Academic Research Spotlight: Migration by Eugene Fama and Kenneth French

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By Jack Forehand and Justin Carbonneau, Jack Forehand, and Justin Carbonneau. Discovered by Player FM and our community — copyright is owned by the publisher, not Player FM, and audio is streamed directly from their servers. Hit the Subscribe button to track updates in Player FM, or paste the feed URL into other podcast apps.

This week, we look at some interesting research that took a unique approach to explaining the value and size premiums. We examine the paper "Migration" by Eugene Fama and Kenneth French. The paper grouped stocks into categories based on their size and valuation and then looked at how the migration between those groups impacted both the value and size premiums. We take a look at what they found as well as the lessons investors can take from it.

We hope you enjoy the discussion.

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Excess Returns is an investing podcast hosted by Jack Forehand (@practicalquant) and Justin Carbonneau (@jjcarbonneau), partners at Validea. Justin and Jack discuss a wide range of investing topics including factor investing, value investing, momentum investing, multi-factor investing, trend following, market valuation and more with the goal of helping those who watch and listen become better long term investors.

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101 episodes