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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

Balancing on the Life Cycle: Target Date Funds Need Better Diversification

Traditional life-cycle strategies have some serious shortcomings.

Journal Article

Parallels Between the Cross-Sectional Predictability of Stock and Country Returns

Firm characteristics such as book-to-market ratio, market equity and one-year past return help explain the cross-section of average returns on U.S.

Journal Article

Political Risk in Emerging and Developed Markets

The often-observed link between dramatic political events and large market moves suggests that political risk can affect stock returns.

Journal Article

Style Timing: Value vs. Growth

A large body of academic and industry research supports the efficacy of value strategies for choosing individual stocks.

Trade Publication

Smart Beta: Not New, Not Beta, Still Awesome

Though some confusion continues regarding the subject, the term “smart beta” (including “Fundamental Indexing”) is just a new way to describe some well-known and well-tested investment ideas.

Trade Publication

Alpha Transfer in a Hedge Fund World

In theory, portable alpha is a good idea.

Working Paper

An Anomaly in the Topix-Nikkei Spread

Working Paper

Stock Returns, Inflation and the Volatility of Growth in the Money Supply

A large body of work documents a negative relation between expected nominal stock returns and expected inflation in the U.S. and other developed countries. We think the volatility of expected growth in the money supply is a determinant of this relation.

Journal Article

International Diversification Works (Eventually)

Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.