Volatility (e.g., VIX)

Has the Stock Market Systematically Changed?

By |September 20th, 2022|Volatility (e.g., VIX), Research Insights, Active and Passive Investing|

This time is almost always different, it seems, but the data suggest that things are typically always the same: chaotic and volatile. Stock market investors should be prepared for large short-term moves in stocks and they should be skeptical of narratives suggesting a causal relationship between environmental variables and future volatility.

Are Stock Market Bubbles Identifiable?

By |March 31st, 2022|Volatility (e.g., VIX), Larry Swedroe, Research Insights, Trend Following, Academic Research Insight, Tactical Asset Allocation Research|

Robin Greenwood, Andrei Shleifer, and Yang You authors of the study “Bubbles for Fama”, published in the January 2019 issue of the Journal of Financial Economics evaluated Fama's claim that stock prices do not exhibit price bubbles. Based on a fixed threshold for the industry price increases (e.g., a 100 percent price run-up during two consecutive years) to filter their events and to analyze what happens afterward, they examined U.S. industry returns over the period 1926‒2014 (covering 40 episodes) and international sector returns (1985‒2014).

Low Volatility Factor Investing: Risk-Based or Behavioral-Based or Both?

By |March 8th, 2021|Volatility (e.g., VIX), Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Low Volatility Investing|

Betting against correlation: Testing theories of the low-risk effect Cliff Asness, Andrea Frazzini, Niels Joachim Gormsen, Lasse Heje PedersenJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic [...]

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