Wes Discusses Value Investing Foundations with Isaiah Douglass
On this week's episode, Isaiah is joined by expert Dr. Wesley Gray, CEO of Alpha Architects, to discuss the concepts of value ???? investing.
How Did the FTX collapse Affect Traditional Assets?
In this study, the impact of the FTX collapse and bankruptcy is investigated across global financial markets.
DIY Trend-Following Allocations: April 2023
Partial exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. No exposure to commodities. Partial exposure to intermediate-term bonds.
Is a Naive 1/N Diversification Strategy Efficient?
A simple 1/N factor diversification strategy will likely be at least as efficient as more “sophisticated” versions.
Call for speakers: Need quants with good ideas
This is an opportunity to get an all-expense paid trip (plus a stipend) to visit Australia! I'm sure one of our readers is qualified to deliver an excellent discussion for my friends in Melbourne.
Institutional Investors’ Impact on Factor Premiums
For anomalies that are risk-based, that is what we should expect to see because, while risk cannot be arbitraged away, cash flows can reduce the size of the premium. For the anomalies that are behavioral based, it appears that limits to arbitrage are still sufficient to allow them to persist post-publication.
Comparing past and present inflation rates can be tricky
The objective of this article is to build better estimates of CPI headline and core inflation values so inflation comparisons over time are more reliable. The run-up in inflation we are currently experiencing is difficult to contextualize because it is inconsistent with past practices, weights on expenditures have changed, and the treatment of housing costs.
Research and Development, Expected Profitability, and Expected Returns
Regardless of the model used, an anomaly for all models is that the empirical evidence demonstrates that stocks with high research and development (R&D) expenses have delivered a premium.
Artificial Intelligence: the Past, the Present and the Future
This article examines the state of Artificial Intelligence (AI). We examine its history with an eye toward what it may mean for the world in years to come.
Are Short Covering Trades Informative?
The importance of the role played by short sellers has received increasing academic attention in recent years. Short sellers help keep market prices efficient by preventing overpricing and the formation of price bubbles in financial markets. Market efficiency is important because an efficient market allocates capital efficiently. If short sellers were inhibited from expressing their views on valuations, securities prices could become overvalued and excess capital would be allocated to those firms.
Compression: Can the Value Spread Expand Forever?
We believe owning deep-value stocks is potentially interesting at these valuation peaks. But as I said in the previous two times I wrote this, the spread can get more extreme. At some point, we'd like to stop talking about the valuation spread and its potential effect on forward expected returns...and see that spread COMPRESS!
Global Factor Performance: March 2023
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
Can We Improve Momentum Factor Investing via Salience Theory?
The contribution of salience theory to the theory of asset pricing turns out to be quite a profitable insight for momentum strategies.
Intangibles and the Value Factor
This figure shows the long, short and long-short leg performance of the intangible value factor in comparison to the traditional value factor. The performance is shown for each of the four regions: U.S., Europe, Japan and Asia Pacific between June 1983 and December 2021. The monthly returns are ex-post volatility scaled to 5% p.m
DIY Trend-Following Allocations: March 2023
No exposure to domestic equities. Partial exposure to international equities. No exposure to REITs. No exposure to commodities. No exposure to intermediate-term bonds.
Does International Diversification Work?
In this article, the authors examine the research on the benefits of international diversification. Some argue that because equity markets generally crash simultaneously, there are no benefits to having equity diversification. The evidence from this paper rejects this hypothesis.
Inside the Minds of Expected Stock Returns
Non-traditional investor preferences play an important role in explaining the cross-section of expected stock returns.
How Pervasive is Corporate Fraud?
In this article, we examine the research on the pervasiveness of corporate fraud (misconduct or alleged fraud), which is one of the (less emphasized) costs of public ownership.
It’s Always Darkest Just Before Dawn
Wide divergences between the valuations of cheap stocks relative to expensive stocks have preceded significant outperformance for value over the subsequent decade, as shown in this figure.
Do Gender Pay-Gap Disclosures Make a Difference?
The verdict is still out on the impact of legislation regarding firm disclosure rules on the gender pay gap (GPG). Results from recently published research are mixed.