- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Journal Article
Size Matters, If You Control Your Junk
January 22, 2015
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
The Earnings Announcement Premium and Trading Volume
May 1, 2007
We measure and provide explanation for the earnings announcement premium, when stock prices rise around scheduled earnings announcement dates. We show that the premium is large and strongly related to the surge in volume around announcement dates.
Working Paper
Trading Costs of Asset Pricing Anomalies
December 5, 2012
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.
Working Paper
Trading Costs
August 23, 2018
Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.
Journal Article
Quality Minus Junk
October 9, 2013
We show that a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns in the U.S. and globally. Also, controlling for quality resurrects the otherwise moribund size effect.
Working Paper
Embedded Leverage
November 1, 2012
Embedded leverage—the amount of market exposure per unit of committed capital—has become an important feature of financial instruments. We study embedded leverage in equity options, index options and ETFs, and how it affects the required returns.
Working Paper
Hiring Cheerleaders: Board Appointments of "Independent" Directors
June 1, 2012
In this paper we exploit a database of independent directors to test the hypothesis that boards appoint directors who, while technically independent according to regulatory definitions, nonetheless may be overly sympathetic to management.
Journal Article
Economic Links and Predictable Returns
August 1, 2008
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
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.