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Working Paper
Game On: Social Networks and Markets
March 1, 2021
This paper studies how echo-chamber effects and fake news can lead to disagreement and misinformation with effects on investors’ portfolios and market prices. It presents a model how an investment idea can propagate through a social network, generating a trading frenzy with high turnover, a bubble in the price, and high price volatility. The paper also presents empirical evidence on the dramatic events related to the GameStop stock in January 2021 and discusses broader economic implications.
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.
Perspective
High-Frequency Derangement Syndrome
February 8, 2018
Commentators are still blaming the wrong strategies for the recent market rout.
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.
Perspective
You Can Have Your Momentum Factor and Eat it Too
December 5, 2017
Many investors are quick to dismiss momentum as too costly to implement because of its high turnover. After studying 7 years’ worth of live, real-world data across markets, we debunk that myth.
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.
Perspective
A Fanatic is One Who Can't Change his Mind and Won't Change the Subject
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.
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.
Perspective
My Factor Philippic
June 22, 2016
Cliff critiques Arnott, et. al. (2016) and empirically shows why one should be wary of aggressive factor timing. Instead, investors should identify factors they believe in, and stay diversified across them, unless valuations get far more extreme
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.