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Journal Article

The Pitfalls of Leveraged and Inverse ETFs

As market volatility reaches historic highs, investors have responded in various ways, including investing in funds that aim to deliver returns that are either a positive or inverse multiple of a stated index.

Journal Article

When Everyone Runs for the Exit

The severe consequences for the global economy brought about by the 2008 liquidity crisis highlight the importance of liquidity risk.

Alternative Thinking

Bad Habits and Good Practices

Good investing requires good investments and good investors. We discuss the latter and address bad habits that can affect long-term performance.

Journal Article

Estimation of Dynamic Discrete Choice Models by Maximum Likelihood and the Simulated Method of Moments

Using data on the schooling decisions of a sample of white males from the National Longitudinal Survey of Youth of 1979, the authors of this paper compare the performance of simulated method of moments (SMM) and maximum likelihood (ML) estimation in dynamic discrete choice models.

Working Paper

The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?

Entrepreneurs tend to concentrate investments in private equity. However, research shows that private equity returns are generally no higher than the market return on all publicly traded equity. We delve into explanations for this here.

Podcast

Silly Things Investors Do

An all-star lineup, including Nobel Prize winner Richard Thaler, joins The Curious Investor hosts to explain some of the most common biases that creep into our investment decisions.

Working Paper

Decision-Making Under the Gambler's Fallacy

Reviewing decisions made by judges, loan officers and umpires in high-stakes contexts, we find them to be most consistent with the "gambler's fallacy"—meaning they were based as much on their own previous decisions as on the facts they were weighing.

Working Paper

Acting on the Most Valuable Information: “Best Idea” Trades of Mutual Fund Managers

This paper proposes an ex ante proxy for the ranking of mutual fund trades. We find that the most attractive trades—the “best ideas"—beat the benchmarks by up to about 0.30% per month and outperform other fund trades by even higher margins.

Working Paper

Follow the Leader: Peer Effects in Mutual Fund Portfolio Decisions

This paper demonstrates that mutual funds “follow the leaders"—Trades of well-performing funds are statistically and economically important determinants of subsequent portfolio decisions of the remaining managers.

Working Paper

When Is Bargaining Successful? Negotiated Division of Tournament Prizes

High-stakes poker players often negotiate the distribution among a small number of finalists rather than playing through until only one player remains. We find that this setting is ideal for studying bargaining—this paper documents our findings.