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Journal Article

Regulating Systemic Risk

Systemic risk is the risk that the failure and distress of a significant part of the financial sector reduces the availability of credit which in turn may adversely affect the real economy.

Journal Article

Value and Momentum Everywhere

We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.

Journal Article

When Everyone Runs for the Exit

The severe consequences for the global economy brought about by the 2008 liquidity crisis highlight the importance of liquidity risk.

Journal Article

Demand-Based Option Pricing

Index and equity options are notoriously difficult to price.

Journal Article

Demystifying Managed Futures

Commodity trading advisors (CTAs) managed approximately $320 billion as of the end of the first quarter of 2012, running “managed futures” funds that invest long or short in futures contracts on a variety of commodities, such as metals, grains, cotton and other physical goods, as well as futures and forwards on equity indices, Treasury bonds and currencies.

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.

Working Paper

Risk Everywhere: Modeling and Managing Volatility

This paper finds similarities in realized volatility patterns across assets and asset classes, based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades.

Working Paper

Repeated Auctions With Endogenous Selling

Auction theory studies the expected revenue to an owner committed to selling—as when a government sells an oil field, where the sale decision is unrelated to its quality. This paper addresses questions raised by auctions where owners choose to sell.

Working Paper

Measuring Systemic Risk

We present a simple model of systemic risk and show how each financial institution’s contribution to systemic risk can be measured and priced—its propensity to be undercapitalized when the system as a whole is undercapitalized, which increases in its leverage, volatility, correlation, and tail-dependence.

Working Paper

Generalized Recovery

We shed new light, both theoretically and empirically, on the Holy Grail in financial economics: decoding probabilities and risk preferences from asset prices.