2019-08-22 11:35:00 Thu ET
stock market gold oil stock return s&p 500 asset market stabilization asset price fluctuations stocks bonds currencies commodities funds term spreads credit spreads fair value spreads asset investments
Fundamental factors often reflect macroeconomic innovations and so help inform better stock investment decisions. Nobel Laureate Eugene Fama and his long-time co-author Ken French empirically find that several fundamental factors help price the cross-section of average asset returns. These fundamental factors include the return spreads between the top-and-bottom stock portfolios that the analyst sorts on size, value, momentum, asset growth, profitability, and market risk exposure.
In terms of stock market capitalization, small stocks often outperform large stocks by a significant 5%-7% factor premium. Value stocks can consistently beat glamour stocks by a 7%-9% factor premium. Furthermore, investors can earn hefty average returns on stocks with high recent share price performance, low capital-intensive asset growth, high cash profitability, and low market risk exposure (beta arbitrage). AQR Capital investment practitioners show that both value and momentum factor premiums significantly persist in global asset markets. To the extent that key factor premiums exhibit mutual causation with macroeconomic surprises, this causation serves as a new condition for fundamental factor selection. As investors learn from their behavioral biases, quirks, and other investment mistakes, these investors tilt their asset portfolios toward high factor premiums. This factor investment approach helps generate consistent supernormal asset returns in the long run.
If any of our AYA Analytica financial health memos (FHM), blog posts, ebooks, newsletters, and notifications etc, or any other form of online content curation, involves potential copyright concerns, please feel free to contact us at service@ayafintech.network so that we can remove relevant content in response to any such request within a reasonable time frame.
2020-02-19 14:35:00 Wednesday ET
The U.S. bank oligarchy has become bigger, more profitable, and more resistant to public regulation after the global financial crisis. Simon Johnson and
2020-08-12 07:25:00 Wednesday ET
Most sustainably successful business leaders make a mark in the world, create a positive impact, and challenge the status quo. Jerry Porras, Stewart Emer
2017-02-01 14:41:00 Wednesday ET
President Trump refreshes his public image through his presidential address to Congress with numerous ambitious economic policies in order to make America g
2019-04-15 08:37:00 Monday ET
Chinese Belt-and-Road funds large international infrastructure investment projects primarily in East Asia, Central Asia, North Africa, and Italy. Chinese Be
2018-06-25 12:43:00 Monday ET
Apple and Samsung are the archrivals for the title of the world's top smart phone maker. The recent patent lawsuit settlement between Apple and Samsung
2017-12-15 07:42:00 Friday ET
Disney acquires 21st Century Fox in a $52 billion landmark deal. This deal has a total value of about $66 billion while Disney assumes $14 billion of Fox