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Fama-French Forum wrote a new blog post titled Q&A: Are Stock Returns Normally Distributed?
What is the best way to describe the distribution of stock returns—a normal distribution, lognormal, or something else? What should investors do with this information?  (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Small Stocks for the Long Run
In addressing a previous question ("Has the Equity Premium Puzzle Gone Away?"), you suggested that it requires 35 years or more to be reasonably confident of achieving a positive equity premium. Is the time frame similar for the size and value premiums? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Do Low-Volatility Strategies Produce High Returns?
Baker, Bradley and Wurgler (FAJ 2011) find that low-volatility stocks in the US outperform high-volatility stocks and attribute this apparent anomaly to investor behavioral biases as well as limits to arbitrage. What do you make of their argument? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Seeking the Inefficient Asset Class
We often hear the claim that some markets are less efficient than others—small company stocks, emerging markets, foreign exchange, and so on. Is there any evidence to support this assertion? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Why Use Book Value to Sort Stocks?
Data from Ken French's website shows that sorting stocks on E/P or CF/P data produces a bigger spread than BtM over the last 55 years. Wouldn't it make sense to use these other factors in addition to BtM to distinguish value from growth stocks? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Cap Weighting or GDP Weighting?
What is the merit, if any, in using a country weighting scheme based on Gross Domestic Product (GDP) rather than market capitalization? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Expected Returns and Socially Responsible Investing
Are expected returns for "socially responsible" strategies lower compared to a conventional approach? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Front Running and Fair Pricing
What is the relation, if any, between the practice of "front running" trades and the efficient market hypothesis? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Liquidity and Stock Returns
Is there a liquidity risk factor in stock returns that helps explain differences in average returns? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Should Investors Diversify Among Government Bonds?
If US Treasury bonds are not risk-free due to inflation risk, does it make sense to diversify a portfolio of government bonds with obligations of other countries? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Beta and Stock Returns
Do high-beta stocks have high expected returns? Do stocks with historically above-average betas exhibit above-average realized returns? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Bond Funds or Ladders?
Can you address the pros and cons of short-term bond funds versus laddered bond strategies holding individual issues? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Seeking the Optimal Country Weighting Scheme
Financial theory suggests that a global value-weight market portfolio is the logical default position for an equity investor seeking the optimal allocation scheme across countries. What are the implications for this approach if we take structural factors into account that encourage a home bias? Australia, for example, offers tax incentives applicable only to local investors, so their citizens earn higher returns than foreign investors do holding the same stocks. Brazil accomplishes the same thing by imposing additional taxes on foreign investors. Would it make sense for foreigners to weight...
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: What Role for Commodities?
There seems to be some confusion about your opinion on the role of commodities in a portfolio, based on a conference presentation for financial advisors in 2004. Have your views changed since then? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: When Does Active Management Shine?
If you are familiar with a recent survey of mutual fund performance by Fundquest (Jane Li, "When Active Management Shines vs. Passive," June 2010), your comments would be appreciated. (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Market Timing with Moving Averages
Some researchers argue that a market timing strategy based on buy/sell signals generated by a 50- or 200-day moving average offers a more appealing combination of risk and return than a buy-and-hold approach. What is your view? EFF/KRF: An ancient tale with no empirical support.
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: A "Stock Picker's Market"?
Many experts characterize the current environment as a "stock picker's market." Is there any evidence that stock selection is more successful under certain market conditions? (Read the full entry)
6 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Commodity Exposure through Stocks?
How can investors achieve exposure to commodities by investing in stocks? (Read the full entry)
7 hours ago
Fama-French Forum wrote a new blog post titled Q&A: High Frequency Trading and the "Flash Crash"
The "Flash Crash" on May 6, 2010, is generally attributed to the growth of automated or "high frequency" trading programs. How have they affected market volatility and security valuation and what, if anything, should investors do differently? (Read the full entry)
7 hours ago
Fama-French Forum wrote a new blog post titled Q&A: Dividends: Is Bigger Better?
Does an equity strategy focusing on stocks with above-average dividend yield offer an appealing risk/reward tradeoff? Have dividend-paying stocks outperformed non-dividend payers in the U.S.? (Read the full entry)
7 hours ago