DIY Asset Allocation Weights: January 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 [...]
How Powerful is the Wealth Effect?
Stock Market Returns and Consumption Marco Di Maggio, Amir Kermani and Kaveh MajlesiJournal of Finance, 2020A version of this paper can be found hereWant to read [...]
The 2021 Annual Finance Research Geek Fest: Top 5 Most Interesting Papers
The American Finance Association Annual Meetings are here.[ref]here is information on the broader conference[/ref] The conference is virtual this year but that doesn't mean the organization hasn't [...]
Trend-Following Filters: Part 1/2
1. Introduction Many traders use strategies based on trends that occur in stock, bond, currency, commodity, and other financial asset price time series in order [...]
P-Hacking Via Academic Finance Research Conferences
Documentation of the File Drawer Problem at Finance Conferences: A Follow-Up Study Manoela N. Morais and Matthew R. MoreyJournal of InvestingA version of this paper can be [...]
A Curious Combination: Momentum Investing, Tesla, and November 9th
“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation [...]
Investing Based on Who you Follow on Social Media? A Real Thing?
Do Individual Investors Trade on Investment-related Internet Postings? Manuel Ammannt and Nic SchaubManagement Science, 2020A version of this paper can be found hereWant to read our [...]
Is Size a Useful Investing Factor or Not?
In his famous 1981 paper, "The Relationship Between Return and Market Value of Common Stocks,” Rolf Banz found that small firms have higher risk-adjusted returns [...]
Placement Agents In Private Equity, Are They Any Good?
Intermediation in Private Equity: The Role of Placement Agents Matthew D. Cain, Stephen B. McKeon, and Steven Davidoff SolomonJournal of Financial and Quantitative AnalysisA version [...]
Buying Quality: Is the Juice Worth the Squeeze?
Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the [...]
Global Factor Performance: December 2020
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
Early Female Investors, More Independent than Previously Thought?
Independent Women: Investing in British Railways, 1870-1922 Graeme G. Acheson; Gareth Campbell; Áine Gallagher and John D. TurnerEconomic History Review, 2020A version of this paper [...]
Profitability Factor Details: Taxable Income is Tied to Future Profitability and Returns
Robert Novy-Marx’s 2013 paper “ The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of [...]
A Short Research Library Outlining Why Traditional Stock Picking is Challenging
There are no "right" answers when it comes to financial markets. There are generally trade-offs to all decisions. For example, stocking picking can be incredible [...]
DIY Asset Allocation Weights: December 2020
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 [...]
Mutual Fund Trading When No One Is Watching: It’s Not Pretty
Trading out of sight: An analysis of cross-trading in mutual fund families Alexander Eisele, Tamara Nefedova, Gianpaolo Parise, Kim Peijnenburg, Journal of Financial EconomicsA version [...]
What Matters to Individual Investors? Evidence from the Horse’s Mouth
What Matters to Individual Investors? Evidence from the Horse's Mouth James Choi and Adriana RobertsonJournal of Finance, 2020A version of this paper can be found hereWant [...]
Using “Quality” to Separate Good and Bad Value Stocks
Trying to avoid value traps.
An Easy Way to Simplify and Improve the Shiller CAPE Ratio as a Prediction Tool
Ultra-Simple Shiller’s CAPE: How One Year’s Data Can Predict Equity Market Returns Better Than Ten Thomas K. Philips and Adam KoborJournal of Portfolio ManagementA version [...]
Trend Following Research: Breaking Bad Trends
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at [...]