Robert D. Arnott
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View article: Earning Alpha by Avoiding the Index Rebalancing Crowd
Earning Alpha by Avoiding the Index Rebalancing Crowd Open
Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. It is well known that the price im…
View article: Non-Covid Excess Deaths, 2020-21: Collateral Damage of Policy Choices?
Non-Covid Excess Deaths, 2020-21: Collateral Damage of Policy Choices? Open
From April 2020 through at least the end of 2021, Americans died from non-Covid causes at an average annual rate 97,000 in excess of previous trends.Hypertension and heart disease deaths combined were elevated 32,000.Diabetes or obesity, d…
View article: The Young were not Spared: What Death Certificates Reveal about Non-Covid Excess Deaths
The Young were not Spared: What Death Certificates Reveal about Non-Covid Excess Deaths Open
From April 2020 through at least the end of 2021, Americans died from non-Covid causes at an average annual rate of 97 000 in excess of previous trends. Hypertension and heart disease deaths combined were elevated 32 000. Diabetes or obesi…
View article: Reports of Value’s Death May Be Greatly Exaggerated
Reports of Value’s Death May Be Greatly Exaggerated Open
Value investing, as defined by the Fama–French high book-to-market minus low book-to-market (HML) factor, has underperformed growth investing since 2007, producing a drawdown of 55% as of mid-2020. The underperformance has led many market …
View article: New Vistas in Risk Profiling
New Vistas in Risk Profiling Open
Risk profiling is one of the most fundamental aspects of determining a suitable investment solution for an individual.It is also one of the most misunderstood.This situation results in many ill-advised approaches, both to determining vario…
View article: Impact of Reporting Frequency on UK Public Companies
Impact of Reporting Frequency on UK Public Companies Open
Beginning in 2007, UK public companies were required to issue quarterly, rather than semiannual, financial reports. But the UK removed this quarterly reporting requirement in 2014. We studied the effects of these regulatory changes on UK p…
View article: FinTech and RegTech in a Nutshell, and the Future in a Sandbox
FinTech and RegTech in a Nutshell, and the Future in a Sandbox Open
The 2008 global financial crisis represented a pivotal moment that separated prior phases of the development of financial technology (FinTech) and regulatory technology (RegTech) from the current paradigm. Today, FinTech has entered a phas…
View article: Labor Conditions and Future Capital Market Performance
Labor Conditions and Future Capital Market Performance Open
The authors find a linkage between labor market conditions and future capital market returns: An increase in the unemployment rate is linked to positive excess returns in both stock and bond markets for the 24-month period following the un…