Macroeconomics Research

Home/Posts/Research Insights/Macroeconomics Research

Should Treasury Bills Be The Risk-Free Asset in Asset Pricing Models?

By |2020-10-27T08:12:29-04:00November 5th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Low Volatility Investing, Macroeconomics Research|

In virtually all studies on asset pricing and asset pricing models, the one-month Treasury bill is the choice as the risk-free rate. In his study “The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead [...]

How Do You Think the Global Market Portfolio Has Performed from 1960-2017?

By |2020-11-01T14:59:00-05:00November 2nd, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, Macroeconomics Research|

Historical Returns of the Market Portfolio Ronald Doeswijk, Trevin Lam and Laurens SwinkelsThe Review of Asset Pricing Studies, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

News and its Impact on Risk and Returns Around the World

By |2020-10-12T10:34:20-04:00October 12th, 2020|Research Insights, Machine Learning, Macroeconomics Research|

How news and its context drive risk and returns around the world Charles Calomiris and Harry MamayskyJournal of Financial Economics, August 2019A version of this paper can be found here.Want to read our summaries of academic [...]

Do Treasuries Have a Place in a Modern Portfolio?

By |2020-07-28T14:41:16-04:00July 9th, 2020|Research Insights, Academic Research Insight, Fixed Income, Macroeconomics Research|

Do treasuries, most yielding well south of 1%, have a place in a modern portfolio? Currently at these levels, I conclude they don’t. Modern Portfolio Theory says that “the market” portfolio, leveraged or not, has [...]

Do Interest Rates Explain Value’s Underperformance?

By |2020-06-02T10:55:56-04:00June 4th, 2020|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Tactical Asset Allocation Research, Macroeconomics Research|

From January 2017 through March 2020, the value premium, defined by HML (the return of high book-to-market stocks minus the return of low book-to-market stocks experienced a drawdown of 42 percent. The team at Buckingham [...]

Free Tool Announcement: Visualizing Unemployment Claims

By |2020-05-29T09:32:43-04:00May 29th, 2020|Tool Updates, Investor Education, Macroeconomics Research|

Our friend Jonathan Regenstein, over at http://www.reproduciblefinance.com/, convinced me that using R would be a great way to build web applications that would help us fulfill our mission to empower investors through education. We are [...]

Estimating Pandemic Economic Costs for “Face-to-Face” Businesses

By |2020-04-20T10:44:21-04:00April 20th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Business disruptions from social distancing Miklós Koren and Rita PetoCovid Economics, Center for Economic Policy ResearchA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

The Economic Consequences of Pandemics: A Guide from History

By |2020-04-10T12:46:23-04:00April 10th, 2020|Research Insights, Factor Investing, Academic Research Insight, Tactical Asset Allocation Research, Macroeconomics Research|

Pandemics: Long-Run Effects Òscar Jordà, Sanjay R. Singh, Alan M. TaylorCEPR PressA version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What are [...]

Corporate Governance, ESG, and Stock Returns around the World

By |2020-03-26T12:24:35-04:00March 26th, 2020|ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Corporate Governance, ESG, and Stock Returns around the World Mozzafar KahnFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Macroeconomic Risks in Equity Factor Investing: Part 2/2

By |2020-02-24T10:33:19-05:00February 24th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Macroeconomic Risks in Equity Factor Investing: Part 1

By |2020-02-10T13:18:05-05:00February 10th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Macroeconomic Risks in Equity Factor Investing Noël Amenc, Mikheil Esakia, Felix Goltz, And Ben LuytenJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

Global Impact of Investor Home Country Bias

By |2019-12-05T16:16:14-05:00December 5th, 2019|Research Insights, Larry Swedroe, Macroeconomics Research|

A large body of research demonstrates that “familiarity breeds investment.” For example, a study by Gur Huberman found that shortly after AT&T was broken up and shareholders were given shares in each of what were [...]

Myth-busting: Fed Actions and Stock Prices

By |2019-12-02T08:10:24-05:00December 2nd, 2019|Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

Does the Fed Impact Stock Prices? McDonald, Puleo and Shadmani Journal of Investing, February 2019 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research [...]

The Perils (and Inevitability) of Forecasting

By |2019-07-22T12:28:16-04:00August 1st, 2019|Research Insights, Guest Posts, Tactical Asset Allocation Research, Macroeconomics Research|

I recently experienced one of those fortunate confluence of events that helped me better grasp the relationship between forecasting (which I feel is futile) and my contrarian biases (which are strong).  I better realize now [...]

Sector Business Cycle Analysis

By |2019-03-04T10:34:50-05:00March 7th, 2019|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

There are different investment approaches to identify sector winners and losers, such as price momentum strategies, top down approach based on specific macroeconomic indicators or bottom-up approaches to identify sectors with improving fundamentals. One widely [...]

What the CFOs Think About the Equity Premium in 2018

By |2018-04-12T14:09:12-04:00April 11th, 2018|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

Professors John Graham and Campbell Harvey consistently put out great research. One of their innovations in financial research is their annual CFO survey (we've covered this research here, here, and here, if interested). In their [...]

Is The US Stock Market Overvalued? Depends on which Model You ask

By |2018-03-16T07:48:23-04:00March 15th, 2018|Research Insights, Tactical Asset Allocation Research, Macroeconomics Research|

When stock prices reach a new high, investors start asking the question: Are stocks overvalued? To answer this question, investors have developed several alternative equity valuation models. Typically, each of these models compares the stock [...]

Treasury Bills Outperform Most Stocks — Say What???

By |2017-08-18T16:54:25-04:00January 26th, 2017|Research Insights, Active and Passive Investing, Macroeconomics Research|

Each morning we peruse a variety of research sites to see if there is anything exciting, new, and intriguing. Rarely does one find something that triggers a knee-jerk reaction like a recent paper by Hendrik [...]

Earth to Passive Investors: Lunch is Never Free.

By |2017-08-18T17:05:54-04:00November 7th, 2016|Uncategorized, Tactical Asset Allocation Research, Active and Passive Investing, Macroeconomics Research|

Imagine the following scenario: A strategy that outperforms everything. An ability to scale the strategy at no costs. A beating drum highlighting the infallible logic of the strategy. And the best part is this strategy [...]

Go to Top