Journal articleResearch Policy · September 1, 2026
A decentralized exchange, or DEX, is an application deployed on a blockchain that allows investors to exchange digital assets. We focus on the most prominent type of DEX, an Automated Market Maker (AMM), where at pricing terms are determined by a preset ex ...
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Journal articleResearch Policy · April 1, 2026
A decentralized exchange, or DEX, is an application deployed on a blockchain that allows investors to exchange digital assets. We focus on the most prominent type of DEX, an Automated Market Maker (AMM), where at pricing terms are determined by a preset ex ...
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Journal articleJournal of Portfolio Management · February 1, 2026
We propose a new systematic method for detecting the current economic regime and show how to use this information for predicting returns. Rather than presupposing a set of possible regimes, we rely on economic state variables and determine at which histori ...
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Journal articleFinancial Analysts Journal · January 1, 2026
Conventional growth indices suffer from two important shortcomings. First, stocks that are anti-value (very expensive) are not necessarily growth stocks. The decision to include a stock in a growth index should be based on fundamental growth measures, such ...
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Journal articleLedger · January 1, 2026
Decentralized exchanges (DEXs) present challenges for regulation and investor protection; nevertheless, they also present many opportunities for disintermediation and transparency. We explore the past and present state of DEXs, and argue that regulators ou ...
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Journal articleJournal of Portfolio Management · August 1, 2025
The question of whether, when, and how to hedge foreign exchange (FX) risk has been a vexing one for investors since the end of the Bretton Woods system in 1973. Our study provides a comprehensive empirical analysis of dynamic FX hedging strategies over se ...
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Journal articleManagement Science · April 1, 2025
The advent of cryptocurrencies and digital assets holds the promise of improving financial systems by offering cheap, quick, and secure transfer of value. However, it also opens up new payment channels for cybercrimes. Assembling a diverse set of public on ...
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Journal articleJournal 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 ...
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Journal articleFinancial 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’ ...
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Journal articleJournal 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 ...
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Journal articleEmerging 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 ...
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Journal articleJournal 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 ...
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Journal articleCritical 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 ...
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Journal articleFinancial 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleReview 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleFinancial 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 ...
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Journal articleFinancial 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleReview 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleCritical 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 ...
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Journal articleManagement 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleFinancial 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 ...
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Journal articleReview 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleJournal 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 ...
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Journal articleCesifo 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 ...
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Journal articleFinancial 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 ...
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Journal articleFinancial 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 ...
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