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Working Paper
Embedded Leverage
November 1, 2012
Embedded leverage—the amount of market exposure per unit of committed capital—has become an important feature of financial instruments. We study embedded leverage in equity options, index options and ETFs, and how it affects the required returns.
Working Paper
Hiring Cheerleaders: Board Appointments of "Independent" Directors
June 1, 2012
In this paper we exploit a database of independent directors to test the hypothesis that boards appoint directors who, while technically independent according to regulatory definitions, nonetheless may be overly sympathetic to management.
Journal Article
Quality Minus Junk
October 9, 2013
We show that a quality-minus-junk (QMJ) factor that goes long high-quality stocks and shorts low-quality stocks earns significant risk-adjusted returns in the U.S. and globally. Also, controlling for quality resurrects the otherwise moribund size effect.
Journal Article
The Devil in HML's Details
June 1, 2013
This paper challenges the standard method for measuring “value” used in academic work on factor pricing.
Journal Article
Dumb Money: Mutual Fund Flows and the Cross-Section of Stock Returns
February 1, 2009
Individual retail investors actively reallocate their money across different mutual funds.
Journal Article
Buffett's Alpha
November 1, 2013
[Winner of the CFA Institute's 2018 Graham and Dodd Award] What is the secret to Warren Buffett's success? We seek the answer via a thorough empirical analysis in light of some the latest research on the drivers of returns.
Journal Article
Economic Links and Predictable Returns
August 1, 2008
This paper provides evidence that investors often fail to consider economic links between companies when making investment decisions and this phenomenon can have a substantial effect on asset prices.
White Paper
A New Core Equity Paradigm
March 1, 2013
Combining successful investing styles to magnify their effects represents a new paradigm in active equity-portfolio management. Core Equities integrates value, momentum and profitability styles to offer a more persistent, systematic approach.
White Paper
Understanding Defensive Equity
July 1, 2012
This paper analyzes the intuition behind defensive equity. We then analyze the empirical evidence, construction and performance of defensive equity portfolios, and discuss the possible explanations for its historical outperformance.
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.