Firm-to-firm financial linkages and dollar risk transmission
Currency risk can travel through business relationships, not just through a company’s own debt.
What Daily Stock Returns Tell Us About the Economy
One of the most enduring puzzles in finance is the apparent disconnect between Wall Street and Main Street—markets sometimes soar while the underlying economy stumbles, [...]
Can ChatGPT Forecast Stock Price Movements?
Large language models were not originally designed to forecast financial markets. Yet their ability to interpret context and synthesize complex information raises an important question: Can a general-purpose model such as ChatGPT anticipate stock-price reactions to corporate news?
Good Idea or Bad Idea: Private equity for pension plans?
A high private equity return may reflect genuine manager skill, compensation for bearing greater risk, or simply access to investments unavailable to other investors. This paper develops an investor-specific framework for separating these explanations and applies it to U.S. public pension plans.
Fintech plus Education equals better outcomes for consumers
This paper asks an important question. How do financially inexperienced people actually learn to use a new financial technology?
VIX and Trend Following Revisited: Nearly a Decade of Out-of-Sample Evidence
We revisit our 2017 VIX-adjusted trend-following model with nearly nine years of out-of-sample ETF data. The Top 1 edge survived; Top 2 did not.
AI should assist advisors, but AI is NOT a fiduciary
Large language models can generate investment recommendations instantly. They can process client profiles, summarize market conditions, and produce polished rationales that sound personalized. But there is an important question underneath the fluency. Are these systems actually integrating the full client profile when they make decisions?
Skewness as a Hidden Driver of Anomaly Returns
Behavioral finance research has established that investors dislike negative skewness because it exposes them to rare but severe losses, while they embrace positive skewness because [...]
Family and friends: The most important source of financial advice?
Survey evidence shows that investors rely on family and friends for investment guidance almost as much as they rely on professional financial advisors.
Flying below the radar: Insider trading by executives below the top
Insider trading is usually framed around CEOs, board members, and officially designated insiders. These are the people regulators monitor closely. But modern corporations contain many other employees with access to valuable information. This paper studies whether these “below-the-top” executives trade profitably on material non-public information.
Cashless payment and financial inclusion
Digital payment systems are not just transaction infrastructure. They are information systems that can reshape credit markets.
Two Accounting Anomalies: One May Be Risk, the Other Is Mispricing
Accounting anomalies are dynamic, and the ultimate interpretation depends on sample period, market structure, and the pricing model used.
The Intramonth Momentum Cycle
Momentum profits are largely driven by institutional cash-management mechanics. Specifically, investors needing settled cash before month-end systematically sell their losers. And this predictable “dash-for-cash” creates a highly concentrated momentum effect during just six trading days every month.
Bonds Seem to Not Diversify Anymore. Now What?
Bonds are doing something they haven't done in decades: consistently correlating to stocks, all while delivering disappointing returns. So is the 60/40 portfolio dead? We examine AQR's latest article, where Cliff Asness, Daniel Villalon and Antti Ilmanen argue that a positive stock-bond correlation is a terrible reason to add more equity risk to your portfolio. Using 100 years of data, we test whether bonds ever truly diversified stocks, how the post-2022 positive stock-bond correlation changes the math, and why cash may not be such a bad alternative to bonds in a stock portfolio.
Financial literacy and financial crime: A regression discontinuity approach
Financial crime is often treated as a matter of enforcement. People break rules, courts prosecute, and regulators respond. But in reality, financial crime can also [...]
The Impressive Markets Hypothesis: Prices Still Know the Future
Markets are not perfect. Anomalies exist. But the idea that social media and information overload have fundamentally broken the relationship between prices and business fundamentals doesn’t survive contact with 20 years of data.
Why Retail Loves SpaceX: A Puzzle with a Long History and Predictable Ending
As I'm writing this, the largest IPO in history is underway. SpaceX, which targeted a $135 IPO price, closed above $160 in its first trading day, making Elon Musk the world's first trillionaire and SpaceX the sixth largest public company in the world. Talk about a rocket ship! While the numbers are astonishing, the story is the same. Retail loves expensive stocks that tell a story.
Extrapolators and contrarians: Forecast bias and individual investor stock trading
Forecast bias is not just about stated beliefs. It shows up directly in individual stock selection.
Dividend Timing and Global Dividend Premium
Dividend-paying stocks outperform non-payers by a meaningful margin, even after controlling for traditional global and regional risk factors.
The Factor Zoo Has Hundreds of Animals — But Only a Handful of Species
Only a few truly distinct forces actually drive the market. The problem: too many factors, too little meaning.