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Improved Study Finds Index Management Usually Outperforms Active Management
A recent study from the US Financial Planning Association's FPA Journal on the performance of passive vs. actively managed funds, showing the effect of survivorship bias on the calculated returns using normal databases. |
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Social Science Research Network
You can download academic papers from this site. Working papers are typically free, but published papers often have a download fee. |
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The Efficient Frontier
William Bernstein is author of a number of books including two of my favourites, The Intelligent Asset Allocator and The Birth of Plenty. His site has a lot of really great articles. |
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Research Finance
A nice website that links to academic working papers on finance. Its just the place to start looking if you are interested in getting up to speed with new academic research. |
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Kenneth R. French
Professor Kenneth French, one half of the famous "Fama and French", has a good website with papers, historical returns data and the like. |
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Terrence Odean
Terrence Odean's done a lot of interesting work on the results achieved by investors. His studies show, among other things, that small investors tend to do worse the more they trade. |
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The Inefficient Market Argument for Passive Investing
One of my favourite papers on passive investing, by Professor Steve Thorley at the Marriott School at BYU. This paper shoots down the argument that passive investing is only something investors should do in efficient markets. |
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William Sharpe
William Sharpe is a Nobel Prize winning finance professor, known for his major initial contributions to modern portfolio theory. This page has a lot of good papers on indexing and other topics. |
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Altruist Financial Advisors Reading Room
Altruist FA is an American advisory firm who utilise a passive investment approach. This page lists a collection of downloadable academic papers on passive investing, value premium etc. |
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Dimensional Fund Advisors Library
DFA is a fund manager associated with Fama and French, offering passive funds giving exposure to large company, small company and "value" asset classes. This page has a lot of good articles on market efficiency and related topics. |
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LSV Asset Management
LSV is a fund management firm founded by Josef Lakonishok, Andrei Shleifer, and Robert W. Vishny, well known academics who published a lot of work on the value premium, momentum and other possible anomalies. This page has some of their major papers. |
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AQR Capital research
AQR is another academically inspired fund manager. This page links to a number of papers written by their personnel on topics like the value premium and momentum. |
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Journal of Behavioural Finance
Downloadable papers on behavioural finance. |
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Links