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Journal Article

The Great Divide

The Nobel committee recently recognized work on the Efficient Market Hypothesis with a dramatic splitting of the prize between EMH pioneer Eugene Fama and EMH critic Robert Shiller.

Journal Article

A Note on REIT Bankruptcy and Intra-Industry Information Transfers: An Empirical Analysis

In this article, we review the capital markets’ response to the bankruptcy of Residential Resources (Res Res), a Real Estate Investment Trust (REIT), less than a year after its initial public offering in 1988. We find a significant event day value decline for a broad portfolio of REITs.

Journal Article

Why Not 100% Equities

In a 1994 article “College and University Endowment Funds: Why Not 100% Equities?” Richard H.

Journal Article

Parallels Between the Cross-Sectional Predictability of Stock and Country Returns

Firm characteristics such as book-to-market ratio, market equity and one-year past return help explain the cross-section of average returns on U.S.

Journal Article

Derivatives Strategies for Endowment and Foundation Portfolios: The Manager Perspective

Many endowment and foundation funds automatically maintain a mix of 60% stocks and 40% bonds, and numerous researchers will tell them they are wrong.

Journal Article

The Past and Future of Quantitative Asset Management

The defining element in quant management is diversification.

Journal Article

The Siren Song of Factor Timing, aka “Smart Beta Timing,” aka “Style Timing”

Often the first question after an initial discussion of factors is “Okay, what’s the current outlook?” And the common answer, “The same as usual,” is often unsatisfying.

Journal Article

Theoretical Foundations II

Historically, high price-to-earnings ratios (P/Es) have led to low returns in the stock market, and low P/Es have led to high returns.

Journal Article

The Interaction of Value and Momentum Strategies

Researchers have convincingly demonstrated that value strategies can be used to predict stock returns.

Journal Article

Stock Options and the Lying Liars Who Dont Want to Expense Them

Options are something of value even if they are out of the money.