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Chief Investment Quarterly
You Can’t Hedge, but You Can Diversify
May 8, 2019
Investors may benefit from adding diversifiers to their portfolios, but diversifiers aren’t hedges. Hedges serve a different purpose…unless they’re from Texas.
Chief Investment Quarterly
Late Cycle Syndrome
September 18, 2019
The concern that the economy is nearing the end of its expansion phase has important implications for investors. We take a look at the data on “late cycle” indicators to see what they really tell us.
Perspective
Is (Systematic) Value Investing Dead?
May 8, 2020
When value has underperformed for so long, it’s natural and proper that people wonder if it’s ever going to work again. To test the popular explanations for why value investing is “broken,” Cliff tweaks the value factor’s construction to remove the stocks that best fit these stories. He finds no “this time is different” explanation holds water, affirming our belief that the medium-term odds are rather dramatically on value’s side.
Perspective
Virtue Is its Own Reward: Or, One Man’s Ceiling Is Another Man’s Floor
May 18, 2017
We examine negative screening in Environmental, Social, and Governance (ESG) investing, often promoted as virtuous because it avoids “sin stocks” and other assets deemed undesirable. But does it also enhance expected returns?
Perspective
It Ain't What You Don't Know That Gets You Into Trouble
June 20, 2018
My colleagues have written two papers questioning things we thought we knew. The first questions what we really know about current stock market valuations forecasting long-horizon future returns and the second explores whether or not the size effect really exists.
Perspective
SNAFU: Situation Normal, All-FANGed Up
January 11, 2016
Cliff tackles a story making the rounds about stock market performance in 2015. Was it, in fact, very “narrow” and driven by the “FANG” stocks (Facebook, Amazon, Netflix and Google)?
Journal Article
Exploring Macroeconomic Sensitivities
April 2, 2014
Forecasting economic and market conditions is no easy task.
Journal Article
Fees Paid to Audit Firms, Accrual Choices and Corporate Governance
June 1, 2004
Research has shown that auditors’ tolerance for aggressive corporate accounting is correlated with the amount of fees the corporate client pays to the auditor for both audit and non-audit services.
Journal Article
Fight the Fed Model
September 1, 2003
Strategists, portfolio managers and market pundits often claim that the high market multiples of recent times are justified by low interest rates and/or inflation. The most widespread version of this comparison of stocks to bonds is often deemed the Fed model.
Journal Article
How Costly Is Financial (Not Economic) Distress?
October 1, 1998
This paper studies 31 highly leveraged transactions (HLTs) of the 1980s that subsequently became financially distressed.