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.
2018-07-13 09:41:00 Friday ET
Yale economist Stephen Roach warns that America has much to lose from the current trade war with China for a few reasons. First, America is highly dependent
2018-11-27 10:37:00 Tuesday ET
Warren Buffett offloads a few stocks from the Berkshire Hathaway portfolio in mid-November 2018. The latest S.E.C. report shows that the Oracle of Omaha sol
2025-06-05 00:00:00 Thursday ET
Former New York Times team journalist and Pulitzer Prize winner Charles Duhigg describes, discusses, and delves into how we can change our respective lives
2022-02-05 09:26:00 Saturday ET
Modern themes and insights in behavioral finance Shiller, R.J. (2003). From efficient markets theory to behavioral finance. Journal of Economi
2019-02-05 10:32:00 Tuesday ET
President Trump remains optimistic about the Sino-American trade war resolution of both trade deficit eradication and tech transfer enforcement. Trump now s
2018-03-27 07:33:00 Tuesday ET
CNBC's business anchorwoman Becky Quick interviews Nobel Laureate Joseph Stiglitz on the current trade war between America and China. As America imposes