Stocks aren’t always the best in the long-run
Advisors and managers will have to adopt a more nuanced view of risk as recognition of the frequency of equity underperformance becomes widespread.
Do sell-side analysts say “buy” while whispering “sell”?
Managers are more likely to vote for analysts who exhibit greater “say-buy/whisper-sell” behavior toward these man agers. This suggests that analysts reduce the accuracy of their public recommendations, thereby maintaining the value of their private advice to funds.
Frog in the Pan Momentum: International Evidence
Underreaction to continuous news plays a key role in generating momentum internationally.
Factors are global, respectable and repeatable
The propagation of factors actually reflect valid characteristics of the markets and market fluctuations.
Rethinking Asset Growth in Asset Pricing Models
Measures of asset growth add considerable explanatory power to asset pricing models, but wait, there’s a twist. The formulation for measuring asset growth in risk [...]
Can Artificial Intelligence outsmart seasoned equity analysts?
If the task is to identify a firm’s true profitability, can AI outsmart seasoned analysts?
Artificial intelligence, firm growth, and product innovation
AI-powered growth concentrates among larger firms and is associated with higher industry concentration. Our results highlight that new technologies like AI can contribute to growth and superstar firms through product innovation.
Analysts set price targets using trailing P/E ratios
Trailing twelve-month P/E ratios account for 91% of the variation in analysts’ price targets. We construct a new kind of asset-pricing model around this fact and show that it explains the market response to earnings surprises.
Can smart rebalancing improve factor portfolios?
This paper provides new evidence on the efficacy of prioritizing transactions so as to focus portfolio turnover on the trades that offer the strongest signals and hence the highest potential performance impact.
Fixing the poor performance of the book-to-market ratio
The authors effectively argue the case for intrinsic value and DCF based approaches to building Value factor strategies. The traditional value measures, especially the book-to-market ratio, are described as ineffective in today's market environment.
Factors and Taxes
As a result of the trading required to capture the premiums that drive factor strategies investors may face significant tax liabilities. The challenge for the [...]