Bias in Beta and Implications for Empirical Asset Pricing
In this article, the author examines several important questions related to asynchronous trading, or the variation in trading frequency that occurs when trading stocks or other assets.
Are ESG strategies more effective for societal impact or performance?
In this article, we examine the research addressing the question of to what extent, if any, ESG strategies improve investment performance on a risk-adjusted basis, or if they are more effectively used for the societal impact they potentially have.
The Effect of Indexing on Price Discovery and Limits to Arbitrage
We discuss the academic research about the causal effect of indexing on arbitrage conditions and price discovery.
Is Democracy better for the stock market?
We examine the question of whether or not democracy leads to better possible outcomes for the stock market.
Lottery Demand and the Asset Growth Anomaly
It is well documented in the literature that over the long term, low-investment firms have outperformed high-investment firms—with the negative relation between asset growth (AG) and future stock returns particularly featured by the overvaluation of high AG stocks.
What is the Story Behind Trend Following?
Trend Following is simply buying an asset when it is going up, *and,* you sell that asset when it is going down.
Pulling the curtain back: what do millionaires invest in?
In this article, we examine the academic research about what millionaires invest in.
Global Factor Performance: October 2022
Standardized Performance Factor Performance Factor Exposures Factor Premiums Factor Attribution Factor Data Downloads
Momentum Everywhere, Including Emerging Markets
Atilgan et al. contribute to the momentum literature with “Momentum and Downside Risk in Emerging Markets.”
DIY Trend-Following Allocations: October 2022
No exposure to domestic equities. No exposure to international equities. No exposure to REITs. Partial exposure to commodities. No exposure to intermediate-term bonds.
Does Gender Affect Reactions to Market Sentiment Shifts?
Does gender matter in institutional investing?
The Relationship Between the Demand for Leverage and Management Fees
This article discusses what academic research says about the relationship between the demand for leverage and management fees.
Portfolio Architect as a Tool for Growing Your Business: Today at 12pm EST.
Scott will demonstrate how he uses our Portfolio Architect tool to simplify the investment model discussion with clients and how the tool can save you time creating marketing material.
If you are a current user of our tool, we highly recommend you attend this discussion.
Gender Pay Gap Transparency
In this article, we examine what the research says about gender pay gap transparency. We look at the research questions and academic insights with an eye toward why it matters.
High-Frequency Consumer Spending Data and the Cross-Section of Stock Returns
Consumer demand drives the cash flows of consumer-oriented companies. Thus, they should serve as a reliable source of information to predict future fundamentals above and beyond the information contained in financial statements and readily available market data.
Should Levered and Inverse ETFs Even Exist?
In this article, we explore Levered and Inverse ETPs (exchange-traded products); their purpose, the circumstances in which they tend to succeed and fail, and the research questions associated with them.
Has the Stock Market Systematically Changed?
This time is almost always different, it seems, but the data suggest that things are typically always the same: chaotic and volatile. Stock market investors should be prepared for large short-term moves in stocks and they should be skeptical of narratives suggesting a causal relationship between environmental variables and future volatility.
Momentum Investing: How Did Momentum Investing Perform After the Previous Two Valuation Peaks?
How did Momentum investing perform after the previous two valuation peaks?
This article answers this question.
Key finding: Momentum investing also performed well following episodes when value stocks were cheap. Of course, momentum portfolios did not perform nearly as well as value portfolios, but they did still beat the generic market.
We dig into the details below.
The Short-Duration Equity Premium
We examine the short-duration premium using pre-scheduled economic, monetary policy, and earnings announcements. We provide high-frequency evidence that duration premia associated with revisions of economic growth and interest rate expectations are consistent with asset pricing models but cannot explain the short-duration premium. Instead, we show that the trading activity of sentiment-driven investors raises prices of long-duration stocks, which lowers their expected returns, and results in the short-duration premium. Long-duration stocks have the lowest institutional ownership, exhibit the largest forecast errors at earnings announcements, and show the highest mispricing scores.
Is Momentum a Separate Factor?
We find that factor momentum concentrates in factors that explain more of the cross section of returns and that it is not incidental to individual stock momentum: momentum-neutral factors display more momentum.