Basilico

A Smarter CAPE Ratio to Better Forecast Expected Stock Returns

By | 2018-06-18T08:33:22+00:00 June 18th, 2018|Basilico, Academic Research Insight, Research Insights, Tactical Asset Allocation Research|

Improving U.S. Stock Return Forecasts: A “Fair-Value” CAPE Approach Joseph Davis, Roger Aliaga-Diaz, Harshdeep Ahluwalia, and Ravi Tolani Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

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Commodities for the Long Run

By | 2018-06-11T07:07:14+00:00 June 11th, 2018|Basilico, Academic Research Insight|

Commodities for the Long Run Ari Levine, Yao Hua Ooi, Matthew Richardson, Caroline Sasseville Financial Analyst Journal, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market

By | 2018-06-04T10:20:01+00:00 June 4th, 2018|Factor Investing, Basilico, Academic Research Insight, Research Insights, Size Investing Research|

Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance A version of this paper can be found here Want to [...]

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Style Investing in Fixed Income

By | 2018-05-29T10:24:02+00:00 May 29th, 2018|Basilico, Academic Research Insight|

Style Investing in Fixed Income Jordan Brooks,Diogo Palhares, Scott Richardson Journal of Portfolio Management, Special Issue 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

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Technical Analysis in the Chinese Stock Market: Does it Work?

By | 2018-05-21T09:08:19+00:00 May 21st, 2018|Basilico, Academic Research Insight, Research Insights|

Technical Analysis Profitability Without Data Snooping Bias: Evidence from Chinese Stock Market Fuwei Jiang, Guoshi Tong and Guokai Song International Review of Finance A version of this paper can be found here Want to read our [...]

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Automating Earnings Forecasts: Can a “MIDAS” touch help?

By | 2018-05-14T10:18:58+00:00 May 14th, 2018|Basilico, Academic Research Insight|

Automated Earnings Forecasts: Beat Analysts or Combine and Conquer? Ryan Ball and Eric Ghysels Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

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#Women in Finance Know Stuff: A Conversation with Nicole Boyson

By | 2018-05-08T09:33:05+00:00 May 8th, 2018|Basilico, Women in Finance Know Stuff, Interviews|

Today, we are interviewing Dr. Nicole Boyson, Professor of Finance at Northeastern University. (Here is a link to her SSRN page) I had the pleasure to personally meet Nicole at the 2018 “Democratize Quant” conference [...]

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Following Sell-Side Analysts? This Paper Identifies Who You Should Chase.

By | 2018-05-07T11:02:53+00:00 May 7th, 2018|Basilico, Academic Research Insight, Research Insights|

Do Stars Shine? Comparing the Performance Persistence of Star Sell-Side Analysts Listed by Institutional Investor, the Wall Street Journal, and StarMine Yury O. Kucheev,  Felipe Ruiz and Tomas Sorensson Journal of Financial Research Studies A [...]

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Does Higher Financial Literacy Lead to Better Portfolio Performance?

By | 2018-04-25T16:18:09+00:00 April 30th, 2018|Basilico, Academic Research Insight|

Financial Literacy and Portfolio Dynamics Milo Bianchi Journal of Finance, 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 are the [...]

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Short Sellers Can Predict Deteriorating Bank Fundamentals

By | 2018-04-23T06:52:46+00:00 April 23rd, 2018|Basilico, Academic Research Insight, Research Insights|

Can short sellers inform bank supervision? Bhanu Balasubramnian and Ajay Palvia Journal of Financial Services Research A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

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ESG and Factor Investing

By | 2018-04-16T11:29:47+00:00 April 16th, 2018|Basilico, Academic Research Insight|

Thematic Indexing, Meet Smart Beta! Merging ESG into Factor Portfolios Jennifer Bender, Xiaole Sun, and Taie Wang Journal of Index Investing, 2017 A version of this paper can be found here Want to read our summaries of academic finance [...]

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Systematic Investment Strategies are Hot. But What Happens Next?

By | 2018-04-09T11:21:12+00:00 April 9th, 2018|Basilico, Academic Research Insight, Research Insights|

Systematic Investment Strategies Daniel Giamouridis (Co-editor of FAJ) Financial Analysts Journal 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 [...]

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How to Perform Investment Sentiment Analysis on Twitter

By | 2018-04-02T10:51:46+00:00 April 2nd, 2018|Basilico, Academic Research Insight|

Company Event Popularity for Financial Markets using Twitter and Sentiment Analysis Mariana Daniel, Rui Ferreira Neves, Nuno Horta Expert Systems with Applications, 2017 A version of this paper can be found here Want to read our [...]

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#Women in Finance Know Stuff: A Conversation with Renee Yao

By | 2018-03-25T18:08:13+00:00 March 29th, 2018|Basilico, Women in Finance Know Stuff, Interviews|

Today, we are interviewing Renee Yao, Founder and CEO of Neo Ivy Capital. We started our conversation by comparing notes on the very limited number of women we encountered at the Neural Information Processing Systems [...]

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Investing in IPOs? Look at IPOs from Firms with More SEC Comment Letters

By | 2018-03-25T18:02:58+00:00 March 26th, 2018|Basilico, Academic Research Insight, Research Insights|

The oversight role of regulators: evidence from SEC comment letters in the IPO process Bing Li and Zhenbin Liu Review of Accounting Studies A version of this paper can be found here Want to read our [...]

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STEM Parents and Women in Finance

By | 2018-03-19T09:56:36+00:00 March 19th, 2018|Basilico, Academic Research Insight|

STEM Parents and Women in Finance Renee Adams, Brad Barber and Terrance Odean Financial Analyst Journal, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

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Worried about extreme down markets? Consider formal portfolio risk models.

By | 2018-03-12T11:06:14+00:00 March 12th, 2018|Basilico, Academic Research Insight, Research Insights|

Do risk management practices work? Evidence from hedge funds Gavin Cassar and Joseph Gerakos Review of Accounting Studies A version of this paper can be found here. Want to read our summaries of academic finance papers? [...]

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Macroeconomic factors and Tactical Asset Allocation

By | 2018-03-05T09:33:55+00:00 March 5th, 2018|Basilico, Academic Research Insight|

Macroeconomic Dashboards for Tactical Asset Allocation David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sebastien Page, and Charles Shriver Journal of Portfolio Management, special issue A version of this paper can be found here Want to read our summaries [...]

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#Women in Finance Know Stuff: A Conversation with Linda Zhang, PhD

By | 2018-03-01T03:08:28+00:00 February 28th, 2018|Basilico, Women in Finance Know Stuff, Interviews|

This is the first of a new series of interviews with inspiring women in finance, a new initiative we (Elisabetta Basilico and Tommi Johnsen) launched in January 2018 in collaboration with Alpha Architect. But why [...]