Showing 1 - 10 of 28 results


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.

Working Paper

More Banks, Less Crime? The Real and Social Effects of Bank Competition

Using a unique sample of commercial loans and mergers between large banks, this paper provides microlevel (within-county) evidence linking credit conditions to economic development and finds a spillover effect on crime.

Working Paper

Trading Costs of Asset Pricing Anomalies

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.

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.

Working Paper

Size Matters, If You Control Your Junk

When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.

Working Paper

The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?

Entrepreneurs tend to concentrate investments in private equity. However, research shows that private equity returns are generally no higher than the market return on all publicly traded equity. We delve into explanations for this here.

Working Paper

How Tax Efficient Are Equity Styles?

We explore the after-tax performance, tax exposure and tax efficiency of commonly used equity style portfolios. We focus on equity styles based on size, value, growth and momentum, well know within the cross-sectional return landscape.

Working Paper

Decision-Making Under the Gambler's Fallacy

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

Implementing Momentum: What Have We Learned?

We use seven years of live data to evaluate the implementability of momentum investing.

Journal Article

Do Industries Explain Momentum?

The ability to outperform buy-and-hold strategies by acquiring past winning stocks and selling past losing stocks, commonly referred to as "individual stock momentum," remains one of the most puzzling of these anomalies, both because of its magnitude (up to 12 percent abnormal return per dollar long on a self-financing strategy per year) and because of the peculiar horizon pattern that it seems to follow: Trading based on individual stock momentum appears to be a poor strategy when using a short historical horizon for portfolio formation (especially less than one month); it is highly profitable at intermediate horizons (up to 24 months, although it is strongest in the 6- to 12-month range); and is again a poor strategy at longer horizons. This paper largely focuses on the positive persistence in stock returns (or momentum effect) over intermediate investment horizons (6 to 12 months) and explores various explanations for its existence.