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Journal Article

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

Information moves security prices.

Journal Article

Buffett's Alpha

[Winner of the CFA Institute's 2018 Graham and Dodd Award] What is the secret to Warren Buffett's success? We seek the answer via a thorough empirical analysis in light of some the latest research on the drivers of returns.

Journal Article

Economic Links and Predictable Returns

This paper provides evidence that investors often fail to consider economic links between companies when making investment decisions and this phenomenon can have a substantial effect on asset prices.

Journal Article

Size Matters, If You Control Your Junk

When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.

Working Paper

Betting Against Correlation: Testing Theories of the Low-Risk Effect

What drives the low-risk effect? We test whether it's driven by leverage constraints (and thus risk should be measured using beta) or behavioral effects (and thus risk should be measured by idiosyncratic risk).

Working Paper

Trading Costs of Asset Pricing Anomalies

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.

White Paper

Understanding Defensive Equity

This paper analyzes the intuition behind defensive equity. We then analyze the empirical evidence, construction and performance of defensive equity portfolios, and discuss the possible explanations for its historical outperformance.

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

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

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.