Factor Investing in Sovereign Bond Markets: 221 years of evidence!
Factor Investing in Sovereign Bond Markets: Deep Sample Evidence Baltussen, Martens and Penningaworking paper, 2021A version of this paper can be found hereWant to read our [...]
Maximize ESG exposure or screen out sin stocks?
Optimal Strategies for ESG Portfolios Fabio Alessandrini and Eric JondeauJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]
The Different Types of ESG Investors
ESG as Waving Banners and as Pulling Plows Meir StatmanJournal of Portfolio Management, 2020A version of this paper can be found hereWant to read our summaries [...]
Can investors beat active mutual funds with Cheap ETFs? Yup!
In this article we discuss the research concerning the question of whether or not investors can beat active mutual funds with cheap ETFs. Are Passive [...]
Factors Timing is a Difficult Practice
Factor Exposure Variation and Mutual Fund Performance Ammann, Fischer and WeigertFinancial Analyst Journal, 2020A version of this paper can be found hereWant to read our summaries [...]
Can Hedge Funds Successfully Time Factors?
Timing is money: The factor timing ability of hedge fund managers Albert Jakob Osinga, Marc B.J. Schauten, Remco C.J. ZwinkelsJournal of Empirical FinanceA version of [...]
Still Using Book to Market for a Value Metric? Read This.
Going by the Book: Valuation Ratios and Stock Returns Choi, So and WangWorking Paper, 2021A version of this paper can be found here.Want to read our [...]
Get Green or Die Trying?
Get Green or Die Trying? Carbon Risk Integration into Portfolio Management Maximilian Görgen, Andrea Jacob, and Martin NerlingerJournal of Portfolio ManagementA version of this paper [...]
Using Satellite Images to Study Local Information Advantage
The Firm Next Door: Using Satellite Images to Study Local Information Advantage Kang, Stice-Lawrence, Wong Journal of Accounting Research, 2021A version of this paper can [...]
ESG Performance Breakdown by E, S, and G
Deconstructing ESG Ratings Performance: Risk and Return for E, S, and G by Time Horizon, Sector, and Weighting Guido Giese, Zoltán Nagy, and Linda-Eling LeeJournal [...]
Where Are The Women in Finance? More Clues.
The Family Origin of the Math Gender Gap is a White Affluent Phenomenon Dossi, Figlio, Giuliano and SapienzaNBER working paper, 2020A version of this paper [...]
Competition for Attention in the ETF Space
Competition for Attention in the ETF Space Itzhak Ben-David, Francesco Franzoni, Byungwook Kim, and Rabih MoussawiSSRN Working paperA version of this paper can be found hereWant [...]
We Should Increase Trust in Financial Services
Trust and Financial Advice Burke and HungJournal of Pension Economics and Finance, 2021A version of this paper can be found hereWant to read our summaries of [...]
Climate Change and Asset Allocation
Climate Change and Asset Allocation: A Distinction That Makes a Difference Brian Jacobsen, Eddie Cheng, and Wai LeeJournal of Portfolio ManagementA version of this paper [...]
Gender Gaps in Venture Capital Performance
Gender Gaps in Venture Capital Performance Gompers, Mukharlyamov, Weisburst, and XuanJournal of Financial and Quantitative Analysis, 2020A version of this paper can be found hereWant to [...]
Estimating the Stock-Bond Correlation
The Stock-Bond Correlation Megan Czasonis, Mark Kritzman, and David TurkingtonJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of [...]
How Active Mutual Funds Use ETFs
In this paper we discuss the academic research about how active mutual funds use ETFs for the purpose of improving the operations of the fund, [...]
More on the Factor Investing Replication Debate
Open Source Cross-Sectional Asset Pricing Andrew Chen and Tom ZimmermannWorking paperA version of this paper can be found here What are the research questions? There has [...]
An Economic Framework for ESG Investing
Responsible Investing: The ESG Efficient Frontier Pedersen, Fitzgibbons, and PomorskiJournal of Financial Economics, 2020A version of this paper can be found hereWant to read our summaries [...]
How to Measure the Liquidity of Cryptocurrency?
In this blog we discuss the academic research surrounding the question of cryptocurrency liquidity. How to Measure the Liquidity of Cryptocurrency? Brauneis, Mestel , Riordan [...]