is the Market Getting more Efficient?
Another Alpha Opportunity Bites the Dust In 1998, Charles Ellis wrote “Winning the Loser’s Game,” in which he presented evidence that while it is possible [...]
Battle of the Sexes, Who’s Better at Fudging the Numbers?
CFO Gender and Financial Statement Irregularities V.K.Gupta, S. Mortal, B. Chakrabarty, X. Guo, D. B. TurbanAcademy of Management Journal, 2019A version of this paper can [...]
The Definitive Study on Long-Term Factor Investing Returns
Global Factor Premiums Baltussen, Swinkels, VlietJournal of Financial Economics, forthcomingA version of this paper can be found hereHere are the slides tied to the paper.Want to [...]
How Does ETF Liquidity Affect ETF Returns, Volatility, and Tracking Error?
Liquidity risk and exchange-traded fund returns, variances, and tracking errors Kyounghun Bae, Daejin KimJournal of Financial EconomicsA version of this paper can be found hereWant to [...]
How Powerful is the Wealth Effect?
Stock Market Returns and Consumption Marco Di Maggio, Amir Kermani and Kaveh MajlesiJournal of Finance, 2020A version of this paper can be found hereWant to read [...]
P-Hacking Via Academic Finance Research Conferences
Documentation of the File Drawer Problem at Finance Conferences: A Follow-Up Study Manoela N. Morais and Matthew R. MoreyJournal of InvestingA version of this paper can be [...]
Investing Based on Who you Follow on Social Media? A Real Thing?
Do Individual Investors Trade on Investment-related Internet Postings? Manuel Ammannt and Nic SchaubManagement Science, 2020A version of this paper can be found hereWant to read our [...]
Placement Agents In Private Equity, Are They Any Good?
Intermediation in Private Equity: The Role of Placement Agents Matthew D. Cain, Stephen B. McKeon, and Steven Davidoff SolomonJournal of Financial and Quantitative AnalysisA version [...]
Early Female Investors, More Independent than Previously Thought?
Independent Women: Investing in British Railways, 1870-1922 Graeme G. Acheson; Gareth Campbell; Áine Gallagher and John D. TurnerEconomic History Review, 2020A version of this paper [...]
Mutual Fund Trading When No One Is Watching: It’s Not Pretty
Trading out of sight: An analysis of cross-trading in mutual fund families Alexander Eisele, Tamara Nefedova, Gianpaolo Parise, Kim Peijnenburg, Journal of Financial EconomicsA version [...]
What Matters to Individual Investors? Evidence from the Horse’s Mouth
What Matters to Individual Investors? Evidence from the Horse's Mouth James Choi and Adriana RobertsonJournal of Finance, 2020A version of this paper can be found hereWant [...]
An Easy Way to Simplify and Improve the Shiller CAPE Ratio as a Prediction Tool
Ultra-Simple Shiller’s CAPE: How One Year’s Data Can Predict Equity Market Returns Better Than Ten Thomas K. Philips and Adam KoborJournal of Portfolio ManagementA version [...]
Trend Following Research: Breaking Bad Trends
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at [...]