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Journal Article

Defined Contribution Retirement Plans Should Look and Feel More Like Defined Benefit Plans

Defined contribution (DC) plans have, to this point, delivered uneven and sometimes inadequate results.

Journal Article

The Limits to Arbitrage Revisited: The Accrual and Asset-Growth Anomalies

It is puzzling that such straightforward asset pricing anomalies like the well-publicized accruals and asset-growth effects are seemingly overlooked by investors.

Journal Article

The Limits to Arbitrage and the Low-Volatility Anomaly

Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.

Journal Article

The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing

Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.

Journal Article

Using Investment Consumption Value to Select Asset Classes

For investors, selecting the appropriate asset classes to be included in a portfolio is arguably the most important task, but the traditional analytical frameworks use only historical mean- variance analysis to identify asset classes and fail to look into the future.

Journal Article

Markets in Crisis

History has not dealt kindly with investors in the aftermath of protracted periods of low-risk premiums.

Journal Article

The Pitfalls of Leveraged and Inverse ETFs

As market volatility reaches historic highs, investors have responded in various ways, including investing in funds that aim to deliver returns that are either a positive or inverse multiple of a stated index.

Journal Article

A Dynamic Future for Active Quant Management

Quantitative investment managers analyze mountains of data over time to find statistically significant deviations from the norm, and then devise methods to harvest expected returns as asset prices revert to the mean.

Book

Benjamin Graham: Building a Profession

Benjamin Graham is widely known as the father of value investing and mentor to legendary investor Warren Buffett. This collection of Graham's writings and expert interviews offers valuable perspectives on investing and financial markets.

Journal Article

How Index Trading Increases Market Vulnerability

Passively managed index funds and exchange-traded funds (ETFs) have experienced accelerating growth in recent decades.