Our original research not yet submitted to a peer-reviewed journal; doctoral dissertations.
This paper presents a framework to evaluate the utility gains from the use of risk models, highlighting the interplay between transaction costs, the speed of different risk models and their practical implementation.
We document an anomalous asset-growth effect that comprises a combination of market mispricing and pervasive global systematic risk.
This paper examines whether accounting-based measures of volatility can contribute to efforts to predict bankruptcies and explain credit spreads.
In this article, we aim to debunk many of the myths surrounding value investing.
The authors undertake a comprehensive analysis of those cross-sectional determinants of corporate bond excess returns. They find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.
This paper describes the joint dynamics of the markets for assets and asset management.
In this paper, researchers explore the idea that knowing how much professionals disagree about how quickly the U.S. economy is emerging from a recession may produce actionable insight into the future performance of the bond market.
Researchers find evidence of negative autocorrelation in decisionmaking by several cohorts — federal judges hearing refugee asylum cases, bank loan officers and even baseball umpires.
The authors introduce the concept of a credit implied volatility surface, which can be interpretable as risk-neutral asset volatility of the underlying firm or government credit.
This paper seeks to revive the size anomaly, putting it on more equal footing with other anomalies such as value and momentum in terms of its efficacy and robustness.