Academic Research Insight

Institutional Investing and Manager Forbearance

Forbearance is important and we argue that performance evaluation should be multifaceted, akin to a Bayesian decision-maker who conducts continued due diligence and updates beliefs about returns with process information.

The democratization of investing and the evolution of ETFs

The implications of the competitive landscape for ETFs are mixed. On one hand, they have truly democratized investing. Investors now have access to the benefits of financial markets in one instrument that provides diversification at very low fees. Recently advertised fees on broad-based bond funds have fallen to 3bps. On the other hand, ETF providers have been able to satisfy investor demand for increasingly specialized products even though the evidence suggests they underperform. Are investors becoming worse off due to the effectiveness of the marketing strategies by providers of specialized ETFs?

Trend Following and Momentum Turning Points

Trend follower nerd alert: This study is important because it offers a comprehensive analysis of TS momentum strategies, its unifying framework that links performance to underlying variables, and its practical implications for investors seeking to enhance their understanding of momentum investing and improve their portfolio performance.

Implications of Regime-Shifting Stock-Bond Correlation

The correlation between stocks and bonds should be a critical component of any asset allocation decision, as it impacts not only the overall risk of a diversified multi-asset class portfolio but also the risk premia one should expect to receive for taking risk in different asset classes. The problem for investors is that the correlation between stocks and bonds fluctuates extensively across time and economic regimes.

Do Short-Term Factor Strategies Survive Transaction Costs?

Short term return anomalies are generally dismissed in the academic literature "because they seemingly do not survive after accounting for market frictions.” In this research, short term “factors” are taken seriously and the authors argue the standard parameters may not apply for short horizons.

The Determinants of Inflation

The findings from this Hidden Markov Model analysis provide policymakers with valuable insights into the nature and behavior of inflation regimes. This information can inform the design and implementation of monetary, fiscal, and regulatory policies to effectively manage inflation, stabilize the economy, and promote sustainable economic growth.

Flight to Safety in the Regional Bank Crisis of 2023

This article provides insights into the behavior of depositors and the role of large banks during a banking crisis, offering valuable implications for policymakers, regulators, and researchers in the field of banking and finance.

Investor demand, rating reform and equity returns

The traditional financial theory attributes security returns to market- or factor-based risk, with no role ascribed to other influences. In this research, the authors argue for including investor demand as an additional variable in explaining returns.  Can changes in investor demand generate systematic changes in security returns?

Social Media and Inequality in Venture Capital Funding

The article aims to examine the role of social media in venture capital financing, its impact on disparities faced by underrepresented groups, and the mechanisms through which social media usage can facilitate venture capital funding.

Female execs bring more accuracy to analysts’ earnings forecasts

The results of this research extend the literature in a number of areas including: the analyst forecast literature; the literature on behavioral accounting and finance with respect to corporate decision-making all in the context of gender; and the dominant role of the CEO on information transparency.

Managerial Multitasking in the Mutual Fund Industry

The article aims to explore the relationship between multitasking and performance for mutual fund managers, investigate the potential mechanisms and factors influencing this relationship, and provide insights for fund companies and investors regarding the implications of multitasking on fund performance.

The Gender Gap Among Top Business Executives

The article aims to provide insights into the gender gaps in executive employment and compensation, explore the role of corporate culture and temporal flexibility in these gaps, and understand the factors influencing gender differences in entry, exit, and pay among top business executives.

Where Large Language Models and Finance Meet

BloombergGPT is a large language model (LLM) developed specifically for financial tasks. The authors trained the LLM on a large body of financial textual data, evaluated it on several financial language processing tasks and found it performed at a significantly higher level than several other state-of-the-art LLMs.

Fundamentals and the Attenuation of Anomalies

The article aims to explore the possibility that changes in fundamentals play a role in the attenuation of stock market anomalies, offering an alternative explanation to the prevailing arbitrage-based explanation

Do we invest like our family members?

This study adds evidence to the literature of social interaction by confirming empirically that investors acquire investment ideas from their family members.

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