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Journal Article

The Effects of Stock Lending on Security Prices

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

Journal Article

Momentum Crashes

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

Confronting Information Asymmetries: Evidence from Real Estate Markets

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

Working Paper

More Banks, Less Crime? The Real and Social Effects of Bank Competition

Using a unique sample of commercial loans and mergers between large banks, this paper provides microlevel (within-county) evidence linking credit conditions to economic development and finds a spillover effect on crime.

Journal Article

An Analysis of Covariance Risk and Pricing Anomalies

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.

Working Paper

The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?

Entrepreneurs tend to concentrate investments in private equity. However, research shows that private equity returns are generally no higher than the market return on all publicly traded equity. We delve into explanations for this here.

Journal Article

Fact, Fiction, and the Size Effect

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.

Working Paper

The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century

The authors review the development of financial regulation through the lens of U.S. state usury laws in the 19th century. Among other things, they find evidence that lending activity was affected by rate ceilings.

Journal Article

Home Bias at Home: Local Equity Preference in Domestic Portfolios

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

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