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Journal Article

When Everyone Runs for the Exit

The severe consequences for the global economy brought about by the 2008 liquidity crisis highlight the importance of liquidity risk.

Journal Article

Which Trend Is Your Friend?

The academic literature and real-world investors have put forth a whole host of strategies that on the surface appear unique but that are all related to trend-following at a high level.

Journal Article

Demand-Based Option Pricing

Index and equity options are notoriously difficult to price.

Journal Article

Carry

An asset’s “carry” is its expected return assuming that market conditions, including its price, stay the same. We find that carry predicts returns both in the cross section and time series for a variety of different asset classes.

Journal Article

Time Series Momentum

We document an asset pricing anomaly we term “time series momentum,” which is remarkably consistent across very different asset classes and markets.

Journal Article

Buffett's Alpha

[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

Demystifying Managed Futures

Commodity trading advisors (CTAs) managed approximately $320 billion as of the end of the first quarter of 2012, running “managed futures” funds that invest long or short in futures contracts on a variety of commodities, such as metals, grains, cotton and other physical goods, as well as futures and forwards on equity indices, Treasury bonds and currencies.

Journal Article

How Sovereign Is Sovereign Credit Risk?

Is sovereign credit risk primarily a country-specific type of risk, or is it driven by global macroeconomic forces external to the country? Understanding the nature of sovereign credit risk is of key importance given the large and rapidly increasing size of the sovereign debt markets.

Journal Article

Over-the-Counter Markets

This paper lays out a theory of asset pricing and market making based on search and bargaining.

Journal Article

Valuation in Over-the-Counter Markets

We document the impact on asset prices of search-and-bargaining frictions in over-the-counter markets.