U.S. active equity mutual funds have experienced net outflows since around 2006. The AUM-weighted performance remains similar over time, but equal-weighted performance (which emphasizes small AUM active funds) has deteriorated. Inflows/outflows contribute to the over/under performance of...

The Natural Selection theory of Charles Darwin is based upon a few concepts: Species naturallyreproduce in overabundance, with genetic variation and mutations that are generally harmful, butsometimes beneficial. The more adaptable offspring have higher survival rates than the lessadaptable...

The SBBI® Summary Edition will help investment professionals gain an understanding of major asset class returns, return calculations, and the long term impact of size, value/growth, and liquidity on returns

Many asset pricing models consider ‘disagreement’ (heterogeneous expectations), while a variety of other asset pricing models focus on ‘tastes’ (preferences beyond risk aversion); yet relatively few asset pricing models simultaneously consider both. The Popularity Asset Pricing Model...

This Stocks, Bonds, Bills, and Inflation® (SBBI®): 2020 Summary Edition enables investors to understand how to calculate, interpret, and use the US historical stock and bond data that the CFA Institute Research Foundation has made available to CFA Institute members.The data include the capital...

Popularity is a word that embraces how much anything is liked, recognized, or desired. Popularity drives demand. In this book, we apply this concept to assets and securities to explain the premiums and so-called anomalies in security markets, especially the stock market.Most assets and...

[The Research Foundation Review 2018 summarizes the offerings from the CFA Institute Research Foundation over the past year—books, literature reviews, workshop presentations, and other relevant material

The shift in corporate payout policy from dividends to buybacks creates the need for a new supply model of stock returns. Our study provides theoretical and empirical evidence for a total payout (dividends plus buybacks) model of stock returns. First, we show that long-run stock returns between...

In 2001, a small group of academics and practitioners met to discuss the equity risk premium (ERP). Ten years later, in 2011, a similar discussion took place, with participants writing up their thoughts for this volume. The result is a rich set of papers that practitioners may find useful in...