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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.
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.
Journal Article
To Trade or Not to Trade? Informed Trading With Short-Term Signals for Long-Term Investors
September 1, 2011
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
Dynamic Trading With Predictable Returns and Transactions Costs
November 1, 2013
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
Trading Patterns and Excess Comovement of Stock Returns
September 1, 2007
In April 2000, 30 stocks were replaced in the Nikkei 225 Index.
Journal Article
Predatory Trading
August 1, 2005
Large traders fear a forced liquidation, especially if their need to liquidate is known by other traders.
Journal Article
How Index Trading Increases Market Vulnerability
March 1, 2012
Passively managed index funds and exchange-traded funds (ETFs) have experienced accelerating growth in recent decades.
Working Paper
Robust Dynamic Asset Allocation With Model Misspecification
November 12, 2014
This paper derives the optimal dynamic trading strategy when the investor's model of alpha-decay is misspecified. This robust trading strategy can be computed easily by solving a standard linear quadratic Gaussian dynamic programming problem.
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.