Is the Illiquidity Premium Really Gone?
Greg Leonard, author of the August 2026 SSRN working paper “Revealing the Illiquidity Premium: The Role of Short Sale Constrained Stocks,” argues that the apparently weak illiquidity premium in U.S.
Finance
Larry’s Substack.
Larry Swedroe on investing, markets, and economic evidence.
Recent essays
30 of 135What Actually Drives Dual Momentum’s Returns? A Fresh Look at Global Equities Momentum
A reader asked me to review a new paper on Gary Antonacci’s Global Equities Momentum strategy.
Are the World’s Cheapest Stocks an Opportunity?
Buying a good business and making a good investment are not the same thing.
Is Fund Size Growth in Private Equity a Red Flag?
One of the most persistent debates in private equity due diligence is what to make of it when a general partner comes back to market with a substantially larger fund than its predecessor.
Private-Market “Tax Alpha”: A Useful Framework, but Not a Free Lunch
William Lesik and Tom Bratkovich, authors of the study “Tax-Efficient Investing in Private Markets: A New Framework for Standardized Tax-Adjusted Performance and Tax Alpha,” published in the Summer 2026 issue of The Journal of Wealth Management, argue that tax…
What Do We Really Know About Private Fund Performance?
Private capital has grown into a roughly $13 trillion asset class, with allocations at many pensions, endowments, and sovereign wealth funds now exceeding a quarter of total assets.
When Machine Learning Meets Q-Theory: What “AI-Q-Factors” Teaches Us About Measuring Profitability and Investment
One of the longest-running debates in empirical asset pricing is not whether profitability and investment predict stock returns — most researchers now agree they do — but how best to measure profitability and investment.
Market Knows Best: The Not-So-Hidden Risks of Private Ratings
Private credit has attracted plenty of scrutiny for its illiquidity, its appraisal-based (not market-based) pricing, and the incentives it creates for sponsors and managers.
Risks to AI Capex from Overestimating Demand
The sensible response is to build resilience rather than to predict.
When the Market Hurts, Anomalies Heal
New Evidence on Factor Returns in Good and Bad Times
Private Equity’s Long Boom: What Investors Should—and Should Not—Conclude
For roughly four decades, large institutional investors have been moving capital from public equities toward private markets.
Stale Data, Fresh Problems: What “Factor Time” Reveals About the Fama-French Factors
Every factor investor takes it on faith that the value, size, profitability, and investment factors are well-measured.
Private Equity for Pension Plans? A New Look at Who Really Benefits
Private equity’s pitch to institutional investors has always rested on a simple story: PE managers generate returns public markets can’t match, and sophisticated allocators like pension funds are well-positioned to capture that premium.
The Case Against the Yen Bears
Currency forecasting has a well-earned reputation as one of the hardest games in finance.
Why Does Disagreement Sometimes Predict Higher Returns—And Sometimes Lower? Mispricing Is the Missing Piece
Investor disagreement—different investors hold disparate views about what a stock is worth—has long been considered one of the most promising building blocks for behavioral asset pricing theories.
Valuation Spreads Continue to Favor Value Stocks
While spreads have narrowed, they still support a positive outlook for value stocks.
When “Beat the Market” Meets the Real World: An Out-of-Sample Test of an Intraday Momentum Strategy
In 2025, Zarattini, Aziz, and Barbon published a widely discussed paper, “Beat the Market: An Effective Intraday Momentum Strategy for S&P 500 ETF (SPY).” The strategy’s reported results were an eye-catching 19.6% annualized return and a Sharpe ratio of 1.33 f…
How New Information Technology Affects Asset Pricing Anomalies
The degree to which information is incorporated into asset prices is inversely related to the cost of acquiring that information.
EBITDA, EBITA, or EBIT? What 39 Years of Data Say About the Best Measure of Operating Income
Practitioners have long relied on EBITDA (earnings before interest, taxes, depreciation, and amortization) as the default measure of operating profitability for valuation.
Diversification All the Way Down
Diversification has been called the only free lunch in investing, but many portfolios are less diversified than they appear because equity risk dominates.
Why Individual Investors Pick Worse Venture Capital Funds — And It’s Not Just About Access
Private markets are being sold to individual investors as the next great democratization story.
Retail Investors’ Returns Are Often a Behavioral Story
Traditional performance attribution asks a sensible question: did returns come from asset allocation, security selection, or their interaction?
Why Do Investors Hold Overpriced Shares?
One of the most durable findings in the empirical asset pricing literature is that stocks that are expensive to borrow — what researchers call “high-fee’’ stocks — go on to underperform by large amounts, for long periods of time.
When a Company’s Stock and Bonds Disagree
Financial markets often are described as if they deliver a single, coherent verdict on a company’s value.
Same Loan, Different Marks: What PIK Income Tells Us About Private Credit Valuations
Private credit has grown to roughly $2.1 trillion globally.
The Smartest Money: What Corporate Share Issuance Tells Us About Future Returns
Some of the best and most interesting research I read comes from Verdad Capital.
Evidence-Based Forecasting: What Superforecasting Research Can Teach Investors
Every investment decision is, whether we admit it or not, a forecast.
Why Credit Risk Has Paid Off for Bond Investors
Researchers argue that decades of falling interest rates distorted estimates of corporate bond risk premiums.
The Evolution of Retail Investors From Speculation to Fundamentals
The stereotype of the retail investor as an undifferentiated mass of Robinhood traders chasing meme stocks has always been too simple.
What Really Drives the Asset Growth Anomaly? New Evidence Points to Mispricing, Not Risk
One of the most well-documented patterns in the cross-section of stock returns is that firms with high asset growth subsequently underperform firms with low asset growth.