Meet with PWL Capital: https://pages.pwlcapital.com/en-ca/contact-us?utm_source=content&utm_medium=youtube&utm_campaign=rationalreminder_yt Today we are joined by the Professor of Finance at the University of Utah, Matt Ringgenberg to discuss everything related to anomaly returns. Matt’s research – mainly centered on the actions of short sellers – has been published in all the major journals including the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies. We begin with the definition of an asset pricing anomaly before learning about the anomalies that Matt’s research is primarily focused on. Then, we unpack anomaly returns and how they relate to anomaly signal information, what causes anomalies, the risk versus mispricing debate, and the barriers to accessing financial data that allow anomalies to persist. We also weigh Matt’s research against its anomaly-denying counterparts, assess anomaly behaviour before and after publicly available signal information, explore models that help to predict future anomalies, and learn more about the economic mechanism underlying asset pricing anomalies. To end, we dive into Matt’s paper, ‘The Loan Fee Anomaly’ and explore the relationship between cross-sectional predictors and market returns, and Matt explains why long-term happiness is the only true marker of success. Timestamps: 0:00:00 Intro 0:06:41 Defining an asset pricing anomaly 0:08:29 When anomaly returns tend to show up, relative to the release of anomaly signal information 0:13:24 The current barriers to accessing financial data that would allow anomalies to persist 0:17:17 How Matthew's rebalancing approach affects some of the recent research suggesting that anomaly returns have disappeared 0:21:16 Explaining the market’s ability to incorporate information before it becomes public 0:23:32 How anomaly premiums traded on predicted signals compare to those traded on information release dates 0:30:49 How well equity loan fees predict returns in the cross section 0:38:17 How practitioners can use this information in managing portfolios 0:41:39 How cross-sectional and time series predictors are linked 0:48:08 The most important lesson that Matthew tries to leave his students with in his Introduction to Investments course 0:50:00 Matthew defines success in his life Links From Today’s Episode: Rational Reminder on iTunes — https://itunes.apple.com/ca/podcast/the-rational-reminder-podcast/id1426530582. Rational Reminder Website — https://rationalreminder.ca/ Rational Reminder on Instagram — https://www.instagram.com/rationalreminder/ Rational Reminder on X — https://x.com/RationalRemind Rational Reminder on TikTok — www.tiktok.com/@rationalreminder Rational Reminder on YouTube — https://www.youtube.com/channel/ Rational Reminder Email — info@rationalreminder.ca Benjamin Felix — https://pwlcapital.com/our-team/ Benjamin on X — https://x.com/benjaminwfelix Benjamin on LinkedIn — https://www.linkedin.com/in/benjaminwfelix/ Cameron Passmore — https://pwlcapital.com/our-team/ Cameron on X — https://x.com/CameronPassmore Cameron on LinkedIn — https://www.linkedin.com/in/cameronpassmore/ Mark McGrath on LinkedIn — https://www.linkedin.com/in/markmcgrathcfp/ Mark McGrath on X — https://x.com/MarkMcGrathCFP Matthew Ringgenberg on Google Scholar — https://scholar.google.com/citations?user=NArgYXUAAAAJ Matthew Ringgenberg on LinkedIn — https://www.linkedin.com/in/matthewringgenberg/ Matthew Ringgenberg on X — https://x.com/Ringgenberg_M University of Utah — https://www.utah.edu/ Davidson Heath on LinkedIn — https://www.linkedin.com/in/davidson-heath-5a28999a/ Management Science — https://pubsonline.informs.org/journal/mnsc Journal of Financial and Quantitative Analysis — https://jfqa.org/ Morningstar Direct — https://www.morningstar.com/business/brands/data-analytics/products/direct YCharts — https://ycharts.com/ Andre Chen — https://andrewchen.substack.com/ David Booth | Dimensional Fund Advisors — https://www.dimensional.com/hk-en/bios/david-booth Papers From Today’s Episode: ‘A Conversation with Benjamin Graham’ — https://www.jstor.org/stable/4477960 ‘The Loan Fee Anomaly: A Short Seller's Best Ideas’ — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3707166 ‘Do Cross-Sectional Predictors Contain Systematic Information?’ — https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3459229