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 [...]
Does Crowdsourced Investing Work?
Extrapolative Beliefs in the Cross Section: What Can We Learn from the Crowds? Zhi Da, Xing Huang, Lawrence J. JinJournal of Financial Economics, 2020A version [...]
The Forecasting Power of Value, Profitability, and Investment Spreads
Studies such as the 2019 paper “Value Return Predictability Across Asset Classes and Commonalities in Risk Premia,” have demonstrated that while it is difficult to [...]
The Risk and Returns to Private Debt Investments
The Returns to Private Debt: Primary Issuances vs. Secondary Acquisitions Douglas Cumming, Grant Fleming, and Zhangxin (Frank) Liu Financial Analysts JournalA version of this paper [...]
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 [...]