Timing Country Exposure with Value: A Valuation Measure Horserace
Buy cheap. This is a motto many live by, not only in their daily lives but also in their investment philosophy. Historically, "buying cheap" stocks [...]
How to Perform Investment Sentiment Analysis on Twitter
Company Event Popularity for Financial Markets using Twitter and Sentiment Analysis Mariana Daniel, Rui Ferreira Neves, Nuno Horta Expert Systems with Applications, 2017 A version [...]
Investing in IPOs? Look at IPOs from Firms with More SEC Comment Letters
The oversight role of regulators: evidence from SEC comment letters in the IPO process Bing Li and Zhenbin Liu Review of Accounting Studies A version [...]
Democratize Quant 2018 Recap and Educational Materials
This past week we had the honor of hosting the first annual "Democratize Quant Conference" with our friends at Villanova University (a link to the [...]
Momentum Everywhere, Including in Factors
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 [...]
Stock Buybacks are Bad? What About the Alternative — Investment
Recently there has been a fairly active discussion within the financial media on the topic of stock buybacks, or share repurchases. This is probably due [...]
STEM Parents and Women in Finance
STEM Parents and Women in Finance Renee Adams, Brad Barber and Terrance Odean Financial Analyst Journal, forthcoming A version of this paper can be found here Want [...]
Is The US Stock Market Overvalued? Depends on which Model You ask
When stock prices reach a new high, investors start asking the question: Are stocks overvalued? To answer this question, investors have developed several alternative equity [...]
Do Relative-Value Strategies Beat Traditional Systematic Value Investing Strategies?
Readers often send us great questions related to different ideas on systematic value strategies. The outcome of years of back and forth with readers and [...]
Worried about extreme down markets? Consider formal portfolio risk models.
Do risk management practices work? Evidence from hedge funds Gavin Cassar and Joseph Gerakos Review of Accounting Studies A version of this paper can be [...]
Macroeconomic factors and Tactical Asset Allocation
Macroeconomic Dashboards for Tactical Asset Allocation David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sebastien Page, and Charles Shriver Journal of Portfolio Management, special issue A version of [...]
Retail Short Sellers: Trading Skill or Insider Trading?
Informed retail investors: Evidence from retail short sales Keith Jacks Gamble and Wei Xu Journal of Empirical Finance A version of this paper can be [...]
Are Factors Better and More Diversifying Than Asset Classes?
Executive Summary Factor investing promises outperformance at low cost. But to add value in a portfolio, it must deliver positive risk-adjusted returns and with low [...]
Explaining the Value Effect in Emerging Markets
Explaining the Value Effect in Emerging Markets: Tangible vs Intangible Information Douglas W. Blackburn and Nusret Cakici A version of this paper can be found here. [...]
How to Evaluate Multi-Asset Strategies
Evaluating Multi-Asset Strategies K. Stuart Peskin Journal of Portfolio Management, special issue A version of this paper can be found here Want to read our summaries of [...]
Short Sellers Profitably Trade Prior to Credit Rating Agency Announcements
Are Short Sellers Informed? Evidence from Credit Rating Agency Announcements Jian Shi, Junbo Wang, Ting Zhang Journal of Financial Research A version of this paper [...]
Time Series Momentum (aka Trend-Following): A Good Time for a Refresh
Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess returns. Time-series momentum, also called [...]
The End of 60/40? The Case for Diversified Value, Momentum, and Carry Risk Exposures
Hobbled by Benchmarks Mike Aked, Rob Arnott, Omid Shakernia, Jonathan Treussard Journal of Portfolio Management A version of this paper can be found here Want to [...]
An Inside Look at How ETF Firms are Competing. Hint: Price Isn’t Everything
Morgan Housel had a post on the idea of conflicting skill sets. Morgan makes the following comment: F. Scott Fitzgerald said intelligence is "the ability [...]
Monetary Policy Rate Uncertainty Predicts Higher Equity Volatility
Volatility in equity markets and monetary policy rate uncertainty Iryna Kaminska and Matt Roberts-Sklar Journal of Empirical Finance A version of this paper can be [...]