Enterprise Multiples and Equity Country Allocations
And the Winner Is…A Comparison of Valuation Measures for Equity Country Allocation Adam Zaremba and Jan Jakub SzczygielskiJournal of Portfolio ManagementA version of this paper [...]
Dividends are Different
There has been abundant discussion regarding the utility of dividends.[ref]Here are a few examples: dividends, dividends, and more dividends…and Jon See'ds piece on buybacks, if [...]
Lowering Portfolio Risk with Corporate Social Responsability
Lowering Portfolio Risk with Corporate Social Responsibility Clark, Krieger, and MauckJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries [...]
The Investment Factor and Expected Returns
Editor's note: Earlier this week, Lu Zhang discussed his thoughts on the investment factor and expected returns. In this piece, Larry discusses a recent research [...]
Investment, Expected Investment, and Expected Stock Returns
A new DFA article by Rizova and Saito (2019, “Investment and Expected Stock Returns”) [ref]Sadly this article is currently only available to clients of Dimensional [...]
Are Early Stage Investors Biased Against Women?
Are Early Stage Investors Biased Against Women? Michael Ewens and Richard TownsendJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read [...]
Costs and Benefits of ESG investing
Responsible Investing: The Environmental, Social, and Governance (ESG) - Efficient Frontier Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz PomorskiWorking PaperA version of this paper can [...]
Liquidity might be a better proxy for Size in equity markets
The Size Premium in Equity Markets: Where Is the Risk? Stefano Ciliberti, Emmanuel Sérié, Guillaume Simon, Yves Lempérière, and Jean-Philippe BouchaudJournal of Portfolio ManagementA version [...]
Superstar Investors
Superstar Investors Brooks, Tsuji and VillalonJournal of Investing, February 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Active Share: Predictor of Future Performance or Urban Legend?
The crowning achievement for investors is the ability to identify which of the few active mutual funds will outperform in the future. Despite an overwhelming [...]
Crowded trades, asset centrality and predicting equity bubbles
Crowded Trades: Implications for Sector Rotation and Factor Timing William Kinlaw, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be [...]
A Framework for Creating Model Portfolios
Model Portfolios Basu, Gates, Karir and AngJournal of Wealth Management, Spring 2019A version of the paper can be found here Want to read our summaries [...]
Short-Duration Stock Anomaly: Risk or Mispricing
Cash Flow Duration and the Term Structure of Equity Returns Michael WeberA version of the paper can be found here. Want to read our summaries of [...]
Quality: Independent attributes or a real factor?
What is Quality? Jason Hsu , Vitali Kalesnik , and Engin Kose Financial Analysts JournalA version of this paper can be found hereWant to read our [...]
The Short Duration Premium
In my June 4, 2019 article “The Re-Death of Value, or Déjà Vu All Over?” I noted that one possible explanation for at least part [...]
Technological Links and Predictable Returns
Technological Links and Predictable Returns Charles Lee, Stephen Sun, Rongfei Wang and Ran ZhangJournal of Financial Economics, forthcomingA version of this paper can be found hereWant [...]
Factor Investing from Concept to Implementation
Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art [...]
The Failure of Value Investing explained
Explaining the Demise of Value Investing Baruch Lev and Anup Srivastava A version of this paper can be found hereWant to read our summaries of academic [...]
Spending Policies in a Low Return Environment
Evaluating Spending Policies in a Low Return Environment Peng Wang, Laura Chapman, Steven Peterson, and Jon SpinneyFinancial Analyst Journal, Fall 2018A version of this paper can [...]
An Analysis of “Benjamin Graham’s Net Current Asset Values: A Performance Update”
Henry R. Oppenheimer A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Introduction [...]