Campbell R. Harvey

Journal Article Journal of International Business Studies · September 1, 2024 Over the last decade, the green shoots of a new economic order have emerged as decentralized technologies challenge traditional financial systems. Decentralized finance (DeFi) holds the potential to transform international business (IB) by offering accessi ... Full text Cite

Foreword to how to conduct qualitative research in finance

Journal Article How to Conduct Qualitative Research in Finance · July 23, 2024 Full text Cite

Breaking Bad Trends

Journal Article Financial Analysts Journal · January 1, 2024 We document and quantify the negative impact of trend breaks (i.e., turning points in the trajectory of asset prices) on the performance of standard monthly trend-following strategies across several assets and asset classes. In the years of the US economy’ ... Full text Cite

Eggs in a Basket: Harry Markowitz's Contribution and How I Achieved Erdős 3

Journal Article Journal of Portfolio Management · January 1, 2024 How many times have you heard: "Don't put all your eggs in one basket"in reference to stock investments? That is Harry Markowitz's foundational contribution. Many of my research ideas were a direct result of his insights. In his famous 1952 paper, Markowit ... Full text Cite

Emerging equity markets in a globalized world

Journal Article Emerging Markets Review · September 1, 2023 Does the globalization process of the past 25 years obviate the need to segregate global equities into developed and emerging market buckets? We argue the answer is no. Emerging equity markets differ in a statistically significant fashion from developed ma ... Full text Cite

Momentum turning points

Journal Article Journal of Financial Economics · September 1, 2023 We use slow and fast time-series momentum to characterize four stock market cycles—Bull, Correction, Bear, and Rebound. The steep market declines of Bears concentrate in high-risk states, yet predict negative expected returns, which is difficult to rationa ... Full text Cite

Conditional Skewness in Asset Pricing: 25 Years of Out-of-Sample Evidence

Journal Article Critical Finance Review · August 8, 2023 Much attention is paid to portfolio variance, but skewness is also important for both portfolio design and asset pricing. We revisit the empirical research on systematic skewness that we initiated 25 years ago. We analyze the out-of-sample evidence for the ... Full text Cite

Is Sector Neutrality in Factor Investing a Mistake?

Journal Article Financial Analysts Journal · January 1, 2023 Stock characteristics have two sources of predictive power. First, a characteristic might be valuable in identifying high or low expected returns across industries. Second, a characteristic might be useful in identifying individual stock expected returns w ... Full text Cite

Corporate culture: Evidence from the field

Journal Article Journal of Financial Economics · November 1, 2022 Ninety-two percent of the 1348 North American executives we survey believe that improving corporate culture would increase firm value. A striking 84% believe their company needs to improve its culture. But how can that be achieved? Our paper provides some ... Full text Cite

An Investor’s Guide to Crypto

Journal Article Journal of Portfolio Management · November 1, 2022 The authors provide practical insights for investors seeking exposure to the growing cryptocurrency space. Today, crypto is much more than just bitcoin, which historically dominated the space but accounted for just a 31% share of total crypto trading volum ... Full text Cite

The Term Structure and World Economic Growth: A Retrospective and 30 Years of Out-of-sample Evidence

Journal Article Journal of Fixed Income · September 1, 2022 The inaugural issue of The Journal of Fixed Income led with an article by a junior professor at Duke University (me) who linked the slope of the yield curve-the difference between long-term and short-term yields-to future economic growth. Thirty years late ... Full text Cite

Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence

Journal Article Journal of Finance · June 1, 2022 While Kosowski et al. (2006, Journal of Finance 61, 2551–2595) and Fama and French (2010, Journal of Finance 65, 1915–1947) both evaluate whether mutual funds outperform, their conclusions are very different. We reconcile their findings. We show that the F ... Full text Cite

Unpatented innovation and merger synergies

Journal Article Review of Accounting Studies · June 1, 2022 The increasingly service-based U.S. economy relies on innovation. While there is considerable research on the importance of certain innovative activities, such as patents, less attention has been paid to unpatented innovation, about which there is naturall ... Full text Cite

Quantifying Long-Term Market Impact

Journal Article Journal of Portfolio Management · February 1, 2022 Impact costs occur when large buy or sell orders move market prices. The measurement of these costs is crucial for the evaluation of potential trading strategies and the successful execution of systematic investment strategies. However, common approaches s ... Full text Cite

Lucky factors

Journal Article Journal of Financial Economics · August 1, 2021 Identifying the factors that drive the cross-section of expected returns is challenging for at least three reasons. First, the choice of testing approach (time series versus cross-sectional) will deliver different sets of factors. Second, varying test port ... Full text Cite

The best strategies for inflationary times

Journal Article Journal of Portfolio Management · August 1, 2021 Over the past three decades, a sustained surge in inflation has been absent in developed markets. As a result, investors face the challenge of having limited experience and no recent data to guide the repositioning of their portfolios in the face of height ... Full text Cite

Reports of Value’s Death May Be Greatly Exaggerated

Journal Article Financial Analysts Journal · January 1, 2021 Value investing, as defined by the Fama–French high book-to-market minus low book-to-market (HML) factor, has underperformed growth investing since 2007, producing a drawdown of 55% as of mid-2020. The underperformance has led many market observers to argu ... Full text Cite

Gold, the Golden Constant, and Déjà Vu

Journal Article Financial Analysts Journal · October 23, 2020 Currently, the real, or inflation-adjusted, price of gold is almost as high as it was in January 1980 and August 2011. Since 1975, periods of high real gold prices have occurred during periods of elevated concern about high future price inflation. Five yea ... Full text Cite

False (and Missed) Discoveries in Financial Economics

Journal Article Journal of Finance · October 1, 2020 Multiple testing plagues many important questions in finance such as fund and factor selection. We propose a new way to calibrate both Type I and Type II errors. Next, using a double-bootstrap method, we establish a t-statistic hurdle that is associated wi ... Full text Cite

Drawdowns

Journal Article Journal of Portfolio Management · September 1, 2020 Common risk metrics reported in academia include volatility, skewness, and factor exposures. The maximum drawdown statistic is rarely calculated, perhaps because it is path dependent and estimated with greater uncertainty. In practice, however, asset manag ... Full text Cite

An Evaluation of Alternative Multiple Testing Methods for Finance Applications

Journal Article Review of Asset Pricing Studies · June 1, 2020 In almost every area of empirical finance, researchers confront multiple tests. One high-profile example is the identification of outperforming investment managers, many of whom beat their benchmarks purely by luck. Multiple testing methods are designed to ... Full text Cite

Strategic Rebalancing

Journal Article Journal of Portfolio Management · June 1, 2020 A mechanical rebalancing strategy, such as a monthly or quarterly reallocation toward fixed portfolio weights, is an active strategy. Winning asset classes are sold, and losers are bought. During crises, when markets are often trending, this can lead to su ... Full text Cite

Understanding Cryptocurrencies

Journal Article Journal of Financial Econometrics · March 1, 2020 Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own national crypto ... Full text Cite

Editorial: Replication in financial economics

Journal Article Critical Finance Review · December 17, 2019 All of the top general-purpose economics journals have a data and code-sharing policy. As of this writing, the Journal of Finance has a code-sharing policy, the Journal of Financial Economics (JFE) requires authors to share code if the results are challeng ... Full text Cite

A Backtesting Protocol in the Era of Machine Learning

Journal Article Journal of Financial Data Science · December 1, 2019 Full text Cite

Modeling Analysts’ Recommendations via Bayesian Machine Learning

Journal Article Journal of Financial Data Science · December 1, 2019 Full text Cite

A view inside corporate risk management

Journal Article Management Science · November 1, 2019 Why do firms manage risk? According to various theories, firms hedge to mitigate credit rationing, to alleviate information asymmetry, and to reduce the risk of financial distress. However, empirical support for these theories is mixed. Our paper addresses ... Full text Cite

Cross-sectional alpha dispersion and performance evaluation

Journal Article Journal of Financial Economics · November 1, 2019 Our paper explores the link between cross-sectional fund return dispersion and performance evaluation. The foundation of our model is the simple intuition that in periods of high return dispersion, which is associated with high levels of idiosyncratic risk ... Full text Cite

The best of strategies for the worst of times: Can portfolios be crisis proofed?

Journal Article Journal of Portfolio Management · July 1, 2019 In the late stages of long bull markets, a popular question arises: What steps can an investor take to mitigate the impact of the inevitable large equity correction? Hedging equity portfolios is notoriously difficult and expensive. In this article, the aut ... Full text Cite

Alice’s adventures in Factorland: Three blunders that plague factor investing

Journal Article Journal of Portfolio Management · April 1, 2019 Full text Cite

The Theory and Practice of Corporate Risk Management: Evidence from the Field

Journal Article Financial Management · December 1, 2018 We survey more than 1,100 risk managers from around the world regarding their risk management policies. We find evidence consistent with some traditional theories of risk management, but not with all. We then study “why” or “why not” firms hedge and find t ... Full text Cite

The impact of volatility targeting

Journal Article Journal of Portfolio Management · September 1, 2018 Full text Cite

Detecting repeatable performance

Journal Article Review of Financial Studies · July 1, 2018 Past fund performance does a poor job of predicting future outcomes. The reason is noise. Using a random effects framework, we reduce the noise by pooling information from the cross-sectional alpha distribution to make density forecasts for each individual ... Full text Cite

How to write an effective referee report and improve the scientific review process

Journal Article Journal of Economic Perspectives · December 1, 2017 Full text Cite

Presidential Address: The Scientific Outlook in Financial Economics

Journal Article Journal of Finance · August 1, 2017 ABSTRACT: Given the competition for top journal space, there is an incentive to produce “significant” results. With the combination of unreported tests, lack of adjustment for multiple tests, and direct and indirect p-hacking, many of the results being pub ... Full text Cite

Man vs. machine: Comparing discretionary and systematic hedge fund performance

Journal Article Journal of Portfolio Management · June 1, 2017 In this article, the authors analyze and contrast the performance of discretionary and systematic hedge funds. Systematic funds use rules-based strategies, with little or no daily intervention by humans. In the authors' experience, some large allocators sh ... Full text Cite

The management of political risk

Journal Article Journal of International Business Studies · May 1, 2017 We explore a long-standing prediction in the international business literature that managers' subjective perceptions of political risk - not just the level of risk - are important for how firms manage political risk. The importance attributed to political ... Full text Cite

Economic and financial integration in Europe

Journal Article CESifo DICE Report · January 1, 2017 We use industry valuation differentials across European countries to study the impact of membership in the European Union as well as the Eurozone on economic and financial integration. In integrated markets, discount rates and expected growth opportunities ... Cite

The misrepresentation of earnings

Journal Article Financial Analysts Journal · January 1, 2016 The authors conducted a survey of nearly 400 chief financial officers on the definition and drivers of earnings quality, with an emphasis on the prevalence and detection of earnings misrepresentation. The respondents believe that the hallmarks of earnings ... Full text Cite

Conquering Misperceptions about Commodity Futures Investing

Journal Article Financial Analysts Journal · January 1, 2016 Long-only commodity futures returns have been very disappointing over the last decade, leading some to wonder whether investing in commodities was a mistake. The poor performance is largely the result of poor “income returns,” a return building block simil ... Full text Cite