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Working Paper
Economics with Market Liquidity Risk
September 19, 2019
We discuss the effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises, macroeconomics, monetary policy, fiscal policy, and other economic areas.
Interview
Words from the Wise: An Interview with Richard Thaler
July 27, 2018
Richard Thaler, a founding father of behavioral finance and the 2017 recipient of the Nobel Prize in Economics, discusses his pioneering research, including how our behaviors influence decision making and investing and what to do about it.
Journal Article
Sharpening the Arithmetic of Active Management
February 22, 2018
Does the dictum that the return to active management must equal that of passive management hold in the real world? This paper explores the assumptions and possible market impact.
Perspective
Wild but Not Crazy
February 15, 2018
Just how volatile was the recent market ride? Cliff Asness puts the volatility into perspective in terms of both its absolute and surprise levels.
Perspective
High-Frequency Derangement Syndrome
February 8, 2018
Commentators are still blaming the wrong strategies for the recent market rout.
Perspective
Add More Fama to Your Portfolio
October 26, 2017
This entry is a book recommendation. The book is The Fama Portfolio and it should be on the shelf (after being read!) of any serious student of finance.
Perspective
Please Stop Talking About the VIX So Much
July 30, 2017
It has become quite commonplace to note that the VIX (the CBOE Volatility Index) is currently very low and to worry about it. But Cliff tends to think there's less to worry about than most.
Perspective
2016 Was Not a Particularly Volatile Year
January 4, 2017
A lot of year-end commentary about financial markets in 2016 made it sound like a crazy year. It wasn’t—in fact, it was amazingly normal. This is true at least of the S&P 500, which is likely what many commentators are talking about.
Perspective
The Active Manifesto Kerfuffle
September 2, 2016
A Sanford Bernstein research note on the evils of indexing kick-started valuable discussions in the world of finance, but it missed something important: Free riding on price signals may be the most important feature of capitalism.
Journal Article
The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing
January 29, 2016
Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.