Our original research that has been published in peer-reviewed academic and practitioner journals.
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.
While demand shocks greatly influence stock returns in the short run, we find that arbitrage causes comovement to revert relatively quickly.
The effect of search and bargaining on asset prices and the dynamics of aggregate liquidity shocks.
Using a sample of 2,106 firms, we seek to establish an association between corporate governance and economic outcomes.
A panel of experts concluded that hurricane activity across the Atlantic Ocean, and along the U.S. and Caribbean coasts over the coming five years was expected to be between 20% and 35% higher than the long-term average, depending on storm intensity.
Empirical evidence: when arbitrageurs lose capital and new capital arrives slowly, prices become depressed and later rebound.
Mutual fund portfolio managers take larger positions and earn higher returns in the shares of companies whose executive officers attended the same school.
This paper lays out a decomposition of book-to-price (B/P) that derives from the accounting for book value and that articulates precisely how B/P "absorbs" leverage.