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Working Paper

Multi-Period After-Tax Reporting: A Practical Solution

We propose an after-tax performance report aimed at enhancing wealth preservation and accumulation for taxable investors.

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

How Index Trading Increases Market Vulnerability

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

Journal Article

Measuring Global Systemic Risk: What Are Markets Saying About Risk?

Systemic market events arise with increasing frequency in our complex, adaptive and highly interconnected markets.

Journal Article

Sell-Side Analysts and Gender: A Comparison of Performance, Behavior, and Career Outcomes

Sell-side analysts are prominent figures in the investment arena.

Journal Article

Taming Global Village Risk

Asset price bubbles have been part of modern capital markets since those markets first evolved some 300 years ago.

Journal Article

Taming Global Village Risk II: Understanding and Mitigating Bubbles

Asset bubbles and their subsequent bursts are nothing new.

Journal Article

Investing in the Asset-Growth Anomaly Across the Globe

Several studies have show that slow-growing companies return more to stock-market investors than fast-growing companies, based on the growth in the book value of companies’ assets.

Journal Article

Liquidity-Driven Dynamic Asset Allocation

Portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of global asset classes.

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.