Stock Misplacement in Sized-Based Indices
There has been much discussion of the small-cap premium recently. Has its popularity cannibalized its utility? Are large firms preventing a level playing field? Will [...]
The Returns to Value Strategies When Valuation Spreads Are Wide (Deep Value)
The academic research has generally found valuations, such as the earnings yield (E/P) (or the CAPE 10 earnings yield) and valuation spreads, have predictive value [...]
Book Review — Market Timing with Moving Averages
Trend-following is something I've struggled with for years -- always felt like voodoo magic and data-mining. That said, I finally came around to appreciating the [...]
Academic Research Insight: Industry Herding by Short Sellers Signals that Conditions are Changing
Do short sellers exploit industry information? Zsuzsa R. Huszár, Ruth S.K. Tan, Weina Zhang Journal of Empirical Finance A version of this paper can be [...]
Academic Research Insight: Beware of the Surprise Departure of Independent Directors!
Do Independent Director Departures Predict Future Bad Events? Rüdiger Fahlenbrach, Angie Low, and René M. Stulz The Review of Financial Studies A version of this [...]
Academic Research Insight: Diverisification is Not Always a Free Lunch
What Free Lunch? The Costs of Overdiversification Shawn McKay, Robert Shapiro, Ric Thomas A version of this paper can be found here Want to read our [...]
Myth Busting: Stocks Correlations and Active Investment Opportunities
Many investors, investment professionals, and pundits make comments regarding the relationship between stock correlations and opportunities for active stock pickers. For example, here is a [...]
Academic Research Insight: How Women Affect Corporate Decision-Making
Shaped by their daughters: Executives, female socialization, and corporate social responsibility Henrik Cronqvist, Frank Yu A version of this paper can be found here Want to [...]
Academic Research Insight: Political Connections May Actually Increase SEC oversight
Do political connections help or hinder SEC oversight? Jonas Heese, Mozaffar Khan, Karthik Ramanna Journal of Accounting and Economics A version of this paper can be [...]
Richard Thaler: Misbehaving His Way to a Nobel Prize!
Unless you live under a rock, you've probably heard that Professor Richard Thaler earned the recent Nobel Prize. (The University of Chicago is on fire these [...]
Academic Research Insight: How to Balance Short and Long term Goals in Asset Allocation
Strategic Asset Allocation-Combining Science and Judgment to Balance Short Term and Long Term Goals Peng Wang and Jon Spinney A version of this paper can [...]
Academic Research Insight: Being Surprised by the Unsurprising: Earnings Seasonality and Stock Returns
Are we misidentifying seasonal patterns as genuine earnings news? Tom Y. Change, Samuel M. Hartzmark, David H. Solomon, Eugene F. Soltes The Review of Financial [...]
Academic Research Insight: Sin Stocks May Earn a “Boycott” Risk Premium
Social Screens and Systematic Boycott Risk H. Arthur Luo and Ronald J. Balvers Journal of Financial and Quantitative Analysis A version of this paper can [...]
Factor Investing with Factor Expert Lu Zhang
Replicating Anomalies is arguably a "must-read" for anyone who thinks about factor investing and is looking to improve their understanding of the space. Lu Zhang, [...]
Academic Research Insight: Stick to the Fundamentals and Discover Your Industry Peers
Stick to the Fundamentals and Discover Your Peers Jean Overgaard Knudsen, Simon Kold and Thomas Plenborg A version of this paper can be found here Want [...]
A Potential Winner: Buying Lottery Stocks with Low Short Interest
Short Interest and Lottery Stocks Kelley Bergsma & Jitendra Tayal A version of this paper can be found here Want to read our short summaries of [...]
Academic Research Insight: Sentiment Feedback Strength Trading Strategy
Genetic programming optimization for a sentiment feedback strength based trading strategy Steve Y.Yang, Sheung Yin Kevin Mo, AnqiLiu, Andrei A.Kirilenko A version of this paper [...]
Dividend Capture Strategy: Trade Execution Matters
One area in investing that is often overlooked by investors is trade execution, which relates primarily to commissions, bid-ask spreads, and price impact. Yet sometimes [...]
Academic Research Insight: Does Social Capital payoff during times of crisis in the markets?
Title: Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis Authors: Karl V. Lins, Henri Servaes, and Ane [...]
Academic Research Insight: VOLATILITY WISDOM OF SOCIAL MEDIA CROWDS
Title: VOLATILITY WISDOM OF SOCIAL MEDIA CROWDS Authors: Ahmet K. Karagozoglu and Frank J. Fabozzi Publication: Journal of Portfolio Management, Winter 2017 [...]