Costs And Benefits Of ESG Investing

Responsible Investing: The Environmental, Social, and Governance (ESG) – Efficient Frontier Lasse Heje Pedersen, Shaun Fitzgibbons, and Lukasz Pomorski Working Paper A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category Q3 2019 hedge fund letters,...

What Returns Should Investors Expect From Private Equity

The collapse in interest rates, combined with historically high valuations (at least for U.S. stocks), have led many endowments, pension plans (especially those with large unfunded liabilities) and high net worth investors (such as those with their own family offices) to seek alternative investments that might offer more attractive...

Core Earnings: New Data and Evidence

Researchers love novel datasets–it gives them a new set of information to conduct studies and test theories. Q3 2019 hedge fund letters, conferences and more That brings us to this paper, titled “Core Earnings: New Data and Evidence” by Ethan Rouen, Eric So, and Charles C.Y. Wang. The paper uses a...

Superstar Investors

Superstar Investors Brooks, Tsuji and Villalon Journal of Investing, February 2019 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category Q3 2019 hedge fund letters, conferences and more What are the Research Questions? Many famous investors are outspoken about their...

Alternative Investments – A Field Manual

It’s not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. It’s my hope that I can forewarn you of the proverbial landmines and better prepare you to invest (or not invest) in the alternative...

Quality: Independent attributes or a real factor?

What is Quality? Jason Hsu , Vitali Kalesnik , and Engin Kose Financial Analysts Journal A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category Q3 2019 hedge fund letters, conferences and more What are the research...

A Framework For Creating Model Portfolios

Model Portfolios Basu, Gates, Karir and Ang Journal of Wealth Management, Spring 2019 A version of the paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category Q3 2019 hedge fund letters, conferences and more What are the Research Questions? Asset allocation is...

Short-Duration Stock Anomaly: Risk or Mispricing

Cash Flow Duration and the Term Structure of Equity Returns Q3 2019 hedge fund letters, conferences and more Michael Weber A version of the paper can be found here. Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are the research questions? Some background on Bond duration: Duration...

Using Firm Characteristics to Enhance Momentum Strategies

Research into the momentum factor continues to demonstrate its persistence and pervasiveness, including across factors. Recent papers have focused on trying to identify ways to improve the explanatory power and performance of momentum strategies. Q3 2019 hedge fund letters, conferences and more Prior research on Momentum The study “Momentum Has Its...

ETFs Vs Mutual Funds: Who Wins? Investors. (Ryan Kirlin)

Here is a link to our podcast on Taylor Schulte’s “Stay Wealthy” show. Q3 2019 hedge fund letters, conferences and more rawpixel / Pixabay Without question, you have heard of Exchange Traded Funds, also commonly referred to as ETFs. It’s a complex topic so I brought in the best person I know to...

Technological Links And Predictable Returns

Technological Links and Predictable Returns Charles Lee, Stephen Sun, Rongfei Wang and Ran Zhang Journal of Financial Economics, forthcoming A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category Q2 hedge fund letters, conference, scoops etc What are the...

The Volatility Effect Revisited

Investigating the relationship between risk and return David Blitz, Pim van Vliet, and Guido Baltussen A version of the paper can be found here. Want a summary of academic papers with alpha? Check out our Academic Research Recap Category. The post "TITLE" appeared first on Alpha Architect. What are the research questions? One...

The Short Duration Premium

In my June 4, 2019 article “The Re-Death of Value, or Déjà Vu All Over?” I noted that one possible explanation for at least part of the poor performance of value stocks over the past decade has been the sharp fall in both the real interest rate (due to...

Crisis Proof Your Portfolio: Part 2/2

The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Q2 hedge fund letters, conference, scoops etc Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van Hemert The Journal of Portfolio Management A version of this paper can be found here Want...

Social Media, News Based Sentiment, And Market Timing

Does Social Media Trump News? The Relative Importance of Social Media and News Based Sentiment for Market Timing Q2 hedge fund letters, conference, scoops etc Stan Beckers Journal of Portfolio Management, Winter 2019 A version of this paper can be found here Want to read our summaries of academic finance papers?...

What Induces Children To Save (More)?

What Induces Children to Save (More)? Q2 hedge fund letters, conference, scoops etc Moritz Lukas (University of Hamburg) and Markus Nöth (University of Hamburg) A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. Introduction The savings rate of US...

Can We Explain The Low Volatility Anomaly?

One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relation between risk and return. But empirical studies have found the actual relation to be flat, or even negative. Over the last 50 years, the...

The Variance Risk Premium Is Pervasive

The variance risk premium (VRP) refers to the fact that, over time, the option-implied volatility has tended to exceed the realized volatility of the same underlying asset. This has created a profit opportunity for volatility sellers—those willing to write volatility insurance options, collect the premiums and bear the risk...

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