Smart Beta Is Officially Dead, But Not Forgotten

What is Smart Beta? Nobody really knows these days. Heck, even the godfather of smart beta, Rob Arnott, is no longer certain. Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it to your desktop, read it on your tablet, or email to [...]

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Group Diversity May Constrain The Most Dangerous Investment Bias: Overconfidence

Gender Composition and Group Confidence Judgement: The Perils of All- Male Groups Steffen Keck, Wenjie Tang Management Science, 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.   What are the Research Questions? Decision makers in organizations often face uncertainty. In these [...]

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Fintwit Might Matter For Momentum And Mean Reversion In Stock Prices

Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh Journal of Portfolio Management 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 Get The Timeless Reading eBook [...]

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Looking At Alternatives? Avoid Complexity And Magical Backtests

Quantifying Backtest Overfitting in Alternative Beta Strategies Annti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 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. Get The Timeless Reading eBook in PDF Get the entire 10-part series on [...]

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Accruals Momentum As An Investment Strategy

Accruals are a part of any company’s financial reporting. For those unfamiliar with accrual accounting, a simple explanation is that accruals are adjustments made for (1) revenue that has been earned but not received and (2) costs that have been incurred but have not been paid. In short, one [...]

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The Best Research Paper Ever Written On Trading Costs

Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via the ETF structure. It seems as if everyone is a “quant” these days, slinging money around like drunken pirates, destroying the price discovery process along [...]

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An Academic Article That Claims Human-Based Advisory Services Will Be Dead

Robo-Advisors and Wealth Management Kokfai Phoon and Francis Koh The Journal of Alternative Investments, Winter 2018 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. Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it [...]

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The Carry Factor And Global Risks

The carry factor is the tendency for higher-yielding assets to provide higher returns than lower-yielding assets — it is a cousin to the value factor, which is the tendency for relatively cheap assets to outperform relatively expensive ones. A simplified description of carry is the return an investor receives [...]

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Finance Journals Rarely Publish Articles With Low T-Stats

Documentation of the File Drawer Problem in Academic Finance Journals Matthew R. Morey and Sonu Yadav Journal of Portfolio Management 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 Get The Timeless Reading eBook in PDF Get the entire 10-part [...]

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Vendor Management And Cybersecurity Compliance For RIAs

The Maginot Line, built by the French after World War One, is a perfect metaphor for most cybersecurity programs, particularly those of financial advisors. Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it to your desktop, read it on your tablet, [...]

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Investment Performance Of Female CEOs

Performance of Female CEOs Srinidhi Kanuri, James Malm Journal of Investing, Spring 2018 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. Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it to [...]

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Which Investment Factors Drive Corporate Bond Returns

Which Investment Factors Drive Corporate Bond Returns Turan G. Bali, Avanidhar Subrahmanyam, & Quan Wen 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. Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. [...]

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Artificial Intelligence And Value Investing

Artificial Intelligence and Value Investing Korok Ray Journal of Investing, Spring 2018 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. Get The Timeless Reading eBook in PDF Get the entire 10-part series on Timeless Reading in PDF. Save it to your [...]

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Deconstructing The Low Volatility/Low Beta Anomaly

One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicts a positive relationship between risk and return. However, the historical evidence demonstrates that, while the slope of the security market line is generally [...]

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