Our original research that has been published in peer-reviewed academic and practitioner journals.
This paper documents significant “time series momentum” in equity indices, currencies, commodities and bond futures. We find persistence in returns for 1 to 12 months that partially reverses over longer horizons, consistent with sentiment theories of initial under-reaction and delayed over-reaction.
The rise in popularity of index trading contributes to higher systematic equity market risk. More index trading corresponds to increased trading commonality and higher return correlations among stocks.
Investor recognition may be as important as financial fundamentals in predicting stock price movements over short investment horizons.
Leverage aversion changes the predictions of modern portfolio theory. Specifically, lower risk assets may offer higher risk-adjusted returns, creating an opportunity for strategies such as risk parity.
We argue and show that factor diversification has been more effective than asset-class diversification in general and, in particular, during crises.
A summary of Antti Ilmanen's book, Expected Returns: An Investor's Guide to Harvesting Market Rewards, and ideas about how to build a better portfolio.
Option pricing theory links equity prices to credit prices in measurable ways that can be used to guide future research into how information affects credit markets.
Investors can use short-term information to help time the trades of their long-term investments.
Investors who seek to profit from the accrual and asset-growth anomalies must bear greater uncertainty in outcomes than was previously understood.
The authors study whether the success of bargaining and the agreed upon terms depend on the characteristics of the person who initiates negotiations.