Political Beta
This example of research on political beta is an example of applying portfolio theory to problems associated with global politics.
Institutional Investors and Corporate Carbon Footprint
This table of emissions and carbon intensity is relevant to the question of institutional investor influence over the carbon footprint.
Expected Returns for Private Equity Will Probably Suck
The illiquid nature of the asset class makes the demystifying of private equity returns difficult to achieve under any circumstances, but the framework presented in this article should move the reader closer to the goal.
Can Investors Save the Planet? Unlikely.
Can the planet earth be saved by investors? Find out what the research says!
Automation and Asset Pricing Theory
In this article about asset pricing theory, we examine the research on the impact of technological advances that displace human labor in favor of machine capital to asset pricing.
Measuring Geopolitical Risk
Although geopolitical risk has traditionally been approached from a qualitative aspect, what makes it a novel risk is the application of innovative techniques to measure it.
Book Review: The Bogle Effect by Eric Balchunas
This is a review of Eric Balchunas's book "The Bogle Effect: How John Bogle and Vanguard Turned Wall Street Inside Out and Saved Investors Trillions."
Bigger is Not Always Better in Asset Management
Pastor, Stambaugh, and Taylor (2015) and Zhu (2018) provide significant evidence of decreasing returns to scale (DRS) at both the fund and industry levels. The authors examine the robustness of their inferences after Adams, Hayunga, and Mansi (2021) critique the above two studies.
Volatility scaling is useful for factor timing
This paper investigates the effects of volatility scaling on factor portfolio performance and factor timing.
Investing in Deflation, Inflation, and Stagflation Regimes
In this article, we examine the research on investing during inflationary regimes such as deflation, inflation, and stagflation. Factors perform relatively well in all regimes on a real basis.
Want to Get on a Corporate Board? Who You Know Matters
Here's what the research says about how to get on a board of directors.
Does Momentum work in Option Markets?
This paper explores the question of option momentum by examining what the research says about the performance of option investments across different stocks.
Is there a theoretical foundation behind industry and factor momentum
Industry and factor momentum should be viewed as recent developments in the wider momentum story, although these aggregated measures of momentum lack any theoretical foundation.
The Cross Section of Stock Returns Pre-CRSP data: Value and Momentum are confirmed as robust anomalies
We study the cross-section of stock returns using a novel constructed database of U.S. stocks covering 61 years of independent data.
Momentum Factor Investing: 30 years of Out of Sample Data
In this article, the author examines the research published over the last 30 years on momentum and its theoretical credibility. One of the original momentum articles was published by Jegadeesh and Titman in 1993, and is considered the seminal work on the topic. The research review contained in this publication begins with the 1993 work and confines itself to only the highest quality journals among the plethora of work that has been published on momentum.
Bias in Beta and Implications for Empirical Asset Pricing
In this article, the author examines several important questions related to asynchronous trading, or the variation in trading frequency that occurs when trading stocks or other assets.
Are ESG strategies more effective for societal impact or performance?
In this article, we examine the research addressing the question of to what extent, if any, ESG strategies improve investment performance on a risk-adjusted basis, or if they are more effectively used for the societal impact they potentially have.
The Effect of Indexing on Price Discovery and Limits to Arbitrage
We discuss the academic research about the causal effect of indexing on arbitrage conditions and price discovery.
Is Democracy better for the stock market?
We examine the question of whether or not democracy leads to better possible outcomes for the stock market.
Pulling the curtain back: what do millionaires invest in?
In this article, we examine the academic research about what millionaires invest in.