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Journal Article

Confronting Information Asymmetries: Evidence from Real Estate Markets

August 11, 2003 - Mark J. Garmaise Tobias J. Moskowitz

This article examines the importance of asymmetric information in commercial real estate markets in the U.S.

Working Paper

Decision-Making Under the Gambler's Fallacy

March 11, 2015 - Daniel L. Chen Tobias J. Moskowitz Kelly Shue

Reviewing decisions made by judges, loan officers and umpires in high-stakes contexts, we find them to be most consistent with the "gambler's fallacy"—meaning they were based as much on their own previous decisions as on the facts they were weighing.

Journal Article

An Analysis of Covariance Risk and Pricing Anomalies

January 1, 2003 - Tobias J. Moskowitz

Much research has focused on the relation between firm characteristics and mean returns, but this article examines the link between well‐known asset pricing “anomalies” and the covariance structure of returns.

Journal Article

Home Bias at Home: Local Equity Preference in Domestic Portfolios

January 1, 1999 - Joshua D Coval Tobias J. Moskowitz

The strong preference for domestic equities exhibited by investors in international markets, despite the well-documented gains from international diversification, remains an important yet unresolved empirical puzzle in financial economics. Though such behavior appears to be grossly inefficient from a diversification standpoint, academics have offered a variety of explanations for this phenomenon. Home bias explanations can be assigned to two groups: those that rely on national/governmental frictions and those that rely on frictions associated with distance.

Journal Article

Fact, Fiction and Value Investing

November 5, 2015 - Cliff Asness Andrea Frazzini Ronen Israel Tobias J. Moskowitz

Value investing has been a part of the investment lexicon for at least the better part of a century, yet confusion about it remains.

Journal Article

Value and Momentum Everywhere

June 1, 2013 - Cliff Asness Tobias J. Moskowitz Lasse H. Pedersen

We find consistent value and momentum return premia across eight diverse markets and asset classes, and a strong common factor structure among their returns.

Journal Article

Carry

November 7, 2013 - Ralph S. J. Koijen Tobias J. Moskowitz Lasse H. Pedersen Evert B. Vrugt

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

May 1, 2012 - Tobias J. Moskowitz Yao Hua Ooi Lasse H. Pedersen

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

White Paper

A New Core Equity Paradigm

March 1, 2013 - Andrea Frazzini Ronen Israel Tobias J. Moskowitz Robert Novy-Marx

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.

Journal Article

Investing with Style

January 2, 2015 - Cliff Asness Antti Ilmanen Ronen Israel Tobias J. Moskowitz

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.