Evidence supporting factor-based seasonalities
Factor seasonality reflects its own stock-level equivalent. It is not an independent risk factor.
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.
Does investing in a more concentrated fund result in better performance?
This study explores the degree to which fund concentration (high tracking error) affects the magnitude of excess returns and whether or not the likelihood of outperformance or underperformance are distributed similarly.
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
Industry classification and the momentum factor
This paper finds that the level of industry classification plays a significant role in the performance of industry momentum strategies.
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.
Can ChatGPT Help You Read Financial Statements? Yes.
Can chatbots, like ChatGPT, be used to interpret and condense lengthy financial disclosures into shorter but relevant documents?
Submergence: A Tool to Assess Drawdowns and Recoveries
According to research by the authors, stocks and bonds have been submerged for about 75% of the time since 1980; and treasuries have been submerged 80% of the time. Submergences are therefore both commonplace and significant, which means that handling them is very important for investors and their investing strategies.
Reducing the Impact of Momentum Crashes
Momentum crashes are a blight on the performance of momentum strategies. Although there has been a fair amount of research on the topic, few practical solutions have emerged to mitigate the impact on portfolios. In this study, the authors document the outperformance of stocks, in terms of momentum, far away from their peak position relative to stocks very near their peaks. Turns out the outperformance is very large. It also accounts for the majority of negative momentum performance.
The Gender Gap in Housing Returns
Do men and women differ in their financial returns on housing investments? What are the main drivers?
What are the Best Times for ETF Investors to Trade?
The expense ratio aside, the cost of transacting in an ETF depends on the size of the bid/ask spread at any point in time during the trading day. The ETF investor should make evidence-based trading decisions since the bid/ask spread can range from 1 basis point (bp) to several hundred bps. What are some intelligent guidelines for ETF investors--avoid the open, avoid the close, and what about everything in-between? This article provides data on the effect of the time of day on the average bid/ask spread for ETFs.
Game On: Social Networks and Markets
This article studies how investment ideas can propagate through a social network and affect market behavior and prices.
How factor exposure changes over time: a study of Information Decay
Factor strategies need to be rebalanced in order to maintain their factor exposure. But different factors decay at different rates and this affects how they should be rebalanced. For example, momentum needs to be rebalanced more than value. This study digs into these questions.
Index Investing and the Informational Efficiency of Stock Prices
This article studies whether index investing has implications for the informational efficiency of stock prices.