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Perspective

Please Stop Talking About the VIX So Much

It has become quite commonplace to note that the VIX (the CBOE Volatility Index) is currently very low and to worry about it. But Cliff tends to think there's less to worry about than most.

Perspective

Wild but Not Crazy

Just how volatile was the recent market ride? Cliff Asness puts the volatility into perspective in terms of both its absolute and surprise levels.

Perspective

Efficient Frontier “Theory” for the Long Run

Financial theory has taken a lot of abuse recently, specifically some of the basic tenets of modern portfolio theory. We think it's better to step back and judge ideas over the long-term and we show why.

Interview

Words from the Wise: An Interview with Richard Thaler

Richard Thaler, a founding father of behavioral finance and the 2017 recipient of the Nobel Prize in Economics, discusses his pioneering research, including how our behaviors influence decision making and investing and what to do about it.

Journal Article

Macro to Micro: Country Exposures, Firm Fundamentals and Stock Returns

In an increasingly interconnected global system of economic and financial markets, understanding the macroeconomic landscape is important.

Journal Article

Asset Pricing With Liquidity Risk

This paper presents a simple theoretical model that helps explain how asset prices are affected by liquidity risk — the inability to find buyers or sellers of securities at will — and commonality in liquidity. This liquidity-adjusted capital asset pricing model (CAPM) provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices.

Journal Article

Asset Reliability and Security Prices Evidence From Credit Markets

This paper explores the relation between the reliability of an enterprise’s accounting and its security prices.

Journal Article

The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing

Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.

Journal Article

Covered Calls Uncovered

Journal Article

Markets in Crisis

History has not dealt kindly with investors in the aftermath of protracted periods of low-risk premiums.