• Filter By
  • Topic (${ Topics.length })
  • Type (${ ContentTypes.length })
  • Contributor (${ Contributors.length })
Filter By







Close Clear Filters Apply

Showing 1 - 10 of 17 results

Sort By
  • Relevance
  • Newest
  • Oldest

Journal Article

Sustainable Systematic Credit

September 7, 2021 - Peter Diep Lukasz Pomorski Scott A. Richardson

Interest in sustainable investing is now expanding into fixed income. This paper assesses how measures of sustainability/ESG might be relevant for corporate bonds and analyzes how ESG measures can be incorporated into an investment process to achieve the joint object of maximizing risk-adjusted returns and a sustainability target.

Journal Article

Is (Systematic) Value Investing Dead?

March 14, 2020 - Ronen Israel Kristoffer Laursen Scott A. Richardson

Undoubtedly, many systematic approaches to value investing have suffered recently. However, we find the popular suggestion that value investing is dead to be premature. We find expectations of fundamental information have been and continue to be an important driver of security returns.

Journal Article

Active Fixed Income Illusions

December 17, 2019 - Jordan Brooks Tony Gould Scott A. Richardson

Across a broad set of popular active fixed income categories, we find that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of fixed income manager active returns.

Working Paper

Looking Under the Hood of Active Credit Managers

July 1, 2019 - Diogo Palhares Scott A. Richardson

We find that credit long/short managers tend to have high passive exposure to the credit risk premium. In contrast, we find that high-yield-focused long-only managers provide less exposure to the credit risk premium than their respective benchmarks.

Journal Article

A Framework for Identifying Accounting Characteristics for Asset Pricing Models, with an Evaluation of Book-to-Price

November 7, 2018 - Scott A. Richardson Stephen H Penman Francesco Reggiani Irem Tuna

We provide a framework for identifying accounting numbers that indicate risk and expected return.

Journal Article

Style Investing in Fixed Income

March 15, 2018 - Jordan Brooks Diogo Palhares Scott A. Richardson

A disciplined, systematic approach to over-/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive, can offer alternative sources of outperformance not only within equities but also within fixed income markets.

Journal Article

(Il)liquidity Premium in Credit Markets: A Myth?

March 8, 2018 - Scott A. Richardson Diogo Palhares

Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.

Journal Article

Common Factors in Corporate Bond and Bond Fund Returns

March 1, 2018 - Ronen Israel Diogo Palhares Scott A. Richardson

This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.

Journal Article

Buyback Derangement Syndrome

January 5, 2018 - Cliff Asness Scott A. Richardson Todd Hazelkorn

Winner of an “Outstanding Article” award in the 20th Annual Bernstein Fabozzi/Jacobs Levy Awards. A seemingly large amount of stock buybacks in recent years has prompted many to claim that buybacks have come at the expense of new investment. Our latest paper shows why neither the theory nor the evidence supports this view.

Journal Article

The Credit Risk Premium

January 15, 2017 - Scott A. Richardson

Using data spanning 80 years in the U.S. and nearly 20 years in Europe, the authors of this paper find what they characterize as strong evidence of credit risk premium after correctly adjusting for term risk.