Academic Research Insight

Home/Posts/Research Insights/Academic Research Insight

Fundamental Momentum, the Carry Trade, and Currency Returns

By |2020-07-21T11:28:33-04:00July 23rd, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

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 asset class that have performed poorly over the prior year. [...]

What is Impact Investing?

By |2020-07-20T10:58:02-04:00July 20th, 2020|Financial Planning, ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

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 summaries of academic finance papers? Check out our Academic Research Insight category [...]

Left Tail Risk and Left Tail Momentum

By |2020-07-13T13:19:48-04:00July 14th, 2020|Research Insights, Larry Swedroe, Academic Research Insight, Momentum Investing Research|

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 securities, they demand higher compensation in the form of higher [...]

Reducing Estimation Error in Mean-Variance Optimization

By |2020-07-13T11:00:18-04:00July 13th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

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 academic finance papers? Check out our Academic Research Insight category [...]

Do Treasuries Have a Place in a Modern Portfolio?

By |2020-07-28T14:41:16-04:00July 9th, 2020|Research Insights, Academic Research Insight, Fixed Income, Macroeconomics Research|

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 Theory says that “the market” portfolio, leveraged or not, has [...]

Market Return Around the Clock

By |2020-07-06T13:47:26-04:00July 7th, 2020|Overnight Returns Research, Research Insights, Factor Investing, Guest Posts, Academic Research Insight, Tactical Asset Allocation Research|

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 academic finance papers? Check out our Academic Research Insight category [...]

Board Diversity: When Will We Break Through the Glass Ceiling?

By |2020-09-02T13:09:07-04:00July 6th, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

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 here. Want to read our summaries of academic finance papers? Check [...]

Combining Momentum with Long-Term Reversal

By |2020-07-02T11:20:25-04:00July 3rd, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Momentum Investing Research|

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 last 12 months of returns excluding the most recent month [...]

How Trend Following Strategies Shape Return Distributions

By |2020-06-29T10:34:49-04:00June 29th, 2020|Crisis Alpha, Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

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 summaries of academic finance papers? Check out our Academic Research [...]

Can Statistics Actually Determine if Managers Have No Skill?

By |2020-06-22T09:53:36-04:00June 22nd, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

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 our Academic Research Insight category What are the Research Questions? Whether they [...]

Order Flow Correlation May Imply Momentum Factor Crowding

By |2020-06-15T10:54:35-04:00June 15th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

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 can be found hereWant to read our summaries of academic finance [...]

Counterpoint: ETF Activity May Make the Stock Market MORE Efficient

By |2020-06-08T10:18:10-04:00June 8th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

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 out our Academic Research Insight category What are the Research Questions The [...]

Is value dead? Has the story changed? No.

By |2020-06-01T09:30:54-04:00June 1st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

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 our summaries of academic finance papers? Check out our Academic [...]

Smart(er) Investing – The Easy Way

By |2020-05-29T10:16:45-04:00May 29th, 2020|Research Insights, Factor Investing, Podcasts and Video, Women in Finance Know Stuff, Academic Research Insight|

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 research concepts. That said, we understand there are different ways [...]

Tactically Adjusting Everything in a Financial Crisis? Bad Idea.

By |2020-05-26T09:12:49-04:00May 26th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

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 or here.Want to read our summaries of academic finance papers? [...]

Trend Following the S&P 500? Some Practical Advice

By |2020-05-18T10:42:45-04:00May 18th, 2020|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500 Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasWorking Paper, Cass Business School, London and University [...]

Discussion: Managing the Costs of Passively Investing in Active Strategies

By |2020-06-05T07:40:57-04:00May 14th, 2020|Research Insights, Academic Research Insight, Active and Passive Investing|

We recently covered a paper by David Blitz that highlighted the potential problems with passively investing in "active" strategies. The research piece is great and surfaces a lot of great concepts. Like a lot of [...]

Machine Learning and Investing: Forecasting Fundamentals w/ Ensembles

By |2020-05-13T10:20:28-04:00May 13th, 2020|Research Insights, Guest Posts, Academic Research Insight, Machine Learning|

Quantitative factor portfolios generally use historical company fundamental data in portfolio construction. The key assumption behind this approach is that past fundamentals proxy for elements of risk and/or systematic mispricing. However, what if we could [...]

Skulls, Financial Turbulence and Risk Management

By |2020-05-11T11:28:49-04:00May 11th, 2020|Volatility (e.g., VIX), Research Insights, Basilico and Johnsen, Academic Research Insight|

Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the Research Questions When hunting [...]

Go to Top