How To Evaluate Multi-Asset Strategies
Evaluating Multi-Asset Strategies K. Stuart Peskin Journal of Portfolio Management, special issue A version of this paper can be found here Want … Read more
Evaluating Multi-Asset Strategies K. Stuart Peskin Journal of Portfolio Management, special issue A version of this paper can be found here Want … Read more
Explaining the Value Effect in Emerging Markets: Tangible vs Intangible Information Douglas W. Blackburn and Nusret Cakici A version of … Read more
Are Short Sellers Informed? Evidence from Credit Rating Agency Announcements Jian Shi, Junbo Wang, Ting Zhang Journal of Financial Research … Read more
Behavioral psychology is going mainstream in American culture, from Michael Lewis’s “Moneyball,” to recent Nobel prizes won by behavioral economics … Read more
Similar to some better-known factors like size and value, time-series momentum is a factor which has historically demonstrated above-average excess … Read more
Hobbled by Benchmarks Mike Aked, Rob Arnott, Omid Shakernia, Jonathan Treussard Journal of Portfolio Management A version of this paper … Read more
Here is a link to our podcast on Behind the Markets Wes and Jeremy sit down with Kendrick Wakeman (CEO … Read more
The post “Monetary Policy Rate Uncertainty Predicts Higher Equity Volatility” appeared first on Alpha Architect. Volatility in equity markets and … Read more
The post “An Inside Look At How ETF Firms Are Competing. Hint: Price Isn’t Everything” appeared first on Alpha Architect. … Read more
The post “Value And Momentum Factors In Fixed Income” appeared first on AlphaArchitect Smart beta (or factor investing) seems to … Read more
Merger arbitrage, sometimes known as “risk arbitrage,” is an investing strategy in which the investor bets on announced M&A deals. … Read more
J.P. Morgan researchers, Marko Kolanovic and Zhen Wei, produced an incredibly detailed report on all aspects of momentum (one of … Read more
Proxies and Databases in Financial Misconduct Research Jonathan M. Karpoff, Allison Koester, D. Scott Lee and Gerald S. Martin The … Read more
Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three … Read more
Wisdom of the Crowds: The Value of Stock Opinions Transmitted Through Social Media Hailiang Chen, Prabuddha De, Yu Jeffrey Hu, … Read more