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Journal Article

A Note on REIT Bankruptcy and Intra-Industry Information Transfers: An Empirical Analysis

In this article, we review the capital markets’ response to the bankruptcy of Residential Resources (Res Res), a Real Estate Investment Trust (REIT), less than a year after its initial public offering in 1988. We find a significant event day value decline for a broad portfolio of REITs.

Journal Article

Momentum in Japan: The Exception That Proves the Rule

Momentum strategies have been notable successes in most places researchers have looked.

Journal Article

Fact, Fiction and Momentum Investing

Momentum is the phenomenon that securities that have performed well relative to peers (winners) on average continue to outperform, and securities that have performed relatively poorly (losers) tend to continue to underperform.

Journal Article

Contrarian Factor Timing is Deceptively Difficult

The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors and fears of imminent mean-reversion and underperformance.

Journal Article

Leverage Aversion and Risk Parity

In recent years, a new approach to asset allocation called risk parity (RP) has been gaining in popularity among practitioners.

Journal Article

OAS Models, Expected Returns and a Steep Yield Curve

An upward-sloping yield curve indicates that either investors expect rates to rise or they require a higher expected return on longer-term securities.

Journal Article

The Great Divide

The Nobel committee recently recognized work on the Efficient Market Hypothesis with a dramatic splitting of the prize between EMH pioneer Eugene Fama and EMH critic Robert Shiller.

Journal Article

Reflections After the 2011 Equity Risk Premium Colloquium

Ten years after the technology bubble, some unsubstantiated beliefs remain.

Journal Article

Investing with Style

Investors are bombarded with a variety of investment strategies and alternatives from an ever-growing and increasingly complex financial industry, each claiming to improve returns and reduce risk.

Journal Article

My Top 10 Peeves

Certain things said or done in our industry or said about our industry that have bugged me for years.