Why Do Investors Hold ESG Investments?
There was really only one question investigated in this research: Are social preferences and values the main drivers of an SRI investors' choice of SRI mutual funds?
Chasing Low Beta Loses Alpha
One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relationship between risk and return. However, empirical studies have found the actual relationship to be basically flat, or even negative. Over the last 50 years, the most “defensive” (low-volatility or low-beta, low-risk) stocks have delivered both higher returns and higher risk-adjusted returns than the most “aggressive” (high-volatility, high-risk) stocks.
How to Start an ETF? Resources and FAQ
We get the following question at least 1x a day: "How do I start an ETF? Because we have so many requests for information on the topic of "How to Start an ETF?", Wes asked that I compile a list of materials on the topic and a "FAQ" to address all of your burning questions.
Do Financial Advisors Transmit their Biases to Clients? Yes.
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?
Factor Investing Deep Dive with Jack Vogel
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
The Vanishing Illiquidity Premium
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. [...]
How Crazy is the Current Market? Not that Crazy.
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 [...]
The Momentum Factor is Driven by Behavioral Bias, Not Risk
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 [...]
Global Factor Performance: November 2021
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
US Funds Have Surprisingly Large International Exposure
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 [...]
Using Machine Learning to Predict Options Returns
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 [...]
DIY Asset Allocation Weights: November 2021
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 [...]
Fee Disclosures Can Improve Investor Decision-Making
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 [...]
What percentage of CFO/CAOs are Women?
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 [...]
Do factors have a role in asset allocation?
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 [...]
A History of Wealth Creation in the U.S. Equity Markets
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 [...]
Boards are More Diverse-What about Board Leadership?
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 [...]
The Impact of ESG Scores on Asset Prices
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 [...]
Global Factor Performance: October 2021
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
Do Big Value Spreads Mean Big Returns to Value Strategies?
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 [...]