Basilico and Johnsen

///Basilico and Johnsen

Industry Insiders Can Outperform the Market

By |2019-03-18T10:16:07-04:00March 18th, 2019|Basilico and Johnsen, Academic Research Insight|

Industry Familiarity and Trading: Evidence from the Personal Portfolios of Industry Insiders Itzhak Ben-David, Justin Birru and Andrea Rossi Journal of Financial Economics, forthcoming A version of this paper can be found here Want to read our [...]

Low Volatility Turnover with Value and Momentum

By |2019-03-11T10:56:52-04:00March 11th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Low Volatility Needs Little Trading Pim van Vliet Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

Day of the Week Matters for Some Anomalies

By |2019-03-04T10:09:37-04:00March 4th, 2019|Basilico and Johnsen, Academic Research Insight|

Day of the Week and the Cross-Section of Returns Justin BirruJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]

Low Volatility Can Be Low Turnover

By |2019-02-25T08:57:46-04:00February 25th, 2019|Research Insights, Basilico and Johnsen, Low Volatility Investing|

Low Volatility Needs Little Trading Pim van Vliet Journal of Portfolio Management A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight [...]

Public Hedge Funds and Their Performance

By |2019-02-19T08:32:29-04:00February 18th, 2019|Basilico and Johnsen, Academic Research Insight|

Public Hedge Funds Lin Sun and Melvyn TeoJournal of Financial Economics, 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 [...]

How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons

By |2019-02-15T09:30:11-04:00February 11th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight, Value Investing Research, Size Investing Research|

Volatility Lessons Eugene F. Fama and Kenneth R. French 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 [...]

Manager Sentiment and Stock Returns

By |2019-02-04T11:43:16-04:00February 4th, 2019|Basilico and Johnsen, Academic Research Insight|

Manager Sentiment and Stock Returns Fuwei Jiang, Joshua Lee, Xiumin Martin, Guofu Zhou Journal of Financial Economics, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

Rankings and Risk-Taking in the Finance Industry

By |2019-01-22T13:17:41-04:00January 22nd, 2019|Basilico and Johnsen, Academic Research Insight|

Rankings and Risk-Taking in the Finance Industry Michael Kirchler, Florian Lindner, and Utz WeitzelThe Journal of Finance, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]

Equity investing is Riskier than You Probably Expected

By |2019-01-18T11:56:43-04:00January 14th, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Volatility Lessons Eugene F. Fama and Kenneth R. French 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 [...]

Herding and Mutual Fund Performance

By |2019-03-18T14:56:26-04:00January 7th, 2019|Basilico and Johnsen, Academic Research Insight|

Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance Hao Jiang and Michela VerardoThe Journal of Finance, Fall 2018A version of this paper can be found hereWant to read our summaries of academic finance [...]

#Women in Finance Know Stuff: A Conversation with Paola Cerchiello

By |2019-01-04T12:50:59-04:00January 4th, 2019|Women in Finance Know Stuff, Basilico and Johnsen, Interviews|

Today, we are interviewing someone from my  country and a pioneer of data science education in Italy: Paola Cerchiello, Senior Assistant Professor of Data Science at University of Pavia. The University of Pavia is one of [...]

Why and How Investors use ESG Information

By |2019-01-02T14:15:10-04:00January 2nd, 2019|Research Insights, Basilico and Johnsen, Academic Research Insight|

Why and How Investors Use ESG Information: Evidence from a Global Survey Amir Amel-Zadeh and George Serafeim Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic [...]

Data Science is Revolutionizing Investment Practice

By |2018-12-17T12:54:04-04:00December 18th, 2018|Basilico and Johnsen, Academic Research Insight|

Order from Chaos: Data Science is Revolutionizing Investment Practice Joseph Simonian, Marcos Lopez de Prado, and Frank FabozziJournal of Portfolio Management, Fall 2018A version of this paper can be found hereWant to read our summaries of academic [...]

ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities

By |2018-12-10T10:56:30-04:00December 10th, 2018|Basilico and Johnsen, Academic Research Insight|

The Impact of Flows into Exchange Traded Funds: Volumes and Correlations Ananth Madhavan and Daniel Morillo Journal of Portfolio Management, summer 2018 A version of this paper can be found here Want to read our summaries [...]

Measuring Factor Exposures: Uses and Abuses

By |2018-12-03T11:15:12-04:00December 3rd, 2018|Research Insights, Factor Investing, Basilico and Johnsen, Academic Research Insight|

Measuring Factor Exposures: Uses and Abuses Ronen Israel and Adrienne Ross The Journal of Alternative Investments A version of this paper can be found here Want to read our summaries of academic finance papers? Check out [...]

A Proxy for the Unobservable Global Market Portfolio

By |2018-11-26T11:45:20-04:00November 26th, 2018|Basilico and Johnsen, Academic Research Insight|

The Global Capital Stock: Finding a Proxy for the Unobservable Global Market Portfolio Gregory Gadzinski, Markus Schuller, and Andrea Vacchino Journal of Portfolio Management, 2018 A version of this paper can be found here Want to [...]

Short volatility strategies are extensive and widespread

By |2018-11-19T11:32:50-04:00November 19th, 2018|Research Insights, Basilico and Johnsen, Academic Research Insight|

Everybody’s Doing It: Short Volatility Strategies and Shadow Financial Insurers Vineer Bhansali and Larry Harris Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? [...]

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

By |2018-11-12T12:14:37-04:00November 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 |2018-12-19T08:14:44-04:00November 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 |2018-10-30T11:36:13-04:00October 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 [...]

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