Can A Computer Read Employee Emails and Detect Fraud?
Zero-Revelation RegTech: Detecting Risk through Linguistic Analysis of Corporate Emails and News S.R. Das, S. Kim, B. KothariJournal of Financial Data Science, Spring 2019A version [...]
Equity Trend Following Performance Around the Globe
Time-series momentum (TSMOM) historically has demonstrated abnormal excess returns. Also called trend following, it is measured by a portfolio that is long assets that have [...]
News and its Impact on Risk and Returns Around the World
How news and its context drive risk and returns around the world Charles Calomiris and Harry MamayskyJournal of Financial Economics, August 2019A version of this [...]
Value Investing Factor Research: How to Improve the Piotroski F-Score Measure.
Introduction This project builds on research conducted by J. Piotroski, who published his paper Value Investing: The Use of Historical Financial Statement Information to Separate [...]
Institutional Investment Strategies: Keep it Simple
Institutional Investment Strategy and Manager Choice: A Critique Richard M. EnnisJournal of Portfolio Management A version of this paper can be found hereWant to read our [...]
DIY Asset Allocation Weights: October 2020
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 [...]
Lottery Preferences and Their Relationship with Factor Investing
Among the assumptions in the first formal asset pricing model, the CAPM, is that investors are risk-averse, they maximize the expected utility of absolute wealth, [...]
ETFs and Mutual Funds Should Pay More Attention to Their Investor Base
Investor-Stock Decoupling in Mutual Funds Miguel A. Ferreira, Massimo Massa, Pedro MatosManagement Science, forthcomingA version of this paper can be found here.Want to read our summaries [...]
How To Design Machine Learning Models – A Market Timing Example
We at ENJINE are big believers in the potential of machine learning (or as some call, “artificial intelligence”) to transform asset management. However, it’s fair [...]
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired?
Intangible Capital and the Value Factor: Has Your Value Definition Just Expired? Noël Amenc, Felix Goltz, and Ben LuytenJournal of Portfolio ManagementA version of this [...]
Accruals and Momentum and Their Implications for Factor Investors
The price momentum and accruals (the difference between accounting earnings and cash flows—adjustments made for revenue that has been earned but not received, and costs [...]
Can the Best Stock Pickers Still Beat the Market? An Out of Sample Test
Can mutual fund stars still pick stocks?: A replication and extension of Kosowski, Timmermann, Wermers, and White (2006) Timothy Riley and Sam WaltonCritical Review of [...]
Can We Use the Shiller CAPE Ratio to Forecast Country Returns?
Utilizing an Amended CAPE Ratio to Derive a Country's Expected Return and Develop Portfolio Rotation Between Countries Sailesh S. RadhaJournal of Portfolio ManagementA version of [...]
Predicting Bond Returns? Focus on GDP Growth and Inflation Indicators
Predicting Bond Returns: 70 Years of International Evidence Guido Baltussen, Martin Martens, Olaf PenningaWorking PaperA version of this paper can be found hereWant to read our [...]
How to Optimize Fixed Annuity Tax Deferral
Annuities are popular tools for retirement income planning. While stigmas exist around some annuity products (for good reason), recent research shows how fixed annuities can [...]
DIY Asset Allocation Weights: September 2020
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 [...]
Effects of Portfolio Construction on the Performance of Style Factor ETFs
This article discusses the research surrounding style factor ETFs, specifically the effects of portfolio construction on their performance. The Effects of Portfolio Construction on the [...]
How to Measure and Understand Portfolio Tail Risk Events
Arnold Polanski, Evarist Stoja, Frank WindmeijerJournal of Applied Econometrics, 2019A version of this paper can be found here.Want to read our summaries of academic finance [...]
Does Gold do What it is Supposed to do?
Gold, the Golden Constant, COVID-19, "massive Passives," and Déjà Vu Claude Erb, Campbell R. Harvey, Tadas ViskantaA version of this paper can be found here.Want [...]
How A Great Team, and 2 Quant Geeks with no Clue, Survived The Leadville 100 Trail Run.
Editor's Note: this post has nothing to do with finance. Skipping this post costs you nothing. We encourage you to not read this post if [...]