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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
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.
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.
Journal Article
The Small World of Investing: Board Connections and Mutual Fund Returns
May 1, 2007
Information moves security prices.
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
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
Fact, Fiction and Value Investing
November 5, 2015
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
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.