Today, we are interviewing Perth Tolle, Founder and CEO of Life and Liberty Indexes, a provider of the world's first freedom-weighted Indices. I met Perth during the first Alpha Architect Democratize Quant conference in Spring [...]
There’s a large body of research, including the 2017 study “Tail Risk Mitigation with Managed Volatility Strategies” by Anna Dreyer and Stefan Hubrich, that demonstrates that, while past returns do not predict future returns, past [...]
Two of the more interesting puzzles in finance are related to volatility—stocks with greater idiosyncratic volatility (IVOL) have produced lower returns and stocks with high uncertainty about risk, as measured by the volatility of expected [...]
A Guide to ESG Portfolio Construction Michael Branch, Lisa R. Goldberg and Pete HandJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our [...]
The tax benefits of the new Opportunity Zone program are potentially phenomenal. However, when you dig into the details of the program you quickly realize that many of the investment options are typically higher-risk and [...]
When Short Sellers and Corporate Insiders Agree on Stock Pricing Chune Young Chung, Hong Kee Sul, and Kainan WangJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
Tax-Managed Factor Strategies Lisa R. Goldberg , Pete Hand , and Taotao CaiFinancial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
The financial equivalent of the famous Miller Lite, “tastes great, less filling” debate is the debate between traditional financial economics which uses risk theories to explain asset pricing and the newer behavioral finance field that [...]
Family Descent as a Signal of Managerial Quality: Evidence from Mutual Funds Oleg Chuprinin and Denis Sosyura Review of Financial Studies, 2018 A version of this paper can be found here Want to read our summaries of academic [...]
Executive Summary • Tax loss harvesting is widely promoted, but we think the benefits are generally misunderstood and often overstated.[ref]a recent paper highlighted by Wes on twitter comes to a similar conclusion. Here is a [...]
Only Winners in Tough Times Repeat: Hedge Fund Performance Persistence over Different Market Conditions Zheng Sun, Ashley W. Wang, and Lu Zheng Journal of Financial and Quantitative Analysis A version of this paper can be [...]
Aggregate Investor Confidence in the Stock Market Christoph Meier Journal of Behavioral Finance, 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research [...]
In 1921, University of Chicago Professor Frank Knight wrote the classic book “Risk, Uncertainty, and Profit.” An article from the Library of Economics and Liberty described Knight’s definitions of risk and uncertainty as follows: Risk [...]
Distracted Institutional Investors Daniel Schmidt Journal of Financial and Quantitative Analysis, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]
Since the development of the capital asset pricing model (CAPM) in the 1960s, hundreds of anomalies (what John Cochrane famously called a “zoo of new factors”) have been uncovered in the cross-section of stock returns. [...]
Do Short Sellers Trade on Private Information or False Information? Amiyatosh Purnanandam and H. Nejat Seyhun Journal of Financial and Quantitative Analysis A version of this paper can be found here Want to read our summaries [...]
If you are looking for an applied framework for tackling the topic of financial planning, you should read Your Complete Guide to a Successful and Secure Retirement, by Larry Swedroe and Kevin Grogan. This book [...]
We were honored when Lauren Davis asked if we would host the Women in ETFs event at AA Global Headquarters (i.e. my house). The event was jam packed and we had 60+ people in attendance. [...]
As the chief research officer for Buckingham Strategic Wealth and The BAM Alliance, I’m often asked, after any asset class or factor experiences a period of poor performance, if the historical outperformance of stocks with [...]
Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders Itzhak Ben-David, Justin Birru and Andrea Rossi Journal of Financial Economics, forthcoming A version of this paper can be found here Want to read our [...]
