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 [...]
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 [...]
Since the development of the capital asset pricing model (CAPM) in the 1960s, hundreds of anomalies (what John Cochrane famously called a “zoo of new [...]
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 [...]
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 [...]
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 [...]
Seven Centuries of Commodity Reversals Adam Zaremba, Robert Bianchi, and Matuesz MikutowskiA version of this paper can be found here. What are the research questions? As [...]
Low Volatility Needs Little Trading Pim van Vliet Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]
In today’s video, we examine two posts from last week. First, we examine Wes' post on the Size factor. Second, we examine a paper by [...]
One of the oldest and most persuasive arguments in the stock market is that small stocks outperform large stocks.[ref]A version of this showed up in [...]
Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries [...]
In today's video, we examine three posts. First, we examine Larry Swedroe's rebuttal to the "failure" of factor investing. Second, we examine a paper examining [...]
Size and Value in China Jianan Liu, Rob Stambaugh, and Yu Yuan Journal of Financial Economics A version of this paper can be found here What [...]
Value investing practitioners and academics have long studied the enterprise multiple effect, including my own business partners, Jack and Wes. The literature reveals that Enterprise [...]
In a recent ETF column, Allan Roth listed five investment lessons. While I agreed with much of what he wrote, one claim—factor investing has “failed [...]
In today's video, we examine three posts. First, we examine ESOPs and 1042 QRP (qualified replacement property) with Doug Pugliese. Second, we examine a guest [...]
There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between [...]
The October 2018 market correction where the S&P 500® Index fell by 7%, its worst October since 2008,[ref]Bloomberg Finance L.P., as of 10/31/2018.[/ref] left investors [...]
As the year turns, a common practice is to assess a portfolio and see how each position performed. The summary for stocks is easy: equities [...]
In the last post in our machine learning series, we showed how nonlinear regression algos might improve regression forecasting relative to plain vanilla linear regression (i.e., [...]
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