Do Security Analysts Follow the Academic Evidence?
As my co-author Andrew Berkin and I explain in our new book “Your Complete Guide to Factor-Based Investing,” there is considerable evidence of cross-sectional return [...]
DIY Asset Allocation Weights: February 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
Hot Topic: Does “Gamma” Hedging Actually Affect Stock Prices?
Hedging Demand and Market Intraday Momentum Guido Baltussen, Zhi Da, Sten Lammers and Martin MartensJournal of Financial Economics, ForthcomingA version of this paper can be [...]
The Quality Factor—What Exactly Is It?
The existence of a quality premium in stocks that has been persistent over time, pervasive around the globe, and robust to various definitions have been [...]
A Review of Ben Graham’s Famous Value Investing Strategy: “Net-Nets”
Benjamin Graham, often considered a strong candidate for "the father of quantitative value investing", developed an investment strategy that involved purchasing securities for less than [...]
Mutual fund investments in private firms
Mutual fund investments in private firms Sungjoung Kwon, Michelle Lowry, Yiming QianJournal of Financial EconomicsA version of this paper can be found hereWant to read our [...]
Is the Market Getting more Efficient?
Another Alpha Opportunity Bites the Dust In 1998, Charles Ellis wrote “Winning the Loser’s Game,” in which he presented evidence that while it is possible [...]
Trend-Following Filters – Part 2/2
1. Introduction Part 1 of this analysis, which is available here, examines filters modeled on second-order processes from a digital signal processing (DSP) perspective to [...]
Battle of the Sexes, Who’s Better at Fudging the Numbers?
CFO Gender and Financial Statement Irregularities V.K.Gupta, S. Mortal, B. Chakrabarty, X. Guo, D. B. TurbanAcademy of Management Journal, 2019A version of this paper can [...]
Global Factor Performance: January 2021
The following factor performance modules have been updated on our Index website.[ref]free access for financial professionals[/ref] Standardized PerformanceFactor PerformanceFactor ExposuresFactor PremiumsFactor AttributionFactor Data Downloads
The Definitive Study on Long-Term Factor Investing Returns
Global Factor Premiums Baltussen, Swinkels, VlietJournal of Financial Economics, forthcomingA version of this paper can be found hereHere are the slides tied to the paper.Want to [...]
How Does ETF Liquidity Affect ETF Returns, Volatility, and Tracking Error?
Liquidity risk and exchange-traded fund returns, variances, and tracking errors Kyounghun Bae, Daejin KimJournal of Financial EconomicsA version of this paper can be found hereWant to [...]
Value and Momentum and Investment Anomalies
The predictive abilities of value and momentum strategies are among the strongest and most pervasive empirical findings in the asset pricing literature. (here is a [...]
DIY Asset Allocation Weights: January 2021
Do-It-Yourself tactical asset allocation weights for the Robust Asset Allocation Index are posted here. (Note: free registration required) Request a free account here if you [...]
How Powerful is the Wealth Effect?
Stock Market Returns and Consumption Marco Di Maggio, Amir Kermani and Kaveh MajlesiJournal of Finance, 2020A version of this paper can be found hereWant to read [...]
The 2021 Annual Finance Research Geek Fest: Top 5 Most Interesting Papers
The American Finance Association Annual Meetings are here.[ref]here is information on the broader conference[/ref] The conference is virtual this year but that doesn't mean the organization hasn't [...]
Trend-Following Filters: Part 1/2
1. Introduction Many traders use strategies based on trends that occur in stock, bond, currency, commodity, and other financial asset price time series in order [...]
P-Hacking Via Academic Finance Research Conferences
Documentation of the File Drawer Problem at Finance Conferences: A Follow-Up Study Manoela N. Morais and Matthew R. MoreyJournal of InvestingA version of this paper can be [...]
A Curious Combination: Momentum Investing, Tesla, and November 9th
“The plural of anecdote is not data” I’ve used this quote to discount the validity of a single observation to explain much of anything. That observation [...]
Investing Based on Who you Follow on Social Media? A Real Thing?
Do Individual Investors Trade on Investment-related Internet Postings? Manuel Ammannt and Nic SchaubManagement Science, 2020A version of this paper can be found hereWant to read our [...]