Our original research that has been published in peer-reviewed academic and practitioner journals.
This paper explores the mispricing of securities around the credit crisis of 2008, and the time required to correct them, which provides an indication of the role played by arbitrageurs in maintaining rational prices during normal times.
Despite correlations rising in a crisis, international diversification protects investors over the medium to long term.
This paper proposes an estimator combining empirical likelihood (EL) and the generalized method of moments (GMM) in statistical analyses.
In a model with heterogeneous-risk-aversion agents facing margin constraints, we show how securities’ required returns increase in both their betas and their margin requirements.
An analysis of sovereign credit risk and CDS spreads, documenting that sovereign credit risk is closely related to US equity and credit markets even relative to local economic conditions.
Active quantitative portfolio management is moving toward a more flexible approach capable of capturing dynamics in risk and return expectations across an array of asset classes.
Momentum appears to deliver positive returns across country equity markets, except for in Japan. However, by analyzing momentum and value as a system, this paper finds that momentum works well in Japan, and may add value to equity strategies.
A discussion of the challenges in predicting equity market returns and Cliff's 10-year forecast.
We estimate the equity risk premium over the coming decade, summarizing ongoing debates over the "building blocks" to this forecast.
An assessment of how short-sale constraints affected prices and returns for more than 12,600 stocks from 26 countries from 2005 to 2008.