AA Welcomes the Newest Deadlifter to the Team: Jess Bost
BROOMALL, PA -- Alpha Architect, LLC announces that Jess Bost, RICPⓇ has joined the firm as Vice President - Brand Partnerships. In her newly created [...]
Mutual Funds: Negative $125B in Value-Add?
The Persistence of Fee Dispersion among Mutual Funds Cooper, Halling and YangReview of Finance, 2021A version of this paper can be found hereWant to read our [...]
International Tests of Factor Anomalies: Most Don’t Survive
Since the development of the capital asset pricing model (CAPM) about 50 years ago, academic researchers have documented hundreds of “anomalies” that generate significant positive [...]
The Value Premium Might be Smaller Than We Originally Thought
Is the Value Premium Smaller Than We Thought? Mathias HaslerSSRN Working PaperA version of this paper can be found hereWant to read our summaries of academic [...]
The Impact of Goodwill on Stock Returns
A firm’s stock price should reflect the value of both its tangible and intangible capital. While tangible capital has been widely studied, intangible capital has [...]
Financial Media, Price Discovery, and Merger Arbitrage
Financial Media, Price Discovery, and Merger Arbitrage Buehlmaier and ZechnerReview of Finance, forthcomingA version of this paper can be found hereWant to read our summaries of [...]
Relative Sentiment and Market Returns
Market Returns and A Tale of Two Types of Attentions Da, Hua, Hung, and PengA version of this paper can be found hereWant to read [...]
Value Investing and the Role of Intangibles
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just [...]
Disentangling measures of carbon risk
Decarbonizing Everything Alexander Cheema-Fox, Bridget Realmuto LaPerla, George Serafeim, David Turkington, & Hui (Stacie) WangFinancial Analysts JournalA version of this paper can be found hereWant to [...]
Global Factor Performance: August 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
The Active vs Passive: Smart Factors, Market Portfolio, or Both?
Matúš PadyšákQuantpedia.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Abstract [...]
Behavioral Finance Warning: Humans Love Complexity
People systematically overlook subtractive changes Gabrielle S. Adams, Benjamin A. Converse, Andrew H. Hales & Leidy E. Klotz Nature 592, 258-161A version of this paper can be found hereWant to read [...]
DIY Asset Allocation Weights: August 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 [...]
Factor Investing and International Markets
Factors and Risk Premia in Individual International Stock Returns Geert Bekaert, Eric Engstrom and Andrey ErmolovJournal of Financial Economics, 2021A version of this paper can [...]
The Benefits of Sin Stocks
While environmental, social, and governance (ESG) investing continues to gain in popularity, economic theory suggests the share prices of “sin” businesses (typically those involved in [...]
Board Diversity and Innovation: International Evidence
Board Gender Diversity and Corporate Innovation: International Evidence Dale Griffin , Kai Li , and Ting XuJournal of Financial and Quantitative AnalysisA version of this [...]
The Role of Book-to-Market in Bond Returns
My August 17, 2020, article for Advisor Perspectives, “Factor-Based Investing Beats Active Management for Bonds,” provided the evidence from a series of academic papers on [...]
Factor Investing in Sovereign Bond Markets: 221 years of evidence!
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence Baltussen, Martens and Penningaworking paper, 2021A version of this paper can be found hereWant to read our [...]
The Misery Index and Future Equity Returns
Prospect theory was developed by Daniel Kahneman and Amos Tversky in 1979. The theory starts with the concept of loss aversion—the observation that people react [...]
Maximize ESG exposure or screen out sin stocks?
Optimal Strategies for ESG Portfolios Fabio Alessandrini and Eric JondeauJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]