Other Insights

Is the Market Getting more Efficient?

Another Alpha Opportunity Bites the Dust In 1998, Charles Ellis wrote “Winning the Loser’s Game,” in which he presented evidence that while it is possible [...]

Value and Momentum and Investment Anomalies

The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a [...]

How Powerful is the Wealth Effect?

Stock Market Returns and Consumption Marco Di Maggio, Amir Kermani and Kaveh MajlesiJournal of Finance, 2020A version of this paper can be found hereWant to read [...]

Trend-Following Filters: Part 1/2

1. Introduction Many traders use strategies based on trends that occur in stock, bond, currency, commodity, and other financial asset price time series in order [...]

Is Size a Useful Investing Factor or Not?

In his famous 1981 paper, "The Relationship Between Return and Market Value of Common Stocks,” Rolf Banz found that small firms have higher risk-adjusted returns [...]

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