Who’s Afraid of a Big Bad Bear? Many Investors Shouldn’t be that Concerned
Watching stock prices drop quickly can be terrifying. In late January, every big decline in stock prices was greeted with lots of media coverage, cable [...]
#Women in Finance Know Stuff: A Conversation with Linda Zhang, PhD
This is the first of a new series of interviews with inspiring women in finance, a new initiative we (Elisabetta Basilico and Tommi Johnsen) launched [...]
Retail Short Sellers: Trading Skill or Insider Trading?
Informed retail investors: Evidence from retail short sales Keith Jacks Gamble and Wei Xu Journal of Empirical Finance A version of this paper can be [...]
Are Factors Better and More Diversifying Than Asset Classes?
Executive Summary Factor investing promises outperformance at low cost. But to add value in a portfolio, it must deliver positive risk-adjusted returns and with low [...]
How to Evaluate Multi-Asset Strategies
Evaluating Multi-Asset Strategies K. Stuart Peskin Journal of Portfolio Management, special issue A version of this paper can be found here Want to read our summaries of [...]
Short Sellers Profitably Trade Prior to Credit Rating Agency Announcements
Are Short Sellers Informed? Evidence from Credit Rating Agency Announcements Jian Shi, Junbo Wang, Ting Zhang Journal of Financial Research A version of this paper [...]
Book Review: Thinking in Bets: Making Smarter Decisions When You Don’t Have All the Facts
Behavioral psychology is going mainstream in American culture, from Michael Lewis’s “Moneyball,” to recent Nobel prizes won by behavioral economics giants Daniel Kahneman and Richard [...]
The End of 60/40? The Case for Diversified Value, Momentum, and Carry Risk Exposures
Hobbled by Benchmarks Mike Aked, Rob Arnott, Omid Shakernia, Jonathan Treussard Journal of Portfolio Management A version of this paper can be found here Want to [...]
Value and Momentum Factors in Fixed Income
Smart beta (or factor investing) seems to be the product du jour in ETFs. There are so many different factor products available that just about [...]
Monetary Policy Rate Uncertainty Predicts Higher Equity Volatility
Volatility in equity markets and monetary policy rate uncertainty Iryna Kaminska and Matt Roberts-Sklar Journal of Empirical Finance A version of this paper can be [...]
A Quantitative Strategy for Enhancing Merger Arbitrage
Merger arbitrage, sometimes known as "risk arbitrage," is an investing strategy in which the investor bets on announced M&A deals. After a merger is announced, [...]
Academic Research Insight: Results on Financial Misconduct Depend on the Database One Uses
Proxies and Databases in Financial Misconduct Research Jonathan M. Karpoff, Allison Koester, D. Scott Lee and Gerald S. Martin The Accounting Review A version of [...]
Value and Momentum Factor Portfolio Construction: Combine, Intersect, or Sequence?
Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on [...]
Academic Research Insight: Surprise! Seeking Alpha Opinions Have Investment Value
Wisdom of the Crowds: The Value of Stock Opinions Transmitted Through Social Media Hailiang Chen, Prabuddha De, Yu Jeffrey Hu, Byoung Hyoun Hwang Review of [...]
The History of ETFs: Perspectives from ETF Legends, Reggie Browne and Arlene Rockefeller
ETFs have grown fast, yet there are still some opponents of the structure. However, the general story by ETF opponents has changed over the past [...]
The Value Effect and Macroeconomic Risk
It has been well-documented that value stocks have provided higher expected returns than growth stocks. However, there is a great debate about the source of [...]
Academic Research Insight: Yes, Departing Outside Directors Are Aware of Fraud Before They Resign
Go Before the Whistle Blows: An Empirical Analysis of Director Turnover and Financial Fraud Yanmin Gao, Jeong-Bon Kim, Desmond Tsang, Haibin Wu Review of Accounting [...]
Academic Research Insight: The Importance of Financial Literacy
Employees Financial Literacy and Retirement Plan Behavior: A Case Study Robert Clark, Annamaria Lusardi, Olivia Mitchell Economic Inquiry, forthcoming A version of this paper can be [...]
The Tax Efficiency of Long-Short Strategies
Conventional wisdom can be defined as ideas that are so accepted that they go unquestioned. Unfortunately, conventional wisdom is often wrong. Two great examples are [...]
Academic Research Insight: Predicting Long Run Stock Returns? It’s All About the Payout.
The Long-Run Drivers of Stock Returns: Total Payouts and the Real Economy Philip U. Straehl and Roger G. Ibbotson Financial Analysts Journal A version of [...]