The Variance Risk Premium is Pervasive
The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same [...]
Is Time Really Money?
Risk and Investment Horizon: Is Time Really Money? Ekaterina E. Emm and Ruben C. TrevinoJournal of Investing, 2019A version of this paper can be found hereWant [...]
No Skill? Well, Active Share Won’t Save You!
Is High Active Share Always Good? Giuliano De Rossi and Gurvinder BrarThe Journal of Asset ManagementA version of this paper can be found hereWant to read [...]
The Perils (and Inevitability) of Forecasting
I recently experienced one of those fortunate confluence of events that helped me better grasp the relationship between forecasting (which I feel is futile) and [...]
Financial Advice and Bank Profits
Financial Advice and Bank Profits Daniel Hoechle, Stefan Ruenzi,Nic Schaub, Markus Schmid Review of Financial Studies, November 2018 Versions of this paper can be found here and [...]
Research on the Financial Performance of Collectibles
When Rationality Meets Passion: on the Financial Performance of Collectibles Philippe Masset and Jean-Philippe WeisskopfJournal of Alternative Investments, Fall 2018A version of this paper can be [...]
Strategies to Reduce Crash Risk in Stocks
Because equities are much riskier than high-quality bonds, the vast majority of the risk of a conventional 60 percent equity/40 percent bond portfolio is equity [...]
Pathetic Protection via Protective Puts
Pathetic Protection: the Elusive Benefits of Protective Puts Roni IsraelovJournal of Alternative Investments, Winter 2019A version of this paper can be found hereWant to read our summaries of academic [...]
Enhancing the Performance of Momentum Strategies
In “Your Complete Guide to Factor-Based Investing,” Andy Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (or relative) momentum and time-series (or [...]
Fact, Fiction, and the Size Effect
Fact, Fiction and the Size Effect Ron Alquist, Ronen Israel, And Tobias MoskowitzJournal of Portfolio Management, 2018A version of this paper can be found hereWant to [...]
Debunking myths about stock buybacks
Buyback Derangement Syndrome Clifford Asness, Todd Hazelkorn, And Scott Richardson Journal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries [...]
Is Active Management Skilled? If So, Who Benefits?
According to Christian mythology, the Holy Grail was the dish, plate or cup with miraculous powers that were used by Jesus at the Last Supper. [...]
Large-Cap Price-to-Book Investing: What is Dead May Never Die
In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying "What is Dead May Never Die" which [...]
The Curse of Popularity
We can define popularity as the condition of being admired, sought after, well-known, and/or accepted. One would think popularity is a good thing. However, when [...]
Fama French Factors and ESG: The Good Minus Bad Factor
Integrating ESG in Portfolio Construction Roy Henriksson, Joshua Livnat, Patrick Pfeifer, and Margaret StumppJournal of Portfolio ManagementA version of this paper can be found hereWant to [...]
Does Leverage Explain the Investment Premium?
Research demonstrates that the investment factor has explanatory power for the cross-section of stock returns, with high-investment firms tending to underperform low-investment firms. For example, [...]
Passive Sustainable Funds
Passive Sustainable Funds: the Global Landscape Hortense Bioy and Kenneth LamontThe Journal of Index Investing, 2018A version of this paper can be found hereWant to read our [...]
Equity Compensation Planning in a TCJA World
Employee equity & stock options are a major part of the modern compensation plan. That's certainly the case for my financial planning clients. Unfortunately, a [...]
The Re-Death of Value, or Déjà Vu All Over?
The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to [...]
Is factor momentum really everywhere?
Factor Momentum Everywhere Tarun Gupta and Bryan KellyJournal of Portfolio ManagementA version of this paper can be found hereWant to read our summaries of academic finance [...]