Research in Pictures
so that you don't have to read the papers.
Understanding factor value
A new sentiment measure over the long sample, the dme spread, predicts factor and market returns in-sample and out-of-sample, better than existing measures.
Expert Network Calls
Tones of expert calls strongly predict stock returns. The predictability is especially strong for negative calls.
Carbon returns across the globe
Brown-minus-green returns are almost zero globally from 2009 to 2022 but vary across countries.
orange for brown outperformance and purple/blue for green outperformance.
housing cycles and exchange rates
Housing cycles predict domestic currency returns negatively.
Dissecting Curreny Momentum
Currency factor momentum delivers strong performance, outperforming cross-sectional and time-series momentum.
SYSTEMATIC DEFAULT AND RETURN PREDICTABILITY IN THE STOCK AND BOND MARKETS
A novel measure of systematic default risk predicts aggregate equity and bond returns.
LIMITED RISK SHARING AND INTERNATIONAL EQUITY RETURNS
Limited participation with labor shocks can generate not-so-correlated consumption and highly-correlated returns, resolving puzzles in international finance.
HOW INEFFICIENT IS THE 1/N STRATEGY FOR A FACTOR INVESTOR?
1/N allocation appears a sensible strategic allocation for most factor investors without an edge in predicting factor premium.
TOWARD TAX EFFICIENT LOW VOLATILITY INVESTING
Tax management can significantly improve the after-tax strategy returns.
FACTOR CONSTRUCTION ZOO: ARE FACTOR EXPOSURES CREATED EQUAL?
No. Similar target factor exposures can generate different performance.