DIY Asset Allocation Weights: October 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 [...]
Short-Duration Stock Anomaly: Risk or Mispricing
Cash Flow Duration and the Term Structure of Equity Returns Michael WeberA version of the paper can be found here. Want to read our summaries of [...]
Quality: Independent attributes or a real factor?
What is Quality? Jason Hsu , Vitali Kalesnik , and Engin Kose Financial Analysts JournalA version of this paper can be found hereWant to read our [...]
The Short Duration Premium
In my June 4, 2019 article “The Re-Death of Value, or Déjà Vu All Over?” I noted that one possible explanation for at least part [...]
The Volatility Effect Revisited
Investigating the relationship between risk and return David Blitz, Pim van Vliet, and Guido BaltussenA version of the paper can be found here.Want a summary [...]
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, [...]