Practical analysis for investment professionals

Abby Farson Pratt

21 Posts

Biography

Abby Farson Pratt was an assistant editor at CFA Institute. Previously, she worked at the Denver Post and the University of North Carolina Press. Pratt earned the Claritas™ Investment Certificate and holds a BA in journalism and English from the University of North Carolina at Chapel Hill.

Author's Posts
Micro and Macro Effects and the Low-Risk Anomaly (Podcast)

In the United States and around the world, low-beta stocks have outperformed high-beta stocks on a risk-adjusted basis. Ryan Taliaferro and his coauthors, Malcolm Baker and Brendan Bradley, decomposed this basic market inefficiency into a “micro” component and a… READ MORE ›

Should You Invest in Emotional Assets? (Podcast)

There has been increasing interest in emotional assets, which include such luxury goods and collectibles as art, stamps, wine, and musical instruments. Recent research finds that emotional assets outperform government bonds, Treasury bills, and gold over the long run.

How Effective Is the Low-Volatility Anomaly in Trading? (Podcast)

The low-volatility stock anomaly earned its name from its apparent contradiction of the capital asset pricing model (CAPM). In most markets, portfolios of low-volatility stocks actually produce higher risk-adjusted returns than portfolios of high-volatility stocks.

Marty Leibowitz on Duration Targeting with Bonds

A new theoretical model shows that over multi-year horizons, annualized duration-targeting returns converge back to the starting yield regardless of the rate path.

Exploring Cross-Sectional Effects of Inflation

The US generally accepted accounting principles (GAAP) do not require adjustments for inflation, so financial statements are reported in nominal terms. This struck Yaniv Konchitchki as problematic. In his recently published article “Accounting and the Macroeconomy: The Case of Aggregate Price-Level Effects on Individual Stocks,” Konchitchki examines stock-valuation effects of aggregate price-level changes on individual companies.

A New Rule for Retirement (Podcast)

The traditional 4% rule has proven problematic for many investors. Researchers are now suggesting an alternative; The floor-leverage rule is a strategy for retirees who can tolerate investment risk but insist on sustainable spending.

The Paradox of Wealth: Economic Growth Lowers Security Returns (Podcast)

“I’ve always been fascinated by and somewhat skeptical of the connection between economic growth and security returns,” William J. Bernstein says. “When you look at the broad sweep of history, it seems that both the equity risk premium and the risk-free rate have been decreasing over the past couple of centuries.”

Top 10 Things Peeving Cliff Asness (Podcast)

Clifford S. Asness, managing and founding principal at AQR Capital Management, is bothered by some prevailing beliefs in the investment industry.

Charley Ellis’s Lessons on Grand Strategy (Podcast)

What can investment managers learn from military strategists? According to Charles D. Ellis, CFA, quite a lot. “I think all of us who are involved in investment management would be very, very smart to be sure that we — and everyone in our organizations — are trying to find new ways of thinking,” Ellis says.

Moral Hazard and Tax Benefits as Drivers of Corporate Pension Plans (Podcast)

In the first five days of October 2008, large corporate pension funds lost more than $100 billion of pension assets. And at the end of 2011, the aggregate funding shortfall for Fortune 1000 companies amounted to $343 billion. In examining the decisions that defined benefit plan sponsors made, Xuanjuan Chen, Tong Yu, and Ting Zhang argue that moral hazard and tax benefits play a significant role.



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