Our original research that has been published in peer-reviewed academic and practitioner journals.
A solicited commentary on the global liquidity crisis and the "quant crisis" of August 2007. Evidence on the driving mechanisms.
Market liquidity and the funding conditions are mutually reinforcing, giving rise to liquidity spirals, fragility, flight to quality, and systemic risk.
The authors seek to produce a range of models that meteorologists, climate modelers and insurance industry practitioners can use to predict how many hurricanes may make landfall in the U.S. over the next five years.
News from companies with close economic ties (customers and suppliers) is not efficiently priced into stocks.
This article introduces a new process, called investment consumption value, to determine the appropriate asset classes for investment.
Better risk management requires new tools to measure the interconnectedness of markets as well as the total amount of systemic risk, leverage and liquidity.
We find that retained cash flows are mispriced in a similar manner to accruals, suggesting that discounted free cash flows valuation models should explicitly forecast retained cash flows.
A combined value/momentum strategy is very effective, and the results are unlikely to be arbitraged away in the near term.
This paper examines the 1982 Tylenol poisoning cases which provides an opportunity to study the effect that an external party can have on a brad name or reputation of a firm.
This study documents a new parametric hurricane rainfall prediction scheme, based on the rainfall climatology and persistence model (R-CLIPER) used operationally in the Atlantic Ocean basin to forecast rainfall accumulations.