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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

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

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.

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

Fact, Fiction and Momentum Investing

Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.

Journal Article

Home Bias at Home: Local Equity Preference in Domestic Portfolios

The strong preference for domestic equities exhibited by investors in international markets, despite the well-documented gains from international diversification, remains an important yet unresolved empirical puzzle in financial economics. Though such behavior appears to be grossly inefficient from a diversification standpoint, academics have offered a variety of explanations for this phenomenon. Home bias explanations can be assigned to two groups: those that rely on national/governmental frictions and those that rely on frictions associated with distance.

Book

Scorecasting: The Hidden Influences Behind How Sports Are Played and Games Are Won

Tobias Moskowitz teams up with Sports Illustrated writer L. Jon Wertheim, to overturn some of the most cherished truisms of sports. They reveal the hidden forces that shape how basketball, baseball, football, and hockey games are played, won and lost.

Journal Article

The Effects of Stock Lending on Security Prices

The impact of short selling is the subject of an ongoing debate among academics, investment committees, corporate boards, and regulators.

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

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.