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Journal Article
Securities Lending, Shorting and Pricing
November 1, 2002
In this paper, we provide a framework for the price impact of the practice of shorting.
Journal Article
Restrictions on Short Selling
January 1, 1989
In this paper we review the theoretical and empirical evidence on both short sales and restrictions on short sales, concentrating on the uptick rule.
Journal Article
Risk and Return of Equity Index Collar Strategies
July 1, 2016
Equity index collar strategies are often perceived as a way for investors, at little to no cost, to exchange some upside exposure for reduced losses on the downside.
Journal Article
Margin-Based Asset Pricing and Deviations From the Law of One Price
April 14, 2011
The role of funding constraints becomes particularly obvious in liquidity crises, with the one that started in 2007 being an excellent example.
Perspective
Don't Go for the Exacta
October 27, 2015
It’s hard enough to be right. It’s much harder to be right multiple times in a row. Cliff delves into two-step bets and offer insight on when they’re a bad idea.
Perspective
A Fanatic is One Who Can't Change his Mind and Won't Change the Subject¹
July 16, 2017
Ciff Asness critiques Rob Arnott’s strong viewpoints that rising valuations are responsible for the past performance of many factors and that their current valuation levels point to their impending doom.
Perspective
My Factor Philippic
June 22, 2016
Cliff critiques Arnott, et. al. (2016) and emprically shows why one should be wary of agressive factor timing. Instead, investors should identify factors they believe in, and stay diversified across them, unless valuations get far more extreme
Perspective
High-Frequency Derangement Syndrome
February 8, 2018
Commentators are still blaming the wrong strategies for the recent market rout.
Perspective
Resisting the Siren Song of Factor Timing
April 15, 2016
It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.