Showing 1 - 10 of 52 results

Sort By
  • Relevance
  • Newest
  • Oldest

Journal Article

Measuring Global Systemic Risk: What Are Markets Saying About Risk?

Systemic market events arise with increasing frequency in our complex, adaptive and highly interconnected markets.

Journal Article

Sources of Change and Risk for Hedge Funds

Hedge funds are becoming much more institutionalized.

Journal Article

A Framework for Identifying Accounting Characteristics for Asset Pricing Models, with an Evaluation of Book-to-Price

We provide a framework for identifying accounting numbers that indicate risk and expected return.

Working Paper

Embedded Leverage

Embedded leverage—the amount of market exposure per unit of committed capital—has become an important feature of financial instruments. We study embedded leverage in equity options, index options and ETFs, and how it affects the required returns.

Journal Article

Efficiently Inefficient Markets for Assets and Asset Management

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly. If investors can find managers more easily, more money is allocated to active management, fees are lower, and asset prices are more efficient.

Working Paper

Deleveraging Risk

Using various measures of short selling activity for a large sample of U.S. securities, we find evidence that deleveraging risk—the risk of losses due to a sudden and widespread reduction in stocks held by levered investors—affects equity returns.

Journal Article

Do Asset Fire Sales Exist?

Financially distressed airlines can enter a vicious cycle when circumstances compel them to liquidate their fleets in the midst of an industry slump.

Perspective

High-Frequency Derangement Syndrome

Commentators are still blaming the wrong strategies for the recent market rout.

Perspective

Please Stop Talking About the VIX So Much

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.

White Paper

Inflation in 2010 and Beyond — Part II

"In this paper, our analysis reveals that traditional institutional portfolios with risk characteristics similar to a 60/40 stocks/bonds allocation may not be well-positioned for unexpected inflation. "