Investors are constantly searching for the perfect portfolio. Although it may be elusive, there are common principles that can allow all of us to get closer to it. We speak…
Tag: Academic Investment Research
Revisiting The Five-Factor Model
Nearly 30 years ago, Eugene Fama and Kenneth French introduced their three-factor model, augmenting the capital asset pricing model (CAPM) with small minus big (SMB) and high minus low (HML).…
A Harvard Professor Takes On Private Equity
A highly-regarded professor at Harvard Business school is claiming that he’s come up with a better alternative to private equity by recreating their returns through an array of publicly traded…
Generating Alpha From Hidden Earnings Data
A new research paper co-authored by professors at the MIT Sloan School of Management and Harvard Business School purports that even the most expert analysts overlook a number of off-the-income-statement…
Lu Zhang On The Evolution of Asset Pricing Models And His First Principles Approach to Improve Them
Asset pricing models have evolved significantly over the past several decades. From the Capital Asset Pricing Model to Fama and French’s 3 Factor Model to their more recent 5 and…
Sheridan Titman On His Seminal Paper on Momentum Investing and What He Has Learned Since
Momentum was a factor that many academics were very reluctant to embrace. Our guest this week, Sheridan Titman, helped to change that with his 1993 paper “Returns to Buying Winners…
Finding Quality Value Stocks With Joseph Piotroski's F Score Methodology
Research shows that value stocks can generate an excess return because the market tends to overestimate their problems, and value investors benefit when it realizes that. But despite that being…
Academic Research Spotlight: Migration by Eugene Fama and Kenneth French (Ep. 85)
This week, we look at some interesting research that took a unique approach to explaining the value and size premiums. We examine the paper “Migration” by Eugene Fama and Kenneth…
Academic Research Spotlight: Replicating Anomalies by Lu Zhang, Chen Xue and Kewei Hou (Ep. 73)
In this episode, we are trying something new. There is so much academic research out there about markets, and what drives their returns over time, that it can be very…
Excess Returns, Ep. 39: Interview: Bridging Academic Research and Real World Investing with Professor Partha Mohanram
In this episode we are joined by Professor Partha Mohanram. Professor Mohanram is the John H. Watson Chair in Value Investing at the Rotman School at the University of Toronto.…