Liquidity—the ability to buy and sell significant quantities of a given asset quickly, at low cost, and without a major price concession—is valuable to investors. Therefore, they demand a premium as compensation for the greater [...]
Arnold Polanski, Evarist Stoja, Frank WindmeijerJournal of Applied Econometrics, 2019A version of this paper can be found here.Want to read our summaries of academic finance papers? Check out our Academic Research Insight category What are [...]
Gold, the Golden Constant, COVID-19, "massive Passives," and Déjà Vu Claude Erb, Campbell R. Harvey, Tadas ViskantaA version of this paper can be found here.Want to read our summaries of academic finance papers? Check out [...]
Some Observations on Trend Following: A Binomial Perspective David M. ModestWorking Paper, QLS Partners LPA version of this paper can be found hereWant to read our summaries of academic finance papers? Check out our Academic Research [...]
Richard D.F. Harris , Linh H. Nguyen and Evarist Stoja Journal of International Financial Markets, Institutions, and Money, 2019A version of this paper can be found hereWant to read our summaries of academic finance papers? Check [...]
It has been well documented both that stock returns have much fatter tails than a normal distribution would generate, and that tail events occur much more frequently than a normal curve would predict.[ref]editor's note: This [...]
Given the recent market decline, we thought it would be helpful to review some of our blog posts from the past that may be relevant to the current crisis atmosphere. These posts focus on research [...]
The Best of Strategies for the Worst of Times: Can Portfolios Be Crisis Proofed? Campbell R. Harvey, Edward Hoyle, Sandy Rattray, Matthew Sargaison, Dan Taylor, and Otto Van Hemert The Journal of Portfolio Management A [...]
Pathetic Protection: the Elusive Benefits of Protective Puts Roni Israelov Journal of Alternative Investments, Winter 2019 A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category [...]
