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Journal Article

Securities Lending, Shorting and Pricing

In this paper, we provide a framework for the price impact of the practice of shorting.

Journal Article

Slow-Moving Capital

Unlike textbook arbitrageurs who instantaneously trade when prices deviate from fundamental values, real-world arbitrageurs must overcome various frictions.

Journal Article

My Top 10 Peeves

Certain things said or done in our industry or said about our industry that have bugged me for years.

Journal Article

Investigating the Economic Role of Mergers

A growing body of empirical evidence documents that mergers are an efficient way to reallocate assets within the economy.

Journal Article

Networking as a Barrier to Entry and the Competitive Supply of Venture Capital

Does networking among U.S. venture-capital (VC) firms restrict entry into local VC markets, thereby improving their bargaining power over entrepreneurs?

Journal Article

Understanding Style Premia

Four investment “styles" have emerged as compelling sources of alternative returns, backed by economic theory and decades of data across geographies and asset groups.

Journal Article

A Historical Perspective on Time-Varying Expected Returns

Investors naturally think about the expected returns of bonds based on their market yields, thus assuming time-varying expected returns.

Journal Article

Exploring Macroeconomic Sensitivities

Forecasting economic and market conditions is no easy task.

Alternative Thinking

The Role of Alternative Beta Premia

Alternative beta premia—dynamic long-short strategies—offer effective diversified sources of return. To us, the most useful classifications are hedge fund strategy premia and style premia, two complementary approaches