Can the Best Stock Pickers Still Beat the Market? An Out of Sample Test
Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006) Timothy Riley and Sam WaltonCritical Review of [...]
Predicting Bond Returns? Focus on GDP Growth and Inflation Indicators
Predicting Bond Returns: 70 Years of International Evidence Guido Baltussen, Martin Martens, Olaf PenningaWorking PaperA version of this paper can be found hereWant to read our [...]
Effects of Portfolio Construction on the Performance of Style Factor ETFs
This article discusses the research surrounding style factor ETFs, specifically the effects of portfolio construction on their performance. The Effects of Portfolio Construction on the [...]
How to Measure and Understand Portfolio Tail Risk Events
Arnold Polanski, Evarist Stoja, Frank WindmeijerJournal of Applied Econometrics, 2019A version of this paper can be found here.Want to read our summaries of academic finance [...]
Does Gold do What it is Supposed to do?
Gold, the Golden Constant, COVID-19, "massive Passives," and Déjà Vu Claude Erb, Campbell R. Harvey, Tadas ViskantaA version of this paper can be found here.Want [...]
Even Great Investments Experience Massive Drawdowns
Editor's Note: The ability of value investors to adhere to their investment strategy has been put to the greatest test ever. From January 2017 through [...]
Fascinating Research Alert: Earning Calls, Clichès, and Negative Abnormal Returns
When More or Less is Less: Managers' Clichès J. Klevak, J. Livnat, and K. SuslavaJournal of Financial Data Science, Summer 2019A version of this paper [...]
What is Sequence Risk and Can Trend Following Help Reduce It?
Reducing Sequence Risk Using Trend Following and the CAPE Ratio Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasFinancial Analysts Journal A version of [...]
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 [...]