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Fama-French Forum's Blog

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Q&A: Are Stock Returns Normally Distributed?

November 28, 2017 Comments (0)

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)

Q&A: Small Stocks for the Long Run

November 28, 2017 Comments (0)

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)

Q&A: Do Low-Volatility Strategies Produce High Returns?

November 28, 2017 Comments (0)

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)

Q&A: Seeking the Inefficient Asset Class

November 28, 2017 Comments (0)

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)

Q&A: Why Use Book Value to Sort Stocks?

November 28, 2017 Comments (0)

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)

Q&A: Cap Weighting or GDP Weighting?

November 28, 2017 Comments (0)

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)

Q&A: Expected Returns and Socially Responsible Investing

November 28, 2017 Comments (0)

Are expected returns for "socially responsible" strategies lower compared to a conventional approach? (Read the full entry)

Q&A: Front Running and Fair Pricing

November 28, 2017 Comments (0)

What is the relation, if any, between the practice of "front running" trades and the efficient market hypothesis? (Read the full entry)

Q&A: Liquidity and Stock Returns

November 28, 2017 Comments (0)

Is there a liquidity risk factor in stock returns that helps explain differences in average returns? (Read the full entry)

Q&A: Should Investors Diversify Among Government Bonds?

November 28, 2017 Comments (0)

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)