Skewness as a Hidden Driver of Anomaly Returns
Behavioral finance research has established that investors dislike negative skewness because it exposes them to rare but severe losses, while they embrace positive skewness because [...]
Flying below the radar: Insider trading by executives below the top
Insider trading is usually framed around CEOs, board members, and officially designated insiders. These are the people regulators monitor closely. But modern corporations contain many other employees with access to valuable information. This paper studies whether these “below-the-top” executives trade profitably on material non-public information.
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.
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.
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.
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.
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.
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 [...]
Should Your Mom Have Private Equity in Her 401K?
For most investors, private equity may not deliver the promised edge. There is a simpler, more liquid way to access the same economic exposure.
The Skip-Month Mystery: What Last Month’s Returns Are Really Telling You
New research challenges a long-standing rule in momentum investing—and reveals surprising insights about when to use it For decades, investors using momentum strategies have followed [...]
Asset Pricing and Risk-Sharing Implications of Alternative Pension Plan Systems
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.
The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components
Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like [...]
Factor MAX: A New Signal for Predicting Factor Returns
Investment professionals have long relied on factor investing—strategies built around characteristics like value, momentum, and quality—to generate returns beyond the broad market. But predicting which [...]
Mean Reversion in Play: Carry is BACK?!
Why is carry doing so well? How did this convergent strategy end up benefiting from one of the biggest geopolitical shocks in modern times? By examining this question, investors will be better informed about how to build better portfolios and whether carry should have a strategic slice of the portfolio pie.
Increases CAPE Ratio Predictability with a Simple Adjustment
CAPE has long been a cornerstone of long-horizon return forecasting. Critics argue that its predictive power has faded in recent decades. This paper pushes back.
The Return of the King: Trend Following Is Back – But Will It Last?
Trend following is finally moving while U.S. stocks are flat. And so—like with most assets or strategies that post strong returns—investors may be eyeing this particular strategy and asking: Is it time to get in? The answer, while not surprising, is definitely nuanced.
Unlocking Hidden Value: How Corporate Language Reveals the Future of Intangible Investment
Intangible assets—things like brand reputation, proprietary knowledge, and organizational capabilities—have become more valuable than physical factories and equipment with many studies estimating that intangibles now [...]
The Best Defensive Strategies: Two Centuries of Evidence
Which defensive strategies have actually worked, and do the conclusions survive when we evaluate them over multiple centuries rather than a few decades?