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Beware of any investment that has the word, "yield," embedded in the title. This is especially important for "dividend yield" strategies. Because the term makes investors salivate, marketing-focused asset managers leverage this knowledge to sell unsuspecting [...]
The Dividend Month Premium Sam Hartzmark and David Solomon A recent version of the paper can be found here. Abstract: We document that companies have positive abnormal returns in months when they are expected to [...]
While analysts underwrite high growth for companies that have grown quickly and slow growth for companies that have grown slowly in the past, a large body of evidence demonstrates that reversion to the mean of both positive and negative abnormal earnings growth is the norm.
For many benchmark predictor variables, short-horizon return predictability in the U.S. stock market is local in time as short periods with significant predictability (“pockets”) are interspersed with long periods with no return predictability.
Ignoring the impact of taxes on the returns of taxable accounts is one of the biggest mistakes that can be made.
Covered calls implemented to deliver higher derivative income should be expected to have (1) lower total returns, (2) higher tax realizations along the path, and (3) a more negatively skewed return profile. Investors who allocate to these strategies for their income alone, without accounting for these other considerations, might have made a devil’s bargain
The higher returns to high R&D stocks represent compensation for heightened systematic risk not captured in standard asset pricing models.
This piece outlines the high-level benefits of the ETF structure, which boils down to market access, tax efficiency, and transparency. It covers the considerations for a 351 tax-free conversion and the mechanics and tax consequences of a 351 conversion.
There are various measures of value and quality, with one being Marx’s gross profits-to-assets.
The “Intangible Value Factor” (IHML) can play an additive role in factor portfolios alongside the established market, size, value, quality, and momentum factors. This Six-Factor Model avoids the problematic “anti-innovation” bias of traditional factor portfolios and can be easily implemented using ETFs.