The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?,” have investigated the impact on U.S. value strategies of [...]
My March 23, 2021, article for Alpha Architect addressed the issue that in recent years the field of empirical finance has faced challenges from papers arguing that there is a replication crisis because the majority of studies [...]
Here is a link to our recent chat on The Meb Faber Show regarding the details on Value Investing: An Examination of the 1,000 Largest Firms: Among stock investors, a common strategy/belief held is Value [...]
A large body of evidence, including the studies “Is There Momentum in Factor Premia? Evidence from International Equity Markets,” Factor Momentum Everywhere (Summary)” and “Factor Momentum and the Momentum Factor,” has demonstrated that momentum exists [...]
From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many investors jumped to the conclusion that the value premium was [...]
The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Here is a link to our recent chat on The Meb Faber Show regarding the details on how to start an etf: This topic is up your alley, feel free to go back and listen [...]
Academic research has found that factor premiums are both time-varying and dependent on the economic cycle. For example, Arnav Sheth, and Tee Lim, authors of the December 2017 study “Fama-French Factors and Business Cycles,” examined [...]
Since the development of the capital asset pricing model (CAPM) about 50 years ago, academic researchers have documented hundreds of “anomalies” that generate significant positive alpha. There are now so many that economist John Cochrane, [...]
Is the Value Premium Smaller Than We Thought? Mathias HaslerSSRN Working PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]
Market Returns and A Tale of Two Types of Attentions Da, Hua, Hung, and PengA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?,” have investigated the impact on U.S. value strategies of [...]
The following factor performance modules have been updated on our Index website.free access for financial professionals Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Matúš PadyšákQuantpedia.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Abstract While there may be debates about passive and active investing, [...]
People systematically overlook subtractive changes Gabrielle S. Adams, Benjamin A. Converse, Andrew H. Hales & Leidy E. Klotz Nature 592, 258-161A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
Factors and Risk Premia in Individual International Stock Returns Geert Bekaert, Eric Engstrom and Andrey ErmolovJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? [...]
My August 17, 2020, article for Advisor Perspectives, “Factor-Based Investing Beats Active Management for Bonds,” provided the evidence from a series of academic papers on the ability of common factors to explain the variation of [...]
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence Baltussen, Martens and Penningaworking paper, 2021A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
