Explaining the Demand for Higher Beta Stocks
The Capital Asset Pricing Model (CAPM) indicates returns should go up linearly as beta increases (in other words, risk and return are positively related). However, [...]
5 Cutting Edge Investment Research Articles
This year’s annual financial research “geekfest,” officially known as the American Finance Association Annual Meeting, assembles the world’s top-tier academic researchers to discuss their latest [...]
Automating Earnings Forecasts: Can a “MIDAS” touch help?
Automated Earnings Forecasts: Beat Analysts or Combine and Conquer? Ryan Ball and Eric Ghysels Management Science, forthcoming A version of this paper can be found here Want [...]
Podcast: Value Investing in India and Technology
Here is a link to our podcast on Behind the Markets This is a special episode of Behind the Markets with Wharton alumni for SiriusXM's [...]
Don’t be Afraid of Commodity Futures: Understand Them.
An often-overlooked corner of the investing world is the futures market. Maybe it’s the fear of taking delivery of 1,000 barrels of oil, the mechanics [...]
Following Sell-Side Analysts? This Paper Identifies Who You Should Chase.
Do Stars Shine? Comparing the Performance Persistence of Star Sell-Side Analysts Listed by Institutional Investor, the Wall Street Journal, and StarMine Yury O. Kucheev, Felipe [...]
Market Volatility? Hang On and Enjoy the Ride
As you are no doubt experiencing, stock market volatility has spiked this year with the S&P 500 dropping or rising 2% or more on eight [...]
Value Investing Portfolios are Not Dead, But Some Have Done Better than Others
Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that [...]
Understanding the State of the ETF Industry through Mergers, Acquisitions, and Fragility
In this article, we discuss the state of the ETF industry, the characteristics that ETF providers typically have, the major ETF platforms, mergers and acquisitions, [...]
Does Higher Financial Literacy Lead to Better Portfolio Performance?
Financial Literacy and Portfolio Dynamics Milo Bianchi Journal of Finance, forthcoming A version of this paper can be found here Want to read our summaries of academic [...]
Are Trend-Following and Time-Series Momentum Research Results Robust?
When it comes to trend following and/or time-series momentum research, we got ya covered! A few places to dig in: Evidence for Long-Term Trend-Following by Alpha [...]
The Costs of Implementing Momentum Strategies
There are now hundreds of factors in what John Cochrane famously called the “zoo of factors.” However, there are only a small number that meet [...]
The World’s Longest Multi-Asset Momentum Investing Backtest!
As evidenced by the image below, interest in momentum research has taken off since the original 1993 Jegadeesh and Titman paper: Source: "Two Centuries of [...]
Short Sellers Can Predict Deteriorating Bank Fundamentals
Can short sellers inform bank supervision? Bhanu Balasubramnian and Ajay Palvia Journal of Financial Services Research A version of this paper can be found here Want [...]
Quantifying the Value of Retirement Accounts
Many people talk about the tax benefits of retirement accounts. However, few attempt to quantify and estimate the actual benefits. To make matters worse, when [...]
Bond Investing: Reach for Safety
Yield. Within almost any asset class, investors want to know, what is the "yield" on the investment? For some investors, this is the most important [...]
ESG and Factor Investing
Thematic Indexing, Meet Smart Beta! Merging ESG into Factor Portfolios Jennifer Bender, Xiaole Sun, and Taie Wang Journal of Index Investing, 2017 A version of this paper can [...]
What the CFOs Think About the Equity Premium in 2018
Professors John Graham and Campbell Harvey consistently put out great research. One of their innovations in financial research is their annual CFO survey (we've covered [...]
Systematic Investment Strategies are Hot. But What Happens Next?
Systematic Investment Strategies Daniel Giamouridis (Co-editor of FAJ) Financial Analysts Journal A version of this paper can be found here Want to read our summaries of [...]
Tail Risk Hedging: An Alternative Approach to Risk Management
This article proposes tail risk hedging (TRH) as an alternative model for managing risk in investment portfolios. The standard risk management approach involves a significant [...]