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Journal Article

Multi-Period After-Tax Reporting: A Practical Solution

March 29, 2018 - Nathan Sosner Rodney N. Sullivan Liliana Urrutia

We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.

Journal Article

Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans

January 15, 2017 - Antti Ilmanen David G. Kabiller Laurence Siegel Rodney N. Sullivan

Defined contribution (DC) plans have, to this point, delivered uneven and sometimes inadequate results.

Journal Article

The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing

January 29, 2016 - Xi Li Rodney N. Sullivan Luis Garcia-Feijóo

Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.

Journal Article

Investing in the Asset-Growth Anomaly Across the Globe

December 9, 2015 - Xi Li Rodney N. Sullivan

Several studies have show that slow-growing companies return more to stock-market investors than fast-growing companies, based on the growth in the book value of companies’ assets.

Journal Article

The Limits to Arbitrage and the Low-Volatility Anomaly

January 2, 2014 - Xi Li Rodney N. Sullivan Luis Garcia-Feijóo

Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.

Journal Article

Sell-Side Analysts and Gender: A Comparison of Performance, Behavior, and Career Outcomes

April 2, 2013 - Xi Li Rodney N. Sullivan Danielle Xu Guodong Gao

Sell-side analysts are prominent figures in the investment arena.

Journal Article

Liquidity-Driven Dynamic Asset Allocation

April 2, 2013 - James Xiong Rodney N. Sullivan Peng Wang

Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of global asset classes.

Journal Article

Risk-Based Dynamic Asset Allocation With Extreme Tails and Correlations

July 2, 2012 - Peng Wang Rodney N. Sullivan Yizhi Ge

Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes.

Journal Article

How Index Trading Increases Market Vulnerability

March 1, 2012 - Rodney N. Sullivan James Xiong

Passively managed index funds and exchange-traded funds (ETFs) have experienced accelerating growth in recent decades.

Journal Article

The Limits to Arbitrage Revisited: The Accrual and Asset-Growth Anomalies

July 1, 2011 - Xi Li Rodney N. Sullivan

It is puzzling that such straightforward asset pricing anomalies like the well-publicized accruals and asset-growth effects are seemingly overlooked by investors.