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How Does ETF Liquidity Affect ETF Returns, Volatility, and Tracking Error?

By |2021-01-11T10:48:17-05:00January 11th, 2021|Transaction Costs, Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Liquidity risk and exchange-traded fund returns, variances, and tracking errors Kyounghun Bae, Daejin KimJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Value and Momentum and Investment Anomalies

By |2021-01-04T11:53:39-05:00January 7th, 2021|Research Insights, Factor Investing, Larry Swedroe, Value Investing Research, Momentum Investing Research|

The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a deep dive) For example, the study “Value and Momentum Everywhere” [...]

How Powerful is the Wealth Effect?

By |2021-01-04T12:19:49-05:00January 4th, 2021|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Investment Advisor Education|

Stock Market Returns and Consumption Marco Di Maggio, Amir Kermani and Kaveh MajlesiJournal of Finance, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Trend-Following Filters: Part 1/2

By |2020-12-29T13:16:27-05:00December 29th, 2020|Empirical Methods, Research Insights, Trend Following, Guest Posts|

1. Introduction Many traders use strategies based on trends that occur in stock, bond, currency, commodity, and other financial asset price time series in order to “buy low” and “sell high”. A trend is considered [...]

P-Hacking Via Academic Finance Research Conferences

By |2020-12-28T08:25:23-05:00December 28th, 2020|Empirical Methods, Research Insights, Basilico and Johnsen, Academic Research Insight, Other Insights|

Documentation of the File Drawer Problem at Finance Conferences: A Follow-Up Study Manoela N. Morais and Matthew R. MoreyJournal of InvestingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

A Curious Combination: Momentum Investing, Tesla, and November 9th

By |2020-12-24T09:40:32-05:00December 23rd, 2020|Research Insights, Factor Investing, Guest Posts, Other Insights, Momentum Investing Research|

“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation is true. Yet the real quote, attributed to Stanford researcher Ray Wolfinger, [...]

Investing Based on Who you Follow on Social Media? A Real Thing?

By |2020-12-21T09:36:24-05:00December 21st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

Do Individual Investors Trade on Investment-related Internet Postings? Manuel Ammannt and Nic SchaubManagement Science, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Is Size a Useful Investing Factor or Not?

By |2020-12-18T12:26:45-05:00December 18th, 2020|Research Insights, Factor Investing, Larry Swedroe, Other Insights, Size Investing Research|

In his famous 1981 paper, "The Relationship Between Return and Market Value of Common Stocks,” Rolf Banz found that small firms have higher risk-adjusted returns than large firms. This was one of the first major [...]

Placement Agents In Private Equity, Are They Any Good?

By |2020-12-15T13:59:42-05:00December 14th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight|

Intermediation in Private Equity: The Role of Placement Agents Matthew D. Cain, Stephen B. McKeon, and Steven Davidoff SolomonJournal of Financial and Quantitative AnalysisA version of this paper can be found hereWant to read our summaries [...]

Buying Quality: Is the Juice Worth the Squeeze?

By |2020-12-07T08:43:44-05:00December 10th, 2020|Quality Investing, Research Insights, Factor Investing, Guest Posts, ETF Investing|

Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the 1980s was probably less worrying than buying them today at [...]

Early Female Investors, More Independent than Previously Thought?

By |2020-12-07T08:31:38-05:00December 7th, 2020|Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight|

Independent Women: Investing in British Railways, 1870-1922 Graeme G. Acheson; Gareth Campbell; Áine Gallagher and John D. TurnerEconomic History Review, 2020A version of this paper can be found hereWant to read our summaries of academic finance [...]

Profitability Factor Details: Taxable Income is Tied to Future Profitability and Returns

By |2020-11-30T08:27:37-05:00December 3rd, 2020|Quality Investing, Research Insights, Factor Investing, Larry Swedroe, Other Insights|

Robert Novy-Marx’s 2013 paper  “ The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of stock returns but also helped further explain some of Warren [...]

Mutual Fund Trading When No One Is Watching: It’s Not Pretty

By |2020-11-30T14:10:08-05:00November 30th, 2020|Transaction Costs, Research Insights, Basilico and Johnsen, Academic Research Insight|

Trading out of sight: An analysis of cross-trading in mutual fund families Alexander Eisele, Tamara Nefedova, Gianpaolo Parise, Kim Peijnenburg, Journal of Financial EconomicsA version of this paper can be found hereWant to read our summaries [...]

What Matters to Individual Investors? Evidence from the Horse’s Mouth

By |2020-11-23T10:09:25-05:00November 23rd, 2020|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

What Matters to Individual Investors? Evidence from the Horse's Mouth James Choi and Adriana RobertsonJournal of Finance, 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]

An Easy Way to Simplify and Improve the Shiller CAPE Ratio as a Prediction Tool

By |2020-11-16T08:50:03-05:00November 16th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Ultra-Simple Shiller’s CAPE: How One Year’s Data Can Predict Equity Market Returns Better Than Ten Thomas K. Philips and Adam KoborJournal of Portfolio ManagementA version of this paper can be found here (slides here)Want to read [...]

Trend Following Research: Breaking Bad Trends

By |2020-11-12T11:31:32-05:00November 12th, 2020|Research Insights, Factor Investing, Larry Swedroe, Trend Following, Academic Research Insight, Other Insights, Momentum Investing Research|

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 least for a short period of time. Initial research on [...]

Do Analysts Exploit Factor Anomalies when recommending stocks?

By |2020-11-09T12:42:17-05:00November 9th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Security Analysts and Capital Market Anomalies Li Guo, Frank Weikai Li, K.C. John WeiJournal of Financial EconomicsA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]

Should Treasury Bills Be The Risk-Free Asset in Asset Pricing Models?

By |2020-10-27T08:12:29-04:00November 5th, 2020|Research Insights, Factor Investing, Larry Swedroe, Academic Research Insight, Other Insights, Low Volatility Investing, Macroeconomics Research|

In virtually all studies on asset pricing and asset pricing models, the one-month Treasury bill is the choice as the risk-free rate. In his study “The Risk-Free Asset Implied by the Market: Medium-Term Bonds instead [...]

How Do You Think the Global Market Portfolio Has Performed from 1960-2017?

By |2020-11-01T14:59:00-05:00November 2nd, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing, Macroeconomics Research|

Historical Returns of the Market Portfolio Ronald Doeswijk, Trevin Lam and Laurens SwinkelsThe Review of Asset Pricing Studies, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]