Are there similarities in the trading behavior of financial advisors and their clients? Are fees paid by advisors and clients similar too? Are advisers overconfident in their skill at identifying active managers and in their ability to outperform passive investments?
Ben and Cameron, which host the excellent Rational Reminder podcast, sit down with Jack Vogel and go through a laundry list of factor investing questions
Liquidity—the ability to buy and sell significant quantities of a given asset quickly, at low cost, and without a major price concession—is valuable to investors. [...]
Eric Balchunas had a recent tweet that I found fascinating. Eric's tweet merely captures the tip of the iceberg with respect to the current market [...]
Momentum, Reversals, and Investor Clientele Andy Chui, Avanidhar Subrahmanyam, and Sheridan TitmanReview of Financial Studies, 2021A version of this paper can be found hereWant to read [...]
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
How Global is Your Mutual Fund? International Diversification from Multinationals Irem Demirci, Miguel A. Ferreira, Pedro Matos, and Clemens SialmReview of Financial Studies, 2021A version [...]
Option Return Predictability with Machine Learning and Big Data Bali, Beckmeyer, Moerke, WeigertA version of this paper can be found hereWant to read our summaries of [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations Kronlund, Pool, Sialm and StefanescuJournal of Financial Economics, 2021A version of [...]
In this original research, Elisabetta and I study data across 29 global markets and provide empirical data on the following question: What percentage of CFO [...]
The Role of Factors in Asset Allocation Mark KritzmanJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
Hendrik Bessembinder contributes to the literature on the returns to public equity investment diversification benefits with his study “Wealth Creation in the US Public Stock [...]
At the table but cannot break through the glass ceiling: Board leadership positions elude diverse directors Laura Casares Field, Matthew E. Souther, Adam S. YoreJournal [...]
Sustainable investing has grown substantially in recent years, demonstrating that investor demand can be driven by nonfinancial issues such as environmental (E), social (S), and [...]
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
Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our [...]
Because of the complexity inherent to ETF trading in the secondary market, there are frequent misunderstandings about the relationship between the liquidity of the underlying [...]
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
The rate of communication Huang, Hwang and LouJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of academic [...]
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