Crowded Trades: Implications for Sector Rotation and Factor Timing William Kinlaw, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Model Portfolios Basu, Gates, Karir and AngJournal of Wealth Management, Spring 2019A version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]
It's not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. It's my hope that I can forewarn you of the [...]
What is Quality? Jason Hsu , Vitali Kalesnik , and Engin Kose Financial Analysts JournalA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
Technological Links and Predictable Returns Charles Lee, Stephen Sun, Rongfei Wang and Ran ZhangJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
Explaining the Demise of Value Investing Baruch Lev and Anup Srivastava A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What [...]
Evaluating Spending Policies in a Low Return Environment Peng Wang, Laura Chapman, Steven Peterson, and Jon SpinneyFinancial Analyst Journal, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? [...]
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]
One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the [...]
Does Social Media Trump News? The Relative Importance of Social Media and News Based Sentiment for Market Timing Stan BeckersJournal of Portfolio Management, Winter 2019A version of this paper can be found hereWant to read our [...]
One of the most well known and most beloved forms of literature is the fairy tale. Although most fairy tales are not about fairies, they are fictitious and highly fanciful tales of legendary deeds and [...]
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van HemertThe Journal of Portfolio ManagementA version of [...]
The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same underlying asset. This has created a profit opportunity for volatility [...]
Risk and Investment Horizon: Is Time Really Money? Ekaterina E. Emm and Ruben C. TrevinoJournal of Investing, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out [...]
Is High Active Share Always Good? Giuliano De Rossi and Gurvinder BrarThe Journal of Asset ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]
I recently experienced one of those fortunate confluence of events that helped me better grasp the relationship between forecasting (which I feel is futile) and my contrarian biases (which are strong). I better realize now [...]
Financial Advice and Bank Profits Daniel Hoechle, Stefan Ruenzi,Nic Schaub, Markus Schmid Review of Financial Studies, November 2018 Versions of this paper can be found here and here. Want to read our summaries of academic finance papers? [...]
When Rationality Meets Passion: on the Financial Performance of Collectibles Philippe Masset and Jean-Philippe WeisskopfJournal of Alternative Investments, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
Because equities are much riskier than high-quality bonds, the vast majority of the risk of a conventional 60 percent equity/40 percent bond portfolio is equity risk. Here’s the simple math demonstrating the point. Well-diversified equity [...]
Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category What are the [...]
