Technological Links and Predictable Returns
Technological Links and Predictable Returns Charles Lee, Stephen Sun, Rongfei Wang and Ran ZhangJournal of Financial Economics, forthcomingA version of this paper can be found hereWant [...]
Do Investors Focus Too Much on Price-Only Returns?
Reconsidering Returns Samuel M Hartzmark, David H. SolomonA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
ESG Investing: Marketing or Substance? (Ryan Kirlin)
Here is a link to our podcast on "The ETF Prime Podcast": ETF.com’s Drew Voros offers his perspective on ESG investing, including highlighting the example of [...]
Factor Investing from Concept to Implementation
Factor Investing from Concept to Implementation Eduard van Gelderen, Joop Huij, and Georgi KyosevWorking paperA version of this paper can be found here[ref]hat tip to Art [...]
The Failure of Value Investing explained
Explaining the Demise of Value Investing Baruch Lev and Anup Srivastava A version of this paper can be found hereWant to read our summaries of academic [...]
Value: Don’t Call it a Comeback, it’s Been Here for Years
Value and Momentum each had back to back extreme returns (five sigma) days on Monday, September 9th and Tuesday, September 10th. The Dow Jones Thematic [...]
Spending Policies in a Low Return Environment
Evaluating Spending Policies in a Low Return Environment Peng Wang, Laura Chapman, Steven Peterson, and Jon SpinneyFinancial Analyst Journal, Fall 2018A version of this paper can [...]
An Analysis of “Benjamin Graham’s Net Current Asset Values: A Performance Update”
Henry R. Oppenheimer A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category Introduction [...]
DIY Asset Allocation Weights: September 2019
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 [...]
Crisis proof your portfolio: part 2/2
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, [...]
Can We Explain the Low Volatility Anomaly?
One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation [...]
What Induces Children to Save (More)?
What Induces Children to Save (More)? Moritz Lukas (University of Hamburg) and Markus Nöth (University of Hamburg)A version of this paper can be found hereWant to [...]
Social Media, News Based Sentiment, and Market Timing
Does Social Media Trump News? The Relative Importance of Social Media and News Based Sentiment for Market Timing Stan BeckersJournal of Portfolio Management, Winter 2019A [...]
Structured Notes: The Exploitation of Retail Investors
One of the most well known and most beloved forms of literature is the fairy tale. Although most fairy tales are not about fairies, they [...]
Crisis Proof Your Portfolio: part 1/2
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, [...]
The Variance Risk Premium is Pervasive
The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same [...]
Do Most Individual Stocks Outperform Cash? No.
I'd argue that a typical investor believes the following--In the past and over the long run, stocks outperformed bonds.[ref]and definitely beat cash![/ref] However, as highlighted [...]
Is Time Really Money?
Risk and Investment Horizon: Is Time Really Money? Ekaterina E. Emm and Ruben C. TrevinoJournal of Investing, 2019A version of this paper can be found hereWant [...]
There and Back Again: My 180 Back to Simplicity
I’m 34. I have some savings (long-term investments), earn a respectable living, and am comfortable—and happy—spending modestly relative to income. I have a simple balance [...]
Betting Against Beta (BAB) Construction
One of the more popular equity strategies over the past decade is low volatility investing. Simply put, this is a systematic strategy that invests in [...]