Sustainable investing in equilibrium
This is a theoretical paper which investigates what happens if some investors care about ESG, while others do not, or care less.
10-06-2020 | From the field
Value ain’t dead
Value stocks have underperformed growth stocks over the past decade.
20-05-2020 | From the field
Appraising home bias exposure
The home market bias is one of the clearest examples of behavioral biases among investors.
22-04-2020 | From the field
A review of 20 years of academic literature on mutual funds
How skilled are asset managers?
19-03-2020 | From the field
Adjusting the Value factor for intangibles
The standard academic definition for the Value factor is the ratio of book-value-to market-value (B/M).
19-02-2020 | From the field
Index investing: passive in name only
Not all index-based products are alike.
18-12-2019 | From the field
A Low-Risk anomaly also in the crowdlending market
The existence of a low-risk anomaly has been firmly established for stocks and corporate bonds.
27-11-2019 | From the field
The active world of passive investing
Thought exchange-traded funds (ETFs) were passive?
11-09-2019 | From the field
Short-term factor momentum
The evidence for the existence of various factor premiums is strong.
21-08-2019 | From the field
A backtesting protocol in the era of machine learning
Is machine learning really a game changer for finance?
08-08-2019 | From the field
Good shepherds do not succumb to herding behavior
Thought crowds were wise?
19-06-2019 | From the field
Do mutual funds with good sustainability scores attract more assets?
In March of 2016, Morningstar first published sustainability ratings (globes), for over 20,000 mutual funds.
08-05-2019 | From the field
Are mutual funds on the other side of the low volatility trade?
This new research helps to explain the existence of the low volatility anomaly.
03-04-2019 | From the field
It’s not about active or passive, but about costs
What if costs were the real issue in the heated active versus passive debate?
06-03-2019 | From the field
Low risk in China
Does low-risk investing work with A-shares?
13-02-2019 | From the field
Residualizing Momentum in China
Previous studies have reported weak results for standard Momentum strategies in China.
02-01-2019 | From the field
In this paper Eugene Fama and Kenneth French look at the importance of volatility over longer investment horizons.
01-08-2018 | From the field
Reach for yield vs. reach for safety
Interested in low-risk bonds?
16-05-2018 | From the field
Transitioning from procyclical to countercyclical behavior
Are large institutional investors pro- or countercyclical?
02-05-2018 | From the field
Intrinsic Momentum is also important for bonds
Should investors also ‘residualize’ bond momentum?
18-04-2018 | From the field
Failing to capture factor premiums because of poor timing
Looking for an explanation to the value effect?
04-04-2018 | From the field
Here’s the proof: benchmarking contributes to the low-volatility anomaly
Benchmark followers amplify the low volatility effect.
07-03-2018 | From the field
Tweaking a popular low volatility index
Investment solutions based on popular smart beta indices have enjoyed tremendous success.
14-02-2018 | From the field
Anomalies remain strong in international equity markets after publication
One oft-heard concern on factor investing is that factors could be arbitraged away.
03-01-2018 | From the field
Next time, ask your fund manager what kind of car they drive
Tell me what car you drive and I will tell you who you are.
13-12-2017 | From the field
Institutional asset managers add value... by using factors
Are factors the future of active asset management?
22-11-2017 | From the field
‘Facts’ about formulaic value investing
Successful value investing requires well designed strategies.
01-11-2017 | From the field
The Quality Factor
The quality effect is the tendency of high-quality stocks to outperform low-quality ones.
19-07-2017 | From the field
Estimating the equity risk premium
Assessing the equity risk premium (ERP) is an ongoing debate among academics.
28-06-2017 | From the field
Ten misconceptions about smart beta investing
This paper* attempts to debunk no fewer than ten myths about smart beta.
07-06-2017 | From the field