Our original research not yet submitted to a peer-reviewed journal; doctoral dissertations.
This paper develops a multistep estimation procedure to investigate versions of Merton’s intertemporal capital asset pricing model (ICAPM).
The author shows that the risk premium earned by assets exposed to long-term credit risk is not high enough to compensate for their increased volatility and, as a consequence, short-maturity credit default swaps have higher risk-adjusted returns.
This paper derives the optimal dynamic trading strategy when the investor's model of alpha-decay is misspecified.
We highlight 10 myths about momentum and refute them, using results from widely circulated academic papers and analysis from the simplest and best publicly available data.
This paper demonstrates how to use all the available daily data in estimating models such as the conditional CAPM even if the specified horizon of the representative investor is greater than one day.
Using unique data from equity lending markets as a proxy for the degree of leverage in a stock, we find large positive returns and reductions in short selling quantities around periods of funding illiquidity.
This paper develops a structural model of firm diversification to study the role of organizational flexibility as a tool to manage liquidity in the presence of aggregate productivity and financial shocks.
After studying a novel set of market data, the author concludes that imposing higher margins drives both hedgers and speculators from the market, adversely affects liquidity and volatility, and that regulation of margins can make trading more costly for all market participants.
The authors argue that anomalies may experience prolonged decay after discovery and propose a Bayesian framework that accommodates decay and that nests other common specifications.
In this study, we seek to improve the understanding of what makes a stock a "Buffett stock," the drivers of Berkshire's performance, and how a diversified Buffett-styled portfolio would have performed over the past 30 years.