Our Research

Popularity, Risk, and Return

Risk and Return Within the Stock Market: What Works Best?

By Roger G. Ibbotson, Ph.D. and Daniel Y.-J. Kim, Ph.D.

The latest version of “Risk and Return Within the Stock Market: What Works Best?” that studies the long-term risk vs. return characteristics of 21 return-predictive metrics as applied to the U.S. equity market from 1971 to 2016. Contrary to the conventional wisdom on risk and reward, most portfolio sorting metrics exhibit an inverse risk-return relationship, with lower risk portfolios outperforming higher risk portfolios. A broad theme that emerges from the empirical evidence is that popularity underperforms.

Dimensions of Popularity

Journal of Portfolio Management, vol. 40, no. 5 (Special 40th Anniversary Issue, 2014), p. 68-74.
By Roger G. Ibbotson, Ph.D. and Thomas M. Idzorek

A broad exposition of the central role of popularity in asset pricing, arguing for the consideration of popularity outside of a standard risk framework, and differentiating low-popularity equity strategies from low-volatility and low-beta strategies.

Liquidity as an Investment Style

Liquidity as an Investment Style

Updated 2018

By Roger G. Ibbotson, Ph.D. and Daniel Y.-J. Kim, Ph.D.

The latest version of “Liquidity as an Investment Style,” including updates of all empirical results to reflect additional U.S. market data.

CFA Institute Names Top Financial Analysts Journal Articles with Annual Graham and Dodd Awards

Press Release, CFA Institute, Feb. 2014.

Names “Liquidity as an Investment Style” as the Top Award winner of 2013. Includes a clickable link to download the published paper, free of charge, from the Financial Analysts Journal website.

Liquidity as an Investment Style

Financial Analysts Journal, vol. 69, no. 3 (May/June 2013), p. 30-44.
By Roger G. Ibbotson, Ph.D., Zhiwu Chen, Ph.D., Daniel Y.-J. Kim, Ph.D., and Wendy Hu, Ph.D.

Using long-term empirical data from U.S. equity markets, this paper presents comprehensive evidence that liquidity, as measured by share turnover, is indeed an investment style as defined by Sharpe (1978) and should be included as a control in cross-sectional studies of stock returns.
This research paper represents the Firm’s founders’ first research into liquidity in the public equity markets and serves as the underpinnings for the development of Liquidity Strategies.

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