Proxies and Databases in Financial Misconduct Research Jonathan M. Karpoff, Allison Koester, D. Scott Lee and Gerald S. Martin The Accounting Review A version of [...]
Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on [...]
J.P. Morgan researchers, Marko Kolanovic and Zhen Wei, produced an incredibly detailed report on all aspects of momentum (one of our favorite topics!) Here is [...]
Wisdom of the Crowds: The Value of Stock Opinions Transmitted Through Social Media Hailiang Chen, Prabuddha De, Yu Jeffrey Hu, Byoung Hyoun Hwang Review of [...]
ETFs have grown fast, yet there are still some opponents of the structure. However, the general story by ETF opponents has changed over the past [...]
It has been well-documented that value stocks have provided higher expected returns than growth stocks. However, there is a great debate about the source of [...]
Go Before the Whistle Blows: An Empirical Analysis of Director Turnover and Financial Fraud Yanmin Gao, Jeong-Bon Kim, Desmond Tsang, Haibin Wu Review of Accounting [...]
A few weeks ago, we did a deep dive into the factors versus characteristics debate. One of the reasons we've brought up this debate is [...]
Employees Financial Literacy and Retirement Plan Behavior: A Case Study Robert Clark, Annamaria Lusardi, Olivia Mitchell Economic Inquiry, forthcoming A version of this paper can be [...]
Conventional wisdom can be defined as ideas that are so accepted that they go unquestioned. Unfortunately, conventional wisdom is often wrong. Two great examples are [...]
The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy Philip U. Straehl and Roger G. Ibbotson Financial Analysts Journal A version of [...]
The academic research has generally found valuations, such as the earnings yield (E/P) (or the CAPE 10 earnings yield) and valuation spreads, have predictive value [...]
Trend-following is something I've struggled with for years -- always felt like voodoo magic and data-mining. That said, I finally came around to appreciating the [...]
Do short sellers exploit industry information? Zsuzsa R. Huszár, Ruth S.K. Tan, Weina Zhang Journal of Empirical Finance A version of this paper can be [...]
The sequential process by which ESOP advisory teams are assembled by business owners requires that they get it right–from the start. An ESOP attorney is the linchpin in that process. Here is what you need to know.
Do Independent Director Departures Predict Future Bad Events? Rüdiger Fahlenbrach, Angie Low, and René M. Stulz The Review of Financial Studies A version of this [...]
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 [...]
Reading really old research is humbling. https://archive.org/ is an awesome place to start. One quickly recognizes that market participants were very savvy way back in the [...]
What Free Lunch? The Costs of Overdiversification Shawn McKay, Robert Shapiro, Ric Thomas A version of this paper can be found here Want to read our [...]
Much has been made of Factor Investing, and even Vanguard is launching a suite of actively-managed factor ETFs. But even now, with Vanguard offering factor [...]
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