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Working Paper
Trading Costs of Asset Pricing Anomalies
December 5, 2012
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.
White Paper
Not Risk Parity Funds
February 7, 2018
The source of the recent market disruption may not be fully understood yet, but we can reveal what it wasn’t.
Perspective
Risk Parity Derangement Syndrome
February 7, 2018
Cliff Asness explains why risk parity and trend-following strategies are not to blame for the recent market volatility.
Working Paper
Asset Tangibility, Macroeconomic Risks and the Diversification Discount
April 3, 2014
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.
Working Paper
Principal Portfolios
July 7, 2020
We propose a new asset-pricing framework in which all securities’ signals are used to predict each individual return. While the literature focuses on each security’s own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes cross-predictability.
Perspective
The August of Our Discontent: Once More Unto the Breach?
August 7, 2017
Given the continued rise in popularity of factor investing, we recap the August 2007 “quant crisis”—those weeks when certain quant strategies suffered big losses—and its relevance for today.
Working Paper
Trading Costs
August 23, 2018
Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.
Book
Optimization Methods in Finance
January 1, 2007
Modern finance has become increasingly technical, requiring the use of sophisticated mathematical tools in both research and practice.
Journal Article
On the Distribution of Financial Futures Price Changes
September 1, 2004
Among the victims of the October 1987 market crash were the popular and convenient assumptions of nearly continuous and normally distributed price change processes.
Journal Article
Predatory Trading
August 1, 2005
Large traders fear a forced liquidation, especially if their need to liquidate is known by other traders.