Low Volatility Can Be Low Turnover
Low Volatility Needs Little Trading Pim van Vliet Journal of Portfolio Management A version of this paper can be found here Want to read our summaries [...]
Public Hedge Funds and Their Performance
Public Hedge Funds Lin Sun and Melvyn TeoJournal of Financial Economics, forthcomingA version of this paper can be found hereWant to read our summaries of academic [...]
How Risky are the Value and Size Premiums? Part 2/2 of Volatility Lessons
Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries [...]
The Smart Money Indicator: A New Risk Management Tool
We have all heard the mantra, “You can’t time the market!” But in reality, investors attempt to do just that every day as part of [...]
Manager Sentiment and Stock Returns
Manager Sentiment and Stock Returns Fuwei Jiang, Joshua Lee, Xiumin Martin, Guofu Zhou Journal of Financial Economics, forthcoming A version of this paper can be [...]
Size and Value in China
Size and Value in China Jianan Liu, Rob Stambaugh, and Yu Yuan Journal of Financial Economics A version of this paper can be found here What [...]
“The Failure of Factor Investing was Predictable”
In a recent ETF column, Allan Roth listed five investment lessons. While I agreed with much of what he wrote, one claim—factor investing has “failed [...]
Rankings and Risk-Taking in the Finance Industry
Rankings and Risk-Taking in the Finance Industry Michael Kirchler, Florian Lindner, and Utz WeitzelThe Journal of Finance, Fall 2018A version of this paper can be [...]
Equity investing is Riskier than You Probably Expected
Volatility Lessons Eugene F. Fama and Kenneth R. French Financial Analysts Journal A version of this paper can be found here Want to read our summaries [...]
Herding and Mutual Fund Performance
Does Herding Behavior Reveal Skill? An Analysis of Mutual Fund Performance Hao Jiang and Michela VerardoThe Journal of Finance, Fall 2018A version of this paper [...]
#Women in Finance Know Stuff: A Conversation with Paola Cerchiello
Today, we are interviewing someone from my country and a pioneer of data science education in Italy: Paola Cerchiello, Senior Assistant Professor of Data Science [...]
Why and How Investors use ESG Information
Why and How Investors Use ESG Information: Evidence from a Global Survey Amir Amel-Zadeh and George Serafeim Financial Analysts Journal A version of this paper [...]
Discipline: A Necessary Condition for Successful Investing
A good friend, Sherman Doll, related the following story. Sherman has been a two-line sport kite flier for years. While not a pro, he has [...]
Warren Buffett is Wrong About Options (Except)
Warren Buffett sold long-dated, deep out of the money puts in the years leading up to the financial crisis. In his 2008 Annual Letter to [...]
Is Active Alpha Enough to Cover Taxes?
Each time S&P Dow Jones Indices publishes its latest Active Versus Passive Scorecard, the persistent failure of the vast majority of actively managed funds to [...]
Data Science is Revolutionizing Investment Practice
Order from Chaos: Data Science is Revolutionizing Investment Practice Joseph Simonian, Marcos Lopez de Prado, and Frank FabozziJournal of Portfolio Management, Fall 2018A version of this [...]
ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities
The Impact of Flows into Exchange Traded Funds: Volumes and Correlations Ananth Madhavan and Daniel Morillo Journal of Portfolio Management, summer 2018 A version of [...]
Trend Following on Steroids
Trend following is well-known and the simplest version is as follows: you buy an asset when it has positive momentum (the price goes up) and [...]
Measuring Factor Exposures: Uses and Abuses
Measuring Factor Exposures: Uses and Abuses Ronen Israel and Adrienne Ross The Journal of Alternative Investments A version of this paper can be found here Want [...]
Is Financial Advice Conflicted…Or is it Simply Misguided?
The Misguided Beliefs of Financial Advisers Juhani T. Linnainmaa, Brian Melzer and Alessandro Previtero Kelley School of Business Research Paper No. 18-9 A version of [...]