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Journal Article
Leverage Aversion and Risk Parity
January 1, 2012
In recent years, a new approach to asset allocation called risk parity (RP) has been gaining in popularity among practitioners.
Journal Article
Sell-Side School Ties
August 1, 2010
In the equities market, security analysts are among the most important agents in revealing information to investors.
Journal Article
Low-Risk Investing Without Industry Bets
August 21, 2014
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
The Devil in HML's Details
June 1, 2013
This paper challenges the standard method for measuring “value” used in academic work on factor pricing.
Journal Article
The Disposition Effect and the Under-Reaction to News
August 1, 2006
Mounting evidence challenges the traditional view that securities are rationally priced to reflect publicly available information.
Journal Article
Deactivating Active Share
January 6, 2016
The authors investigate Active Share, a measure meant to determine the level of active management in investment portfolios, and find it wanting.
Journal Article
Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns
February 1, 2009
Individual retail investors actively reallocate their money across different mutual funds.
Journal Article
Fact, Fiction and Momentum Investing
September 23, 2014
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
The Small World of Investing: Board Connections and Mutual Fund Returns
May 1, 2007
Information moves security prices.
Journal Article
Buffett's Alpha
November 1, 2013
[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.