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In our new note, we document that single and multi-factor equity portfolios are currently very attractively valued (especially value!) and factor premiums persist across interest rate cycles. livesocial.seismic.com/t7mX_B

FT on smart beta. Factor tilts should be significant to make up costs and added value of shorts is discussed Guido Baltussen on.ft.com/3o3JOPx

Big empirical asset pricing study coming up containing hand-collected market capitalizations for 1,488 major stocks for new 61-year sample. Send me Bart van Vliet Guido Baltussen a DM if you want to get a draft copy before publication.

Finally there, our latest work on testing factor premiums out-of-sample. Factor are likely to be an ‘eternal feature’ of financial markets.

.⁦Pim van Vliet⁩ just sent me this. Have only read abstract and skimmed intro but it looks great! Back in time is as “out of sample” as forward if you haven’t looked yet. papers.ssrn.com/sol3/papers.cf…

"Cross-section of stock returns <1926" is among top SSRN downloads. Download here bit.ly/3tZgfDl Picture visualizes table C1 for volatility: Risk was not rewarded in this gilded and disruptive era.

New white paper out! 150+ years of conservative investing. More evidence, pretty cool! Guido Baltussen Rowan Nijboer Lawrence Hamtil Wes Gray 🇺🇸 Clifford Asness 👇 bit.ly/3lxvhuf

Together with Tobias Hoogteijling, I have written a new white paper on how machine learning can help to predict individual stock crash risk. robeco.com/en/insights/20… #QuantInvesting #quant #MachineLearning

NEW PAPER out today "Investing in #deflation, #inflation, and #stagflation regimes" Link to study: bit.ly/3ajWlLQ

On 'inflation' day we have updated our paper on inflation, deflation and stagflation. #3,500 downloads and counting 🚀 @https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4153468

Nice summary by Wes Gray 🇺🇸 and Elisabetta Basilico, PhD, CFA on our pre-1926 test for equity factors: alphaarchitect.com/2022/11/cross-…

Has Value still fuel left in the tank? 🚀 Despite the strong comeback over the last two years, we find that valuation differences between value and expensive stocks are still wider than at the peak of the dot-com bubble! Get the full analysis here 👉robeco.com/en/insights/20…

Our latest paper in Meb’s podcast. Proud…

UPDATE of our pre-CRSP project available today. Includes analysis on momentum crashes in pre-1926 sample as well as update on #MachineLearning. 👇bit.ly/3lmiz53 <stock list December 1865 >

Taking ‘big data’ to another level 😉 we tied four(!) deep historical databases together to learn more about inflation and financial markets.Guido Baltussen Laurens Swinkels Bart van Vliet forthcoming in the Financial Analyst Journal 🚀👇papers.ssrn.com/sol3/papers.cf…

There is way too little empirical research on corporate bonds. This new study shows a significant Low-risk effect in corporate bonds. Very comprehensive study, using ~2 million observations 1994-2021. Patrick Houweling papers.ssrn.com/sol3/papers.cf…

The S&P 500 routinely rises the night before options expire the 3rd Friday of every month A new paper says it might be manipulation* *(or hedging!) bloomberg.com/news/articles/… by me and Lu Wang in Bloomberg Markets

A nice collection of thoughts by some of the many people who got to know Danny Kahneman over the years. Remembering Daniel Kahneman: A Mosaic of Memories and Lessons behavioralscientist.org/remembering-da… via Behavioral Scientist

We've significantly updated our paper "The Cross-Section of Stock Returns before CRSP." This research, with Guido Baltussen and Bart van Vliet, offers rigorous insights into factor premia using 60 years of pre-sample data, some hand-collected😵 Download here: