Value Investing with Intangibles

The value factor vanished in the recent decade. Yet, Eisfeldt, Kim, Papanikolaou (2020) find one reason causing this is an underestimation of book values by ignoring intangible assets. By incorporating intangible assets, the new HML factor outperforms the traditional one and earns 2% per year in the recent decade.

Generative AI Premium

Firms most exposed to Generative AI earned over 15% in 8 months after the release of ChatGPT than firms least exposed. Replication of Eisfeldt, Andrea L. and Schubert, Gregor and Zhang, Miao Ben and Taska, Bledi, Generative AI and Firm Values (May 2, 2023)

Skewness of Equity Returns

The skewness of daily market portfolio returns over the past 30 days.