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 [...]
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 [...]
CFO Gender and Financial Statement Irregularities V.K.Gupta, S. Mortal, B. Chakrabarty, X. Guo, D. B. TurbanAcademy of Management Journal, 2019A version of this paper can [...]
Liquidity risk and exchange-traded fund returns, variances, and tracking errors Kyounghun Bae, Daejin KimJournal of Financial EconomicsA version of this paper can be found hereWant to [...]
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 [...]
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 [...]
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 [...]
Documentation of the File Drawer Problem at Finance Conferences: A Follow-Up Study Manoela N. Morais and Matthew R. MoreyJournal of InvestingA version of this paper can be [...]
“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation [...]
Do Individual Investors Trade on Investment-related Internet Postings? Manuel Ammannt and Nic SchaubManagement Science, 2020A version of this paper can be found hereWant to read our [...]
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 [...]
Intermediation in Private Equity: The Role of Placement Agents Matthew D. Cain, Stephen B. McKeon, and Steven Davidoff SolomonJournal of Financial and Quantitative AnalysisA version [...]
Investing is never easy, but some times are easier than others. Buying US government bonds at 10%+ yields when inflation was steadily decreasing in the [...]
Independent Women: Investing in British Railways, 1870-1922 Graeme G. Acheson; Gareth Campbell; Áine Gallagher and John D. TurnerEconomic History Review, 2020A version of this paper [...]
Robert Novy-Marx’s 2013 paper “ The Other Side of Value: The Gross Profitability Premium” not only provided investors with new insights into the cross-section of [...]
Trading out of sight: An analysis of cross-trading in mutual fund families Alexander Eisele, Tamara Nefedova, Gianpaolo Parise, Kim Peijnenburg, Journal of Financial EconomicsA version [...]
What Matters to Individual Investors? Evidence from the Horse's Mouth James Choi and Adriana RobertsonJournal of Finance, 2020A version of this paper can be found hereWant [...]
Trying to avoid value traps.
Ultra-Simple Shiller’s CAPE: How One Year’s Data Can Predict Equity Market Returns Better Than Ten Thomas K. Philips and Adam KoborJournal of Portfolio ManagementA version [...]
Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at [...]
Security Analysts and Capital Market Anomalies Li Guo, Frank Weikai Li, K.C. John WeiJournal of Financial EconomicsA version of this paper can be found hereWant to [...]
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