Cross-Asset Signals and Time-Series Momentum
In their paper “Time Series Momentum,” published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse [...]
CEOs Formative Years and the Gender Gap
The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years Ran Duchin, Mikhail Simutin and Denis SosyuraReview of Financial Studies, 2020A [...]
Is Systematic Value Dead???
Value investing is the age-old investment strategy that buys securities that appear cheap relative to some fundamental anchor.Ronen Israel, Kristoffer Laursen, Scott A. Richardson in [...]
Relative Skewness: A New Risk Factor?
Cross-Asset Skew Nick Baltas and Gabriel SalinasWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Fundamental Momentum, the Carry Trade, and Currency Returns
Momentum in prices is the tendency of assets that have performed well recently (such as over the prior year) to outperform assets in the same [...]
What is Impact Investing?
Impact Investing 2.0: Not Just for Do-Gooders Anymore Diana LiebermanThe Journal of Investing, Winter 2020A version of this paper can be found hereWant to read our [...]
Left Tail Risk and Left Tail Momentum
The positive trade-off between risk and expected return is the most fundamental concept in financial economics. Most investors are risk-averse. In order to hold higher-risk [...]
Reducing Estimation Error in Mean-Variance Optimization
Enhanced Portfolio Optimization Lasse Heje Pedersen, Abhilash Babu, and Ari LevineWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of [...]
Do Treasuries Have a Place in a Modern Portfolio?
Do treasuries, most yielding well south of 1%, have a place in a modern portfolio? Currently at these levels, I conclude they don’t. Modern Portfolio [...]
Market Return Around the Clock
Market Return Around the Clock: A Puzzle Oleg Bondarenko and Dmitriy MuravyevWorking PaperA version of this paper can be found hereWant to read our summaries of [...]
Board Diversity: When Will We Break Through the Glass Ceiling?
Board leadership positions elude diverse directors Laura Casares Field, Matthew Souther, and Adam YoreJournal of Financial Economics, 2020A version of this paper can be found [...]
Combining Momentum with Long-Term Reversal
Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the [...]
How Trend Following Strategies Shape Return Distributions
Some Observations on Trend Following: A Binomial Perspective David M. ModestWorking Paper, QLS Partners LPA version of this paper can be found hereWant to read our [...]
Can Statistics Actually Determine if Managers Have No Skill?
Campbell Harvey and Yan LiuJournal of Finance, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
Math Is Magic: A Weekend Brain Teaser
In the course of some research on costs and constraints on momentum strategies, I came across a couple of dueling talks by Wesley Gray and [...]
Order Flow Correlation May Imply Momentum Factor Crowding
Zooming In on Equity Factor Crowding Valerio Volpati, Michael Benzaquen, Zoltán Eisler, Iacopo Mastromatteo, Bence Tóth, and Jean-Philippe BouchaudWorking Paper, SSRNA version of this paper [...]
Counterpoint: ETF Activity May Make the Stock Market MORE Efficient
Lawrence Glosten, Suresh Nallareddy, and Yuan ZouManagement Science, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Is value dead? Has the story changed? No.
Is (systematic) Value Investing Dead? Ronen Israel, Kristoffer Laursen and Scott RichardsonWorking Paper, published at aqr.comA version of this paper can be found hereWant to read [...]
Smart(er) Investing – The Easy Way
Most of the time we make you "earn your education" by reading our posts to build up your knowledge of the latest and greatest academic [...]
Tactically Adjusting Everything in a Financial Crisis? Bad Idea.
Flight to Quality and Asset Allocation in a Financial Crisis Terri Marsh and Paul PfleidererFinancial Analyst Journal, 2013A version of this paper can be found here [...]