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Book

Leveraged Exchange-Traded Funds: Price Dynamics and Options Valuation

Perspective

Still (Not) Crazy After All These Years¹

With the FANGs in the news again, for good and bad, we thought it would be a good time to update our analysis. Again, we find less going on than first meets the eye.

Working Paper

Empirical Asset Pricing via Machine Learning

We show how the field of machine learning can be used to empirically investigate asset premia including momentum, liquidity, and volatility.

Perspective

SNAFU: Situation Normal, All-FANGed Up

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)?

DC Solutions

DC Solutions Series: Defensive Equity, Part 2

In part two of this two-part series, we focus on the implementation of a defensive equity strategy within the context of a DC retirement plan.

Perspective

Virtue is its Own Reward: Or, One Man’s Ceiling is Another Man’s Floor

We examine negative screening in Environmental/Social/Governance (ESG) investing, often promoted as virtuous because it avoids “sin stocks” and other assets deemed undesireable. But does it also enhance expected returns?

Perspective

It Ain't What You Don't Know That Gets You Into Trouble

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.

Working Paper

The Power of Past Stock Returns to Explain Future Stock Returns

We find that a properly specified one-year momentum strategy has explanatory power for stock returns when used alone, when tested against size and book-to-market, and when subjected to exhaustive robustness checks.

Working Paper

The Earnings Announcement Premium and Trading Volume

We measure and provide explanation for the earnings announcement premium, when stock prices rise around scheduled earnings announcement dates. We show that the premium is large and strongly related to the surge in volume around announcement dates.

Working Paper

The August of Our Discontent

The summer of 2007 caused some turmoil in the world of quantitative investing, leading to questions about quant investing in general and specific questions about what happened in July and August. We've tried to answer some of those questions here.