Working Paper

(Il)liquidity Premium in Credit Markets: A Myth?

Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.

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Macro Wrap-Up: A Shadow on Growth in China

The fact that the trade dispute comes at a time when China has been fighting excessive lending presents a dual challenge for authorities. They may have to choose between rapid credit growth and their GDP target.


Macro Wrap-Up: A Different Kind of Winner's Curse

How sports franchise owners act like short-term momentum traders.


Macro Wrap-Up: Trade Wars, Nothing but Trade Wars

Tariffs will probably remain an issue in the near future. The market may move from not expecting a trade war, to expecting a short trade war, then to accepting a long trade war.

Asset Allocation

Long Horizon Predictability: A Cautionary Tale

We show there is much less evidence of long-horizon return predictability than existing research suggests, casting doubt over claims about forecasts based on stock market valuations and factor timing.


Macro Wrap-Up: Can Rates be Both Too High and Too Low?

What we really want to know as investors is whether monetary policy is tight. It’s not an easy question to answer.

Factor/Style Investing

Time-Varying Leverage Demand and Predictability of Betting-Against-Beta

We test the predictability of betting-against-beta (BAB) strategies and find that they perform better when past market returns have been high.


Macro Wrap-Up: The Dollar Finds a Reason to Smile

Often it takes time for different themes in the market to play out in price action. That can make it just as surprising when a theme finally does play out.

Portfolio Construction

Active and Passive Investing — The Long-Run Evidence

More careful thinking is needed to separate facts from fiction in the hotly contested debate between active and passive investing.

Factor/Style Investing

Fact, Fiction and the Size Effect

Despite its long and illustrious history, much confusion about the size effect remains. We examine common claims about the size effect and seek to clarify some of the misunderstanding surrounding it.

Tax Aware

The Tax Benefits of Separating Alpha from Beta

We show how separating a portfolio into an active long-short portfolio and a passive index portfolio can have significant tax benefits.