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Saturday, April 21, 2018
Professors John Graham and Campbell Harvey consistently put out great research. One of their innovations in financial research is their annual CFO survey (we’ve covered this research here, here, and here, if interested). See 2017 Hedge Fund Letters. In their […]
Buy cheap. This is a motto many live by, not only in their daily lives but also in their investment philosophy. Historically, “buying cheap” stocks was a good idea (i.e., the so-called “value” premium). See 2017 Hedge Fund Letters. But […]
This article proposes tail risk hedging (TRH) as an alternative model for managing risk in investment portfolios. The standard risk management approach involves a significant allocation to hiqh-quality bonds. However, this approach has historically reduced expected returns over the long […]
Originally posted on April 1st 2018 When asked for details around the methodology, Dr. Wes Gray, CEO of Alpha Architect, said: We saw a lot of talk about it on twitter. Our methodology is pretty straightforward. Jack and I will […]
Most of the literature on the momentum factor has focused on behavioral explanations, generally either investor underreaction or overreaction. For example, in his paper “Explanations for the Momentum Premium,” Yale University professor Tobias Moskowitz points out: See 2017 Hedge Fund […]
Company Event Popularity for Financial Markets using Twitter and Sentiment Analysis Mariana Daniel, Rui Ferreira Neves, Nuno Horta Expert Systems with Applications, 2017 A version of this paper can be found here Want to read our summaries of academic finance papers? […]
The oversight role of regulators: evidence from SEC comment letters in the IPO process Bing Li and Zhenbin Liu Review of Accounting Studies A version of this paper can be found here Want to read our summaries of academic finance […]
Here is a link to our podcast on Behind the Markets See 2017 Hedge Fund Letters. ETF guru Eric Balchunas discusses his adventures in the ETF industry and where he thinks the industry is heading. You can listen to the […]
STEM Parents and Women in Finance Renee Adams, Brad Barber and Terrance Odean Financial Analyst Journal, 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. See 2017 […]
Recently there has been a fairly active discussion within the financial media on the topic of stock buybacks, or share repurchases. This is probably due to the recent tax reform, which has caused many to question where companies will spend their […]