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Journal Article
Securities Lending, Shorting and Pricing
November 1, 2002
In this paper, we provide a framework for the price impact of the practice of shorting.
Journal Article
Slow-Moving Capital
May 1, 2007
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
February 21, 2014
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
January 1, 2004
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
May 7, 2010
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
December 8, 2014
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
February 8, 2017
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
April 2, 2014
Forecasting economic and market conditions is no easy task.
Alternative Thinking
The Role of Alternative Beta Premia
3Q 2012
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