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Working Paper

Trading Costs of Asset Pricing Anomalies

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.

Working Paper

Asset Tangibility, Macroeconomic Risks and the Diversification Discount

Some research says that conglomerates trade at a discount relative to a comparable group of companies focused on single lines of business, because investors want to diversify. But we find the "diversification discount" varies, and delve into why here.

White Paper

Not Risk Parity Funds

The source of the recent market disruption may not be fully understood yet, but we can reveal what it wasn’t.

Journal Article

Dynamic Trading With Predictable Returns and Transactions Costs

Active investors and asset managers — such as hedge funds, mutual funds and proprietary traders — try to predict security returns and trade to profit from their predictions.

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.

Journal Article

Over-the-Counter Markets

This paper lays out a theory of asset pricing and market making based on search and bargaining.

Journal Article

To Trade or Not to Trade? Informed Trading With Short-Term Signals for Long-Term Investors

One of the great frustrations in the asset management profession is to watch trading costs render useless a signal that predicts near-term returns beautifully.

Journal Article

Predatory Trading

Large traders fear a forced liquidation, especially if their need to liquidate is known by other traders.

Journal Article

Price Efficiency and Short Selling

Using a unique dataset with weekly stock-lending transactions across 26 countries, this paper estimates the impact of short-sale constraints on measures of price efficiency.

Journal Article

Market Liquidity and Funding Liquidity

The funding of traders affects — and is affected by — market liquidity in a profound way.