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Journal Article
The Great Divide
January 1, 2014
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
July 1, 2016
Traditional life-cycle strategies have some serious shortcomings.
Journal Article
Parallels Between the Cross-Sectional Predictability of Stock and Country Returns
January 1, 1997
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
May 1, 1996
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
January 1, 2000
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
September 10, 2014
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
January 1, 2002
In theory, portable alpha is a good idea.
Working Paper
Stock Returns, Inflation and the Volatility of Growth in the Money Supply
March 1, 1995
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)
May 1, 2011
Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.