Research demonstrates that the investment factor has explanatory power for the cross-section of stock returns, with high-investment firms tending to underperform low-investment firms. For example, Kewei Hou, Chen Xue and Lu Zhang, authors of the [...]
We built a simple tool recently to review so-called value spreads over time. [ref]something we've discussed in the past many times. Example here.[/ref] This tool maps out the median valuations for the top decile and [...]
In this week's post, I discuss four papers. The first paper, summarized by Tommi and written by Tarun Gupta and Bryan Kelly (AQR), examines the momentum of (L/S) factors. The second article, written by Larry [...]
Passive Sustainable Funds: the Global Landscape Hortense Bioy and Kenneth LamontThe Journal of Index Investing, 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category. [...]
In this week's video, we examine four articles. The first article, written by Elisabetta, examines a trading strategy on bonds (duration) using news sentiment. The second article, written by Larry Swedroe, examines two papers using [...]
Two of the more interesting puzzles in finance are related to volatility—stocks with greater idiosyncratic volatility (IVOL) have produced lower returns and stocks with high uncertainty about risk, as measured by the volatility of expected [...]
A Guide to ESG Portfolio Construction Michael Branch, Lisa R. Goldberg and Pete HandJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]
In this week's episode, we cover two articles. The first article, summarized by Tommi, examines the performance of tax-managed factor strategies. The second article examines the performance of systematically purchasing stocks trading above 10x their [...]
Early last week, Meb Faber included me on a conversation on buying stocks trading at 10x their company's revenue (sales). Is this a good idea and how did it do in the past? Given that [...]
In this week's episode, we cover four articles published on our site. The first article, written by Ryan, examines the growth in assets of ETFs and Mutual Funds. The second article, summarized by Elisabetta, examines [...]
The financial equivalent of the famous Miller Lite, “tastes great, less filling” debate is the debate between traditional financial economics which uses risk theories to explain asset pricing and the newer behavioral finance field that [...]
Here is a link to our podcast on "The 15 Minute Financial Advisor" Show: Ryan Kirlin knows ETFs. He used to work at the New York Stock Exchange, helping ETF companies launch their funds on [...]
In this week's video, we discuss three posts. The first post discusses the new index analysis section on our site. The second post, written by Tommi, uses Hedge Funds' past performance to identify if one [...]
In this week's post, we discuss two posts. The first post, written by Elisabetta, examines a new method attempting to directly measure aggregate investor overconfidence. The second post, written by Larry Swedroe, examines issues that [...]
For those interested in the literature on factor-based investing, a new paper by Robert Arnott, Campbell Harvey, Vitali Kalesnik and Juhani Linnainmaa, “Alice’s Adventures in Factorland: Three Blunders That Plague Factor Investing,” focuses on why, [...]
In this week's post, I discuss three papers. The first examines a new factor, the Cash Conversion Cycle--while most are discounting factors in the new "Factor Zoo" world, this is definitely an interesting factor to [...]
The Cash Conversion Cycle Spread Baolian WangJFE, forthcoming.A version of this paper can be found here.Old discussions here and here. h.t. M. Mauboussin What are the research questions? The barrier to entry into the factor zoo [...]
Momentum Factor Investing in 19th Century Imperial Russia William Goetzmann and Siman HuangJFE, forthcoming.A version of this paper can be found here. What are the research questions? Momentum is often considered the "premier anomaly" because of [...]
As the chief research officer for Buckingham Strategic Wealth and The BAM Alliance, I’m often asked, after any asset class or factor experiences a period of poor performance, if the historical outperformance of stocks with [...]
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 Johnson for mentioning this paper![/ref] What are the research questions? [...]
