Dividend Timing and Global Dividend Premium
Dividend-paying stocks outperform non-payers by a meaningful margin, even after controlling for traditional global and regional risk factors.
The Factor Zoo Has Hundreds of Animals — But Only a Handful of Species
Only a few truly distinct forces actually drive the market. The problem: too many factors, too little meaning.
Second Chance: Life with Less Student Debt
There is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.
Institutions’ return expectations across assets and time
Institutional investors largely behave in line with rational asset pricing models. Yet at the same time, they strongly disagree with each other, and this disagreement has important implications for markets.
Trend-Following Filters – Part 10
1. Introduction Two previous articles, “Trend-Following Filters – Part 7” [1] and “Trend-Following Filters – Part 9” [2], examined, from a digital signal processing (DSP) [...]
What Drives Investors’ Portfolio Choices? It’s Not What You May Think
Portfolio choices are not driven by preferences alone, they are also shaped by frictions, small costs, inertia, and default options. The result is a subtle but powerful mechanism. What investors hold is not always what they want.
When Everyone Trades the Same Factor Playbook
What happens to market prices when millions of investors simultaneously follow the same mechanical rules to rebalance the same portfolios? If you allocate to factor strategies, this paper has interesting findings as to where your returns are actually coming from.
Leader-Follower Dynamics in Shareholder Activism
Activists do not need formal coordination to act together. Instead, they use market signals. Trading itself becomes a way to influence other investors. The result is a subtle but powerful mechanism.
Institutional Investor Attention
Funds that reallocate attention toward macro news when volatility rises perform better. Funds also pay more attention to the stocks they own, and that attention helps them make more valuable position and trading decisions.
Why Momentum Investing Has Been Struggling—And What Volatility Has to Do With It
A look at recent academic research connecting market volatility spikes to the underperformance of momentum strategies (especially for long/short versions of the strategy) The Big [...]
Should Your Mom Have Private Equity in Her 401K?
For most investors, private equity may not deliver the promised edge. There is a simpler, more liquid way to access the same economic exposure.
Bank Monitoring with On-Site Inspections
This research shows that when banks closely track how projects evolve and act on new information, they can significantly reduce losses. Even more importantly, the mere presence of monitoring encourages borrowers to behave more responsibly, improving outcomes before problems even arise.
The Skip-Month Mystery: What Last Month’s Returns Are Really Telling You
New research challenges a long-standing rule in momentum investing—and reveals surprising insights about when to use it For decades, investors using momentum strategies have followed [...]
Asset Pricing and Risk-Sharing Implications of Alternative Pension Plan Systems
There is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.
The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components
Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like [...]
Factor MAX: A New Signal for Predicting Factor Returns
Investment professionals have long relied on factor investing—strategies built around characteristics like value, momentum, and quality—to generate returns beyond the broad market. But predicting which [...]
Face-to-Face Social Interactions and Local Informational Advantage
Some investment edge still depends on trust, nuance, and soft information that does not travel as well through screens.
The Performance of Small Business Investment Companies
Congress created the Small Business Investment Company (SBIC) program in 1958, allowing private funds to invest in small firms using leverage supported by the U.S. Small Business Administration (SBA). The natural concern is whether a government-supported structure sacrifices returns in pursuit of policy goals. This research suggests the opposite.
Unlocking Hidden Patterns: How Daily Returns Predict Future Stock Performance
The wealth of information contained in daily stock returns has been hiding in plain sight—and when properly extracted, it generates remarkable predictive power for future performance.
Increases CAPE Ratio Predictability with a Simple Adjustment
CAPE has long been a cornerstone of long-horizon return forecasting. Critics argue that its predictive power has faded in recent decades. This paper pushes back.