Using data on 65,000 stocks from 23 countries, they evaluated the performance of the Fama-French factors, examining the factor premia in global markets to verify their robustness across different company size categories and geographical regions. Their data sample covered the period 1987-2019.
Today we summarize an investigation into the usefulness of Prospect Theory and Narrow Framing to evaluate whether a new model can help explain 22 prominent market anomalies.
Due to the surprising headline that treasury bills seemingly outperform stocks, practitioners are starting to ask: Should I invest in individual stocks?
There was really only one question investigated in this research: Are social preferences and values the main drivers of an SRI investors' choice of SRI mutual funds?
One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relationship between risk and return. However, empirical studies have found the actual relationship to be basically flat, or even negative. Over the last 50 years, the most “defensive” (low-volatility or low-beta, low-risk) stocks have delivered both higher returns and higher risk-adjusted returns than the most “aggressive” (high-volatility, high-risk) stocks.
Are there similarities in the trading behavior of financial advisors and their clients? Are fees paid by advisors and clients similar too? Are advisers overconfident in their skill at identifying active managers and in their ability to outperform passive investments?
Liquidity—the ability to buy and sell significant quantities of a given asset quickly, at low cost, and without a major price concession—is valuable to investors. [...]
How Global is Your Mutual Fund? International Diversification from Multinationals Irem Demirci, Miguel A. Ferreira, Pedro Matos, and Clemens SialmReview of Financial Studies, 2021A version [...]
Option Return Predictability with Machine Learning and Big Data Bali, Beckmeyer, Moerke, WeigertA version of this paper can be found hereWant to read our summaries of [...]
Out of Sight No More? The Effect of Fee Disclosures on 401(k) Investment Allocations Kronlund, Pool, Sialm and StefanescuJournal of Financial Economics, 2021A version of [...]
In this original research, Elisabetta and I study data across 29 global markets and provide empirical data on the following question: What percentage of CFO [...]
The Role of Factors in Asset Allocation Mark KritzmanJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic [...]
Hendrik Bessembinder contributes to the literature on the returns to public equity investment diversification benefits with his study “Wealth Creation in the US Public Stock [...]
At the table but cannot break through the glass ceiling: Board leadership positions elude diverse directors Laura Casares Field, Matthew E. Souther, Adam S. YoreJournal [...]
Sustainable investing has grown substantially in recent years, demonstrating that investor demand can be driven by nonfinancial issues such as environmental (E), social (S), and [...]
Deep Value Cliff Asness, John Liew, Lasse Heje Pedersen, and Ashwin ThaparJournal of Portfolio ManagementA version of this paper can be found hereWant to read our [...]
Because of the complexity inherent to ETF trading in the secondary market, there are frequent misunderstandings about the relationship between the liquidity of the underlying [...]
The rate of communication Huang, Hwang and LouJournal of Financial Economics, 2021A version of this paper can be found hereWant to read our summaries of academic [...]
Recent research, including the 2020 studies “Explaining the Recent Failure of Value Investing” and “Intangible Capital and the Value Factor: Has Your Value Definition Just [...]
Macro risks and the term structure of interest rates Bekaert, Engstrom, ErmolovJournal of Financial Economics, 2021A version of this paper can be found hereWant to read [...]
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