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Journal Article

An Analysis of Covariance Risk and Pricing Anomalies

Much research has focused on the relation between firm characteristics and mean returns, but this article examines the link between well‐known asset pricing “anomalies” and the covariance structure of returns.

Journal Article

Confronting Information Asymmetries: Evidence from Real Estate Markets

This article examines the importance of asymmetric information in commercial real estate markets in the U.S.

Journal Article

The Role of Shorting, Firm Size and Time on Market Anomalies

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

Fact, Fiction and Value Investing

Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.

Journal Article

Momentum Crashes

A momentum strategy is a bet that past returns will predict future returns in the cross-section of assets, and is typically implemented by buying past winners and selling past losers.

Journal Article

Investing with Style

Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.

Journal Article

Fact, Fiction, and the Size Effect

Despite its long and illustrious history, much confusion about the size effect remains. We examine common claims about the size effect and seek to clarify some of the misunderstanding surrounding it.

Journal Article

Testing Agency Theory With Entrepreneur Effort and Wealth

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.

Working Paper

Trading Costs

Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.

Working Paper

The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century

The authors review the development of financial regulation through the lens of U.S. state usury laws in the 19th century. Among other things, they find evidence that lending activity was affected by rate ceilings.