Is The Value Premium Smaller Than We Thought?
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 [...]
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 [...]
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] 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 launch an ETF: This topic is [...]
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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] 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 [...]
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 [...]
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 [...]
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 [...]
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 [...]
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
Two of the more interesting puzzles in finance are the high beta anomaly (high beta stocks have lower returns) and the IVOL anomaly (stocks with [...]
Factor Exposure Variation and Mutual Fund Performance Ammann, Fischer and WeigertFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries [...]
As far back as 1976, with the publication of Fischer Black’s “Studies of Stock Price Volatility Changes” financial economists have known that volatility and returns [...]
Timing is money: The factor timing ability of hedge fund managers Albert Jakob Osinga, Marc B.J. Schauten, Remco C.J. ZwinkelsJournal of Empirical FinanceA version of [...]
My October 29, 2020, article for Alpha Architect examined the research on the profitability factor. I then reviewed the findings of the June 2020 study [...]
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