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Working Paper
Decision-Making Under the Gambler's Fallacy
March 11, 2015
Reviewing decisions made by judges, loan officers and umpires in high-stakes contexts, we find them to be most consistent with the "gambler's fallacy"—meaning they were based as much on their own previous decisions as on the facts they were weighing.
Working Paper
Beyond Basis Basics: Leverage Demand and Deviations from the Law of One Price
February 7, 2020
Bases are driven by intermediaries’ cost of capital and the amount of leverage demand for an asset. Focusing on leverage demand, we find bases negatively predict futures and spot market returns with the same sign in both global equities and currencies.
Working Paper
How Do Factor Premia Vary Over Time? A Century of Evidence
July 2, 2019
We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.
Journal Article
Testing Agency Theory With Entrepreneur Effort and Wealth
March 2, 2005
We apply agency theory to an entrepreneurial setting by augmenting the standard principal-agent framework.We then test the model’s implications using unique data on entrepreneurial effort and wealth in privately held firms. In the model, a risk-averse entrepreneur seeking financing wishes to sell part of his equity stake to outside investors concerned with moral hazard.
Journal Article
Confronting Information Asymmetries: Evidence from Real Estate Markets
August 11, 2003
This article examines the importance of asymmetric information in commercial real estate markets in the U.S.
Journal Article
Value and Momentum Everywhere
June 1, 2013
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
The Role of Shorting, Firm Size and Time on Market Anomalies
May 1, 2013
The pervasiveness, robustness and magnitude of return premia associated with size, value and momentum has made them the focal point for discussions of market efficiency, etc.
Journal Article
Carry
November 7, 2013
An asset’s “carry” is its expected return assuming that market conditions, including its price, stay the same. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes.
Journal Article
Time Series Momentum
May 1, 2012
We document an asset pricing anomaly we term “time series momentum,” which is remarkably consistent across very different asset classes and markets.
White Paper
A New Core Equity Paradigm
March 1, 2013
Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.