The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market
Fama–French in China: Size and Value Factors in Chinese Stock Returns Grace Xing Hu, Can Chen, Yuan Shao, and Jiang Wang International Review of Finance [...]
Style Investing in Fixed Income
Style Investing in Fixed Income Jordan Brooks,Diogo Palhares, Scott Richardson Journal of Portfolio Management, Special Issue 2018 A version of this paper can be found here [...]
What to do with Underperforming Investments? Assessment via Bayesian Inference
Assume you made a decision to invest in an active strategy based on, say, a backtest of the underlying process (to be clear, active means NOT [...]
Technical Analysis in the Chinese Stock Market: Does it Work?
Technical Analysis Profitability Without Data Snooping Bias: Evidence from Chinese Stock Market Fuwei Jiang, Guoshi Tong and Guokai Song International Review of Finance A version [...]
Automating Earnings Forecasts: Can a “MIDAS” touch help?
Automated Earnings Forecasts: Beat Analysts or Combine and Conquer? Ryan Ball and Eric Ghysels Management Science, forthcoming A version of this paper can be found here Want [...]
#Women in Finance Know Stuff: A Conversation with Nicole Boyson
Today, we are interviewing Dr. Nicole Boyson, Professor of Finance at Northeastern University. (Here is a link to her SSRN page) I had the pleasure [...]
Following Sell-Side Analysts? This Paper Identifies Who You Should Chase.
Do Stars Shine? Comparing the Performance Persistence of Star Sell-Side Analysts Listed by Institutional Investor, the Wall Street Journal, and StarMine Yury O. Kucheev, Felipe [...]
Value Investing Portfolios are Not Dead, But Some Have Done Better than Others
Mirror, mirror, on the wall – which is the fairest of them all? Recent commentary (to include a recent Barron's article) seems to suggest that [...]
Does Higher Financial Literacy Lead to Better Portfolio Performance?
Financial Literacy and Portfolio Dynamics Milo Bianchi Journal of Finance, forthcoming A version of this paper can be found here Want to read our summaries of academic [...]
Short Sellers Can Predict Deteriorating Bank Fundamentals
Can short sellers inform bank supervision? Bhanu Balasubramnian and Ajay Palvia Journal of Financial Services Research A version of this paper can be found here Want [...]
Quantifying the Value of Retirement Accounts
Many people talk about the tax benefits of retirement accounts. However, few attempt to quantify and estimate the actual benefits. To make matters worse, when [...]
ESG and Factor Investing
Thematic Indexing, Meet Smart Beta! Merging ESG into Factor Portfolios Jennifer Bender, Xiaole Sun, and Taie Wang Journal of Index Investing, 2017 A version of this paper can [...]
Systematic Investment Strategies are Hot. But What Happens Next?
Systematic Investment Strategies Daniel Giamouridis (Co-editor of FAJ) Financial Analysts Journal A version of this paper can be found here Want to read our summaries of [...]
Tail Risk Hedging: An Alternative Approach to Risk Management
This article proposes tail risk hedging (TRH) as an alternative model for managing risk in investment portfolios. The standard risk management approach involves a significant [...]
How to Perform Investment Sentiment Analysis on Twitter
Company Event Popularity for Financial Markets using Twitter and Sentiment Analysis Mariana Daniel, Rui Ferreira Neves, Nuno Horta Expert Systems with Applications, 2017 A version [...]
#Women in Finance Know Stuff: A Conversation with Renee Yao
Today, we are interviewing Renee Yao, Founder and CEO of Neo Ivy Capital. We started our conversation by comparing notes on the very limited number [...]
Investing in IPOs? Look at IPOs from Firms with More SEC Comment Letters
The oversight role of regulators: evidence from SEC comment letters in the IPO process Bing Li and Zhenbin Liu Review of Accounting Studies A version [...]
STEM Parents and Women in Finance
STEM Parents and Women in Finance Renee Adams, Brad Barber and Terrance Odean Financial Analyst Journal, forthcoming A version of this paper can be found here Want [...]
Worried about extreme down markets? Consider formal portfolio risk models.
Do risk management practices work? Evidence from hedge funds Gavin Cassar and Joseph Gerakos Review of Accounting Studies A version of this paper can be [...]
Macroeconomic factors and Tactical Asset Allocation
Macroeconomic Dashboards for Tactical Asset Allocation David Clewell, Chris Faulkner-Macdonagh, David Giroux, Sebastien Page, and Charles Shriver Journal of Portfolio Management, special issue A version of [...]