Showing 1 - 10 of 24 results

Sort By
  • Relevance
  • Newest
  • Oldest

Working Paper

Embedded Leverage

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

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

Quality Minus Junk

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.

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

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

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

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

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.

White Paper

A New Core Equity Paradigm

Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.

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.