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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

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

Information moves security prices.

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.

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

Leverage Aversion and Risk Parity

In recent years, a new approach to asset allocation called risk parity (RP) has been gaining in popularity among practitioners.

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

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 Devil in HML's Details

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