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Journal Article

The Effects of Stock Lending on Security Prices

October 1, 2013 - Steven N. Kaplan Tobias J. Moskowitz Berk A. Sensoy

The impact of short selling is the subject of an ongoing debate among academics, investment committees, corporate boards, and regulators.

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.

Journal Article

Testing Agency Theory With Entrepreneur Effort and Wealth

March 2, 2005 - Marianne P. Bitler Tobias J. Moskowitz Annette Vissing-Jørgensen

We apply agency theory to an entrepreneurial setting by augmenting the standard principal-agent framework.We then test the model’s implications using unique data on entrepreneurial effort and wealth in privately held firms. In the model, a risk-averse entrepreneur seeking financing wishes to sell part of his equity stake to outside investors concerned with moral hazard.

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.

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

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

Momentum Crashes

September 1, 2016 - Tobias J. Moskowitz

A momentum strategy is a bet that past returns will predict future returns in the cross-section of assets, and is typically implemented by buying past winners and selling past losers.

Journal Article

Fact, Fiction and Momentum Investing

September 23, 2014 - Cliff Asness Andrea Frazzini Ronen Israel Tobias J. Moskowitz

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

Fact, Fiction, and the Size Effect

May 14, 2018 - Ron Alquist Ronen Israel Tobias J. Moskowitz

Despite its long and illustrious history, much confusion about the size effect remains. We examine common claims about the size effect and seek to clarify some of the misunderstanding surrounding it.

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.