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Journal Article

Securities Lending, Shorting and Pricing

In this paper, we provide a framework for the price impact of the practice of shorting.

Journal Article

Restrictions on Short Selling

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

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

Liquidity and Asset Prices

Liquidity is a complex concept.

Journal Article

Margin-Based Asset Pricing and Deviations From the Law of One Price

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

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

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

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

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

Perspective

Resisting the Siren Song of Factor Timing

It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.