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Journal Article

Dynamic Trading With Predictable Returns and Transactions Costs

Active investors and asset managers — such as hedge funds, mutual funds and proprietary traders — try to predict security returns and trade to profit from their predictions.

Journal Article

On the Distribution of Financial Futures Price Changes

Among the victims of the October 1987 market crash were the popular and convenient assumptions of nearly continuous and normally distributed price change processes.

Journal Article

Trading Patterns and Excess Comovement of Stock Returns

In April 2000, 30 stocks were replaced in the Nikkei 225 Index.

Journal Article

To Trade or Not to Trade? Informed Trading With Short-Term Signals for Long-Term Investors

One of the great frustrations in the asset management profession is to watch trading costs render useless a signal that predicts near-term returns beautifully.

Working Paper

Trading Costs

Using live trade data from a large institutional money manager over a 19-year period, we find actual trading costs to be an order of magnitude smaller than previous studies suggest.

Working Paper

Trading Costs of Asset Pricing Anomalies

We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several of the main asset pricing anomalies documented in the literature.

Perspective

High-Frequency Derangement Syndrome

Commentators are still blaming the wrong strategies for the recent market rout.

Perspective

My Factor Philippic

Cliff critiques Arnott, et. al. (2016) and emprically shows why one should be wary of agressive factor timing. Instead, investors should identify factors they believe in, and stay diversified across them, unless valuations get far more extreme

Perspective

Resisting the Siren Song of Factor Timing

It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.

Journal Article

Predatory Trading

Large traders fear a forced liquidation, especially if their need to liquidate is known by other traders.