Journal Articles

Our original research that has been published in peer-reviewed academic and practitioner journals.

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  1. We find that asset reliability issues are a significant determinant of short-term credit spreads and the shape of the general credit term structure.

  2. Cliff Asness lays out the 10 investment ideas and jargon that bug him the most when uttered by others — and, occasionally, by himself.

  3. The existence and trading efficacy of the low-volatility stock anomaly were more limited than widely believed.

  4. A model of leverage and margin constraints helps explain why low-beta assets offer higher risk-adjusted returns than high-beta assets.

  5. An analysis of the optimal trading strategy that minimizes transaction costs while efficiently exploiting trading signals. A closed-form solution that illuminates the key role of alpha decay.

  6. We compare stocks randomly made available for lending to those randomly withheld from lending to see if short-selling-related supply shocks affect prices.

  7. A new methodology for calculating the Book-to-Price ratio produces value portfolios with better returns than standard Fama-French HML portfolio.

  8. Value and Momentum effects appear across global markets in equities, commodities, and bonds. We find that value (momentum) in one asset class is positively correlated with value (momentum) in other asset classes, and value and momentum are negatively correlated within and across asset classes.

  9. The role of shorting, firm size, and time on the profitability of size, value and momentum strategies.

  10. We consider how market liquidity characteristics vary across time and states of the economy, and how they affect a diversified portfolio of asset classes.