Basilico and Johnsen

///Basilico and Johnsen

Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing

By |2018-11-12T12:14:37+00:00November 12th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Hedge Funds and Stock Price Formation Charles Cao, Yong Chen, William N. Goetzmann, and Bing Liang Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance [...]

Fund Capacity Analysis: How Much Capital Will a Strategy Handle?

By |2018-11-05T08:07:56+00:00November 5th, 2018|Basilico and Johnsen, Academic Research Insight|

Capacity Analysis for Equity Funds Michael O’Neill,Camille Schmid and Geoffrey Warren Journal of Portfolio Management, Spring 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Do Bank Affiliated Funds Underperform Unaffiliated Funds?

By |2018-10-30T11:36:13+00:00October 29th, 2018|Basilico and Johnsen, Academic Research Insight, Corporate Governance|

Asset Management within Commercial Banking Groups: International Evidence Miguel Ferreira, Pedro Matos and Pedro Pires The Journal of Finance, Fall 2018 A version of this paper can be found here Want to read our summaries of [...]

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending

By |2018-10-22T11:48:56+00:00October 22nd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Constructing Long-Only Multifactor Strategies: Portfolio Blending vs. Signal Blending Khalid Ghayur, CFA, Ronan Heaney, and Stephen Platt, CFA Financial Analysts Journal A version of this paper can be found here Want to read our summaries of [...]

Can Your Alpha Cover the Tax Bill? Pro-Tip: The ETF Wrapper May Help.

By |2018-10-15T10:51:14+00:00October 15th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Is Your Alpha Big Enough to Cover Its Taxes? A Quarter-Century Retrospective  Rob Arnott, Vitali Kalesnik and Trevor Schuesler Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

Investment Factor Timing: Challenging, but Not Impossible

By |2018-10-08T11:36:08+00:00October 8th, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

The Promises and Pitfalls of Factor Timing Jennifer Bender, Xiaole Sun, Ric Thomas and Volodymyr Zdorovtsov Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic [...]

When Diversification Fails

By |2018-11-07T09:53:19+00:00October 1st, 2018|Basilico and Johnsen, Academic Research Insight, Tactical Asset Allocation Research|

When Diversification Fails Sebastien Page and Robert Panariello Financial Analyst Journal, 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 [...]

The Trillion Dollar Question: Why so few women in finance?

By |2018-09-20T15:45:57+00:00September 24th, 2018|Basilico and Johnsen, Academic Research Insight|

Sex Matters: Gender Bias in the Mutual Fund Industry Alexandra Niessen-Ruenzi, Stefan Ruenzi Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

Leveraged ETFs and Volatility Jumps

By |2018-09-17T11:45:58+00:00September 17th, 2018|Basilico and Johnsen, Academic Research Insight|

Leveraged ETFs: Are you prepared for the Volatility Jumps? Linda Zhang Journal of Index Investing, Summer 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check [...]

What’s in Your Benchmark?

By |2018-09-09T17:20:47+00:00September 10th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

What's in Your Benchmark? A Factor Analysis of Major Market Indexes Ananth Madhavan, Aleksander Sobczyk and Andrew Ang Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]

Group Diversity May Constrain the Most Dangerous Investment Bias: Overconfidence

By |2018-09-04T10:52:33+00:00September 4th, 2018|Basilico and Johnsen, Academic Research Insight|

Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang Management Science, forthcoming A version of this paper can be found here Want to read our summaries of academic finance [...]

Fintwit Might Matter for Momentum and Mean Reversion in Stock Prices

By |2018-08-27T09:50:12+00:00August 27th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh Journal of Portfolio Management A version of this paper can be found here Want to [...]

Looking at Alternatives? Avoid Complexity and Magical Backtests

By |2018-09-17T15:49:19+00:00August 20th, 2018|Basilico and Johnsen, Academic Research Insight|

Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper can be found here Want to read our summaries of academic [...]

Macro Conditions May Enhance Short-term Predictability of the Shiller P/E

By |2018-08-13T13:28:25+00:00August 13th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

King of the Mountain: The Shiller P/E and Macroeconomic Conditions Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow Journal of Portfolio Management A version of this paper can be found here Want to read our [...]

An Academic Article that Claims Human-Based Advisory Services Face Serious Challenges

By |2018-09-18T07:27:34+00:00August 6th, 2018|Basilico and Johnsen, Academic Research Insight|

Robo-Advisors and Wealth Management Kokfai Phoon and Francis Koh The Journal of Alternative Investments, Winter 2018 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research [...]

Finance Journals Rarely Publish Articles with low T-stats

By |2018-09-17T09:54:31+00:00July 30th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Documentation of the File Drawer Problem in Academic Finance Journals Matthew R. Morey and Sonu Yadav Journal of Investment Management A version of this paper can be found here Want to read our summaries of academic [...]

Investment Performance of Female CEOs

By |2018-07-23T09:03:53+00:00July 23rd, 2018|Basilico and Johnsen, Academic Research Insight|

Performance of Female CEOs Srinidhi Kanuri, James Malm Journal of Investing, Spring 2018 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. [...]

Portfolio Craftsmanship is Just as Important as Choosing an Investment Style.

By |2018-07-16T10:54:04+00:00July 16th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Craftsmanship Alpha: An Application to Style Investing Ronen Israel, Sarah Jiang, and Adrienne Ross Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

Artificial Intelligence and Value Investing

By |2018-06-25T11:15:37+00:00July 9th, 2018|Basilico and Johnsen, Academic Research Insight|

Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 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 [...]

#Women in Finance Know Stuff: A Conversation with Lauren Simmons

By |2018-07-05T09:13:09+00:00July 5th, 2018|Basilico and Johnsen|

After a 226 year dry spell (!), a woman will finally serve as the president of the NYSE (article). Stacey Cunningham, the new NYSE president, is an inspirational figure and her presence in a top [...]

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