Short Selling + Insider Selling = Bad News
Do Short Sellers Trade on Private Information or False Information? Amiyatosh Purnanandam and H. Nejat Seyhun Journal of Financial and Quantitative Analysis A version of [...]
Industry Insiders Can Outperform the Market
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 [...]
Low Volatility Turnover with Value and Momentum
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 [...]
Day of the Week Matters for Some Anomalies
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 [...]
Low Volatility Can Be Low Turnover
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 [...]
Public Hedge Funds and Their Performance
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 [...]
How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons
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 [...]
Manager Sentiment and Stock Returns
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 [...]
Rankings and Risk-Taking in the Finance Industry
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 [...]
Equity investing is Riskier than You Probably Expected
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 [...]
Herding and Mutual Fund Performance
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 [...]
#Women in Finance Know Stuff: A Conversation with Paola Cerchiello
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 [...]
Why and How Investors use ESG Information
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 [...]
Data Science is Revolutionizing Investment Practice
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 [...]
ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities
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 [...]
Measuring Factor Exposures: Uses and Abuses
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 [...]
A Proxy for the Unobservable Global Market Portfolio
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 [...]
Short volatility strategies are extensive and widespread
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 [...]
Hedge Funds may Profit from Stock-Picking and Help Reduce Mispricing
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 [...]
Fund Capacity Analysis: How Much Capital Will a Strategy Handle?
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 [...]