The Academic Finance Papers That Changed My Mind
What does it mean to be the "best" research? For me, this means the most influential in changing my view on the world. So the [...]
Does Buffett Have Lessons for Systematic Value Investors?
We are fundamentals-based value investors, just like Warren and Charlie, but have chosen to pursue the art of value investing in a slightly different way [...]
How Testosterone and Stress Affect Financial Decision-Making
Decision Making, Financial Risk Aversion and Behavioral Biases: The Role of Testosterone and Stress Nofsinger, Patterson and Daigler A version of the paper can be [...]
Facts, Fiction, and Merger Arbitrage
Investors love to chase after the "next big thing," as investment strategies and styles come in and go out of vogue. The latest object of investor [...]
How the day of the week affects stock market anomalies
Day of the Week and the Cross-Section of Returns Justin Birru A version of the paper can be found here. Want a summary of academic papers [...]
The Moving Average Research King: Valeriy Zakamulin
Some weekend reading for trend-followers who want to question their beliefs. Valeriy Zakamulin is an animal when it comes to generating research on moving averages. [...]
Computers Still Beat Humans? We Ask, Will Grove Responds.
Overconfidence is the death of everything in investing. I suffer from the problem just like everyone else because last time I checked...I'm human. As humans, we [...]
Can Twitter Predict the Market’s Reaction to Fed FOMC Decisions?
Twitter seems to be a favorite dataset for financial researchers. Researchers keep trying to map tweets to profits. For example, we covered an idea related [...]
Smart Beta: Data Mining, Arbitraged Away, Or Here To Stay?
Large institutional investors have had access to low-cost "smart beta" for many years. But for retail investors and their financial advisors, "smart beta" ETFs are a welcome innovation. [...]
Update on the Valuation Metric Horserace: 2011-2015
Jack and I published, "Analyzing Valuation Measures: A Performance Horse-Race Over the Past 40 Years," in the 2012 Journal of Portfolio Management. Here is a [...]
Recreating Asset Bubbles in the Laboratory
Are we in a bubble? It depends on what asset class you’re referring to, whom you ask, and what you mean by “bubble.” We’ve posted [...]
Have benchmarks made us bad active investors?
Curse of the Benchmarks Vayano and Woolley A version of the paper can be found here. Want a summary of academic papers with alpha? Check out [...]
Why Investors Should Combine Value and Momentum Investing Strategies
In the past we have discussed how to combine value and momentum investing strategies to improve an equity allocation. In this piece we discuss why an investor should combine value [...]
Can Losing Lead to Winning?
Can Losing Lead to Winning Berger and Pope A version of the paper can be found here. Want a summary of academic papers with alpha? Check [...]
Why do academic researchers avoid behavioral finance?
Charlie Munger, Warren Buffett's right-hand-man and Vice Chairman of Berkshire Hathaway, has said the following regarding behavioral economics: How could economics not be behavioral? If it [...]
Has the Value Investing Pain Train Ended?
Last year we highlighted what we deemed the "value investing pain train." In 2015, cheap high-quality stocks started getting crushed by expensive junk stocks. Here is a [...]
Replicating Private Equity: the Impact of Return Smoothing
Having spent what seems like a lifetime in the financial industry at this point, I've always had this nagging suspicion about private equity (PE): private equity [...]
Predicting Anomalies with politics, weather, global warming, sunspots, and the stars
We've discussed the use of predictive regressions in the past. Here is an article to learn a bit more about the technique. And while the [...]
Chasing Returns and Avoiding “Spaghetti against the Wall Fund Companies”
Psychology research suggests that when we make predictions, we suffer from “representative bias,” mistakenly overweight observations that fit a particular narrative, and fail to consider base rate [...]
Warnings: Savers should NOT get excited if the Fed Raises Rates
The Deposits Channel of Monetary Policy Drechsler, Savov and Schnabl A version of the paper can be found here. Want a summary of academic papers with [...]