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Can the Best Stock Pickers Still Beat the Market? An Out of Sample Test

By |2020-09-14T08:52:06-04:00September 14th, 2020|Financial Planning, Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006) Timothy Riley and Sam WaltonCritical Review of Finance, 2019A version of this paper can be found hereWant to [...]

Predicting Bond Returns? Focus on GDP Growth and Inflation Indicators

By |2020-09-08T08:31:59-04:00September 8th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Machine Learning, Fixed Income|

Predicting Bond Returns: 70 Years of International Evidence Guido Baltussen, Martin Martens, Olaf PenningaWorking PaperA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Effects of Portfolio Construction on the Performance of Style Factor ETFs

By |2020-08-31T08:50:00-04:00August 31st, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, ETF Investing|

The Effects of Portfolio Construction on the Performance of Style Factor ETFs or How to Build a Style Factor ETF That Does What It Says Jason MacQueenJournal of Portfolio Management A version of this paper [...]

Fascinating Research Alert: Earning Calls, Clichès, and Negative Abnormal Returns

By |2020-08-17T11:26:16-04:00August 17th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Machine Learning|

When More or Less is Less: Managers' Clichès J. Klevak, J. Livnat, and K. SuslavaJournal of Financial Data Science, Summer 2019A version of this paper can be found hereWant to read our summaries of academic finance [...]

What is Sequence Risk and Can Trend Following Help Reduce It?

By |2020-08-10T10:50:08-04:00August 10th, 2020|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

Reducing Sequence Risk Using Trend Following and the CAPE Ratio Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasFinancial Analysts Journal A version of this paper can be found hereWant to read our summaries of [...]

CEOs Formative Years and the Gender Gap

By |2020-08-03T11:08:48-04:00August 3rd, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

The Origins and Real Effects of the Gender Gap: Evidence from CEOs’ Formative Years Ran Duchin, Mikhail Simutin and Denis SosyuraReview of Financial Studies, 2020A version of this paper can be found hereWant to read our [...]

Relative Skewness: A New Risk Factor?

By |2020-07-27T11:36:34-04:00July 27th, 2020|Skewness, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Cross-Asset Skew Nick Baltas and Gabriel SalinasWorking Paper, SSRNA 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 research [...]

What is Impact Investing?

By |2020-07-20T10:58:02-04:00July 20th, 2020|Financial Planning, ESG, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Impact Investing 2.0: Not Just for Do-Gooders Anymore Diana LiebermanThe Journal of Investing, Winter 2020A version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Reducing Estimation Error in Mean-Variance Optimization

By |2020-07-13T11:00:18-04:00July 13th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Enhanced Portfolio Optimization Lasse Heje Pedersen, Abhilash Babu, and Ari LevineWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Board Diversity: When Will We Break Through the Glass Ceiling?

By |2020-09-02T13:09:07-04:00July 6th, 2020|ESG, Research Insights, Basilico and Johnsen, Academic Research Insight|

Board leadership positions elude diverse directors Laura Casares Field, Matthew Souther, and Adam YoreJournal of Financial Economics, 2020A version of this paper can be found here. Want to read our summaries of academic finance papers? Check [...]

How Trend Following Strategies Shape Return Distributions

By |2020-06-29T10:34:49-04:00June 29th, 2020|Crisis Alpha, Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

Some Observations on Trend Following: A Binomial Perspective David M. ModestWorking Paper, QLS Partners LPA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]

Can Statistics Actually Determine if Managers Have No Skill?

By |2020-06-22T09:53:36-04:00June 22nd, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Campbell Harvey and Yan LiuJournal of Finance, 2020A 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 Research Questions? Whether they [...]

Order Flow Correlation May Imply Momentum Factor Crowding

By |2020-06-15T10:54:35-04:00June 15th, 2020|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Zooming In on Equity Factor Crowding Valerio Volpati, Michael Benzaquen, Zoltán Eisler, Iacopo Mastromatteo, Bence Tóth, and Jean-Philippe BouchaudWorking Paper, SSRNA version of this paper can be found hereWant to read our summaries of academic finance [...]

Counterpoint: ETF Activity May Make the Stock Market MORE Efficient

By |2020-06-08T10:18:10-04:00June 8th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, ETF Investing|

Lawrence Glosten, Suresh Nallareddy, and Yuan ZouManagement Science, forthcomingA 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 Research Questions The [...]

Is value dead? Has the story changed? No.

By |2020-06-01T09:30:54-04:00June 1st, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research|

Is (systematic) Value Investing Dead? Ronen Israel, Kristoffer Laursen and Scott RichardsonWorking Paper, published at aqr.comA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic [...]

Tactically Adjusting Everything in a Financial Crisis? Bad Idea.

By |2020-05-26T09:12:49-04:00May 26th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

Flight to Quality and Asset Allocation in a Financial Crisis Terri Marsh and Paul PfleidererFinancial Analyst Journal, 2013A version of this paper can be found here or here.Want to read our summaries of academic finance papers? [...]

Trend Following the S&P 500? Some Practical Advice

By |2020-05-18T10:42:45-04:00May 18th, 2020|Research Insights, Trend Following, Basilico and Johnsen, Academic Research Insight|

BREAKING INTO THE BLACKBOX: Trend Following, Stop Losses, and the Frequency of Trading: the case of the S&P500 Andrew Clare, James Seaton, Peter N. Smith, and Stephen ThomasWorking Paper, Cass Business School, London and University [...]

Skulls, Financial Turbulence and Risk Management

By |2020-05-11T11:28:49-04:00May 11th, 2020|Volatility (e.g., VIX), Research Insights, Basilico and Johnsen, Academic Research Insight|

Mark Kritzman and Yuanzhen LiFinancial Analyst Journal, 2010A 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 Research Questions When hunting [...]

Why Passively Investing in Active Methods May Not Work.

By |2020-05-04T10:49:16-04:00May 4th, 2020|Research Insights, Basilico and Johnsen, Academic Research Insight, Active and Passive Investing|

Are Passive Investing Techniques Efficient for Active Strategies? David BlitzJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Ways to Measure Extreme Downside Risk

By |2020-04-27T10:54:04-04:00April 27th, 2020|Crisis Alpha, Research Insights, Basilico and Johnsen, Academic Research Insight|

Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

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