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Journal Article

Deactivating Active Share

The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.

Journal Article

The Disposition Effect and the Under-Reaction to News

Mounting evidence challenges the traditional view that securities are rationally priced to reflect publicly available information.

Journal Article

The Small World of Investing: Board Connections and Mutual Fund Returns

Information moves security prices.

Journal Article

The Devil in HML's Details

This paper challenges the standard method for measuring “value” used in academic work on factor pricing.

Journal Article

Sell-Side School Ties

In the equities market, security analysts are among the most important agents in revealing information to investors.

Journal Article

Betting Against Beta

A basic premise of the capital asset pricing model (CAPM) is that all agents invest in the portfolio with the highest Sharpe ratio, or expected excess return per unit of risk, and leverage or de-leverage this portfolio to suit their risk preferences. However, many investors — such as individuals, pension funds and mutual funds — are constrained in the leverage that they can take, and therefore overweight risky securities instead.

Journal Article

Low-Risk Investing Without Industry Bets

The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-beta stocks has been shown to deliver significant risk-adjusted returns.

Journal Article

Fact, Fiction and Momentum Investing

Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.

Journal Article

Fact, Fiction and Value Investing

Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.

Journal Article

Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns

Individual retail investors actively reallocate their money across different mutual funds.