Basilico and Johnsen

Trend Following and Momentum Turning Points

By |September 11th, 2023|Research Insights, Factor Investing, Basilico and Johnsen, Trend Following, Academic Research Insight, Momentum Investing Research|

Trend follower nerd alert: This study is important because it offers a comprehensive analysis of TS momentum strategies, its unifying framework that links performance to underlying variables, and its practical implications for investors seeking to enhance their understanding of momentum investing and improve their portfolio performance.

Do Short-Term Factor Strategies Survive Transaction Costs?

By |September 5th, 2023|Transaction Costs, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Behavioral Finance, Momentum Investing Research|

Short term return anomalies are generally dismissed in the academic literature "because they seemingly do not survive after accounting for market frictions.” In this research, short term “factors” are taken seriously and the authors argue the standard parameters may not apply for short horizons.

The Determinants of Inflation

By |August 28th, 2023|Inflation Investing, Research Insights, Basilico and Johnsen, Academic Research Insight, Macroeconomics Research|

The findings from this Hidden Markov Model analysis provide policymakers with valuable insights into the nature and behavior of inflation regimes. This information can inform the design and implementation of monetary, fiscal, and regulatory policies to effectively manage inflation, stabilize the economy, and promote sustainable economic growth.

Investor demand, rating reform and equity returns

By |August 7th, 2023|Price Pressure Factor, Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research, Active and Passive Investing|

The traditional financial theory attributes security returns to market- or factor-based risk, with no role ascribed to other influences. In this research, the authors argue for including investor demand as an additional variable in explaining returns.  Can changes in investor demand generate systematic changes in security returns?

Female execs bring more accuracy to analysts’ earnings forecasts

By |July 24th, 2023|ESG, Research Insights, Women in Finance Know Stuff, Basilico and Johnsen, Academic Research Insight, Behavioral Finance|

The results of this research extend the literature in a number of areas including: the analyst forecast literature; the literature on behavioral accounting and finance with respect to corporate decision-making all in the context of gender; and the dominant role of the CEO on information transparency.

Managerial Multitasking in the Mutual Fund Industry

By |July 10th, 2023|Research Insights, Basilico and Johnsen, Academic Research Insight, Corporate Governance|

The article aims to explore the relationship between multitasking and performance for mutual fund managers, investigate the potential mechanisms and factors influencing this relationship, and provide insights for fund companies and investors regarding the implications of multitasking on fund performance.

Where Large Language Models and Finance Meet

By |June 26th, 2023|Research Insights, Basilico and Johnsen, Academic Research Insight, AI and Machine Learning|

BloombergGPT is a large language model (LLM) developed specifically for financial tasks. The authors trained the LLM on a large body of financial textual data, evaluated it on several financial language processing tasks and found it performed at a significantly higher level than several other state-of-the-art LLMs.

Submergence: A Tool to Assess Drawdowns and Recoveries

By |May 22nd, 2023|Empirical Methods, Research Insights, Basilico and Johnsen, Academic Research Insight|

According to research by the authors, stocks and bonds have been submerged for about 75% of the time since 1980; and treasuries have been submerged 80% of the time. Submergences are therefore both commonplace and significant, which means that handling them is very important for investors and their investing strategies.

Reducing the Impact of Momentum Crashes

By |May 15th, 2023|Research Insights, Basilico and Johnsen, Academic Research Insight, Momentum Investing Research|

Momentum crashes are a blight on the performance of momentum strategies. Although there has been a fair amount of research on the topic, few practical solutions have emerged to mitigate the impact on portfolios. In this study, the authors document the outperformance of stocks, in terms of momentum, far away from their peak position relative to stocks very near their peaks. Turns out the outperformance is very large. It also accounts for the majority of negative momentum performance.

Go to Top