Cashless payment and financial inclusion
Digital payment systems are not just transaction infrastructure. They are information systems that can reshape credit markets.
Two Accounting Anomalies: One May Be Risk, the Other Is Mispricing
Accounting anomalies are dynamic, and the ultimate interpretation depends on sample period, market structure, and the pricing model used.
The Intramonth Momentum Cycle
Momentum profits are largely driven by institutional cash-management mechanics. Specifically, investors needing settled cash before month-end systematically sell their losers. And this predictable “dash-for-cash” creates a highly concentrated momentum effect during just six trading days every month.
Bonds Seem to Not Diversify Anymore. Now What?
Bonds are doing something they haven't done in decades: consistently correlating to stocks, all while delivering disappointing returns. So is the 60/40 portfolio dead? We examine AQR's latest article, where Cliff Asness, Daniel Villalon and Antti Ilmanen argue that a positive stock-bond correlation is a terrible reason to add more equity risk to your portfolio. Using 100 years of data, we test whether bonds ever truly diversified stocks, how the post-2022 positive stock-bond correlation changes the math, and why cash may not be such a bad alternative to bonds in a stock portfolio.
Financial literacy and financial crime: A regression discontinuity approach
Financial crime is often treated as a matter of enforcement. People break rules, courts prosecute, and regulators respond. But in reality, financial crime can also [...]
The Impressive Markets Hypothesis: Prices Still Know the Future
Markets are not perfect. Anomalies exist. But the idea that social media and information overload have fundamentally broken the relationship between prices and business fundamentals doesn’t survive contact with 20 years of data.
Why Retail Loves SpaceX: A Puzzle with a Long History and Predictable Ending
As I'm writing this, the largest IPO in history is underway. SpaceX, which targeted a $135 IPO price, closed above $160 in its first trading day, making Elon Musk the world's first trillionaire and SpaceX the sixth largest public company in the world. Talk about a rocket ship! While the numbers are astonishing, the story is the same. Retail loves expensive stocks that tell a story.
Extrapolators and contrarians: Forecast bias and individual investor stock trading
Forecast bias is not just about stated beliefs. It shows up directly in individual stock selection.
Dividend Timing and Global Dividend Premium
Dividend-paying stocks outperform non-payers by a meaningful margin, even after controlling for traditional global and regional risk factors.
The Factor Zoo Has Hundreds of Animals — But Only a Handful of Species
Only a few truly distinct forces actually drive the market. The problem: too many factors, too little meaning.
Second Chance: Life with Less Student Debt
There is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.
Why You Bought GameStop — And Why You Lost Money On It
New academic research explains how retail investors’ own psychology turned the COVID trading boom into a wealth-destroying machine — and what it means for you. [...]
Institutions’ return expectations across assets and time
Institutional investors largely behave in line with rational asset pricing models. Yet at the same time, they strongly disagree with each other, and this disagreement has important implications for markets.
Trend-Following Filters – Part 10
1. Introduction Two previous articles, “Trend-Following Filters – Part 7” [1] and “Trend-Following Filters – Part 9” [2], examined, from a digital signal processing (DSP) [...]
What Drives Investors’ Portfolio Choices? It’s Not What You May Think
Portfolio choices are not driven by preferences alone, they are also shaped by frictions, small costs, inertia, and default options. The result is a subtle but powerful mechanism. What investors hold is not always what they want.
When Everyone Trades the Same Factor Playbook
What happens to market prices when millions of investors simultaneously follow the same mechanical rules to rebalance the same portfolios? If you allocate to factor strategies, this paper has interesting findings as to where your returns are actually coming from.
Leader-Follower Dynamics in Shareholder Activism
Activists do not need formal coordination to act together. Instead, they use market signals. Trading itself becomes a way to influence other investors. The result is a subtle but powerful mechanism.
Why the 351 Exchange Might Revolutionize Investing
The 351 exchange seems to be gaining real traction. A section 351 exchange allows investors to exchange property for shares of a new company. In the case of ETFs, investors are able to exchange their appreciated holdings for shares of a new exchange-traded fund without immediately triggering capital gains, if rules and tests are met. Still, many are wondering what the basis is for using a century-old tax rule and applying it to a modern investment wrapper. More importantly, if 351 exchanges are not tools for achieving portfolio diversification, why are they being used to seed ETFs?
Institutional Investor Attention
Funds that reallocate attention toward macro news when volatility rises perform better. Funds also pay more attention to the stocks they own, and that attention helps them make more valuable position and trading decisions.
Why Momentum Investing Has Been Struggling—And What Volatility Has to Do With It
A look at recent academic research connecting market volatility spikes to the underperformance of momentum strategies (especially for long/short versions of the strategy) The Big [...]