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.
Second Chance: Life with Less Student Debt
There is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.
Institutions’ return expectations across assets and time
Institutional investors largely behave in line with rational asset pricing models. Yet at the same time, they strongly disagree with each other, and this disagreement has important implications for markets.
What Drives Investors’ Portfolio Choices? It’s Not What You May Think
Portfolio choices are not driven by preferences alone, they are also shaped by frictions, small costs, inertia, and default options. The result is a subtle but powerful mechanism. What investors hold is not always what they want.
Leader-Follower Dynamics in Shareholder Activism
Activists do not need formal coordination to act together. Instead, they use market signals. Trading itself becomes a way to influence other investors. The result is a subtle but powerful mechanism.
Institutional Investor Attention
Funds that reallocate attention toward macro news when volatility rises perform better. Funds also pay more attention to the stocks they own, and that attention helps them make more valuable position and trading decisions.
Should Your Mom Have Private Equity in Her 401K?
For most investors, private equity may not deliver the promised edge. There is a simpler, more liquid way to access the same economic exposure.
Bank Monitoring with On-Site Inspections
This research shows that when banks closely track how projects evolve and act on new information, they can significantly reduce losses. Even more importantly, the mere presence of monitoring encourages borrowers to behave more responsibly, improving outcomes before problems even arise.
Asset Pricing and Risk-Sharing Implications of Alternative Pension Plan Systems
There is a durable, stock-specific momentum component tied to how prices react to firm news around earnings dates. The result is a cleaner, lower-risk way to capture momentum without leaning so heavily on broad factor moves.
The Many Facets of Stock Momentum: Distinguishing Factor and Stock Components
Stock momentum has long been a workhorse idea. Buy recent winners. Sell recent losers. Critics argue those profits mostly come from riding factor trends like [...]
Face-to-Face Social Interactions and Local Informational Advantage
Some investment edge still depends on trust, nuance, and soft information that does not travel as well through screens.
The Performance of Small Business Investment Companies
Congress created the Small Business Investment Company (SBIC) program in 1958, allowing private funds to invest in small firms using leverage supported by the U.S. Small Business Administration (SBA). The natural concern is whether a government-supported structure sacrifices returns in pursuit of policy goals. This research suggests the opposite.
Increases CAPE Ratio Predictability with a Simple Adjustment
CAPE has long been a cornerstone of long-horizon return forecasting. Critics argue that its predictive power has faded in recent decades. This paper pushes back.
The Best Defensive Strategies: Two Centuries of Evidence
Which defensive strategies have actually worked, and do the conclusions survive when we evaluate them over multiple centuries rather than a few decades?
Fund Selection When Borrowing Is Restricted
Once borrowing is realistically restricted, the Sharpe ratio can stop lining up with what investors actually care about: utility. This paper argues that in this constrained world, the geometric mean is a better compass.
Exploiting Myopia: The Returns to Long-Term Investing
Markets are often assumed to be efficient across horizons, with prices reflecting fundamentals regardless of who holds the asset or for how long. Recent research challenges this assumption by showing that the investment horizon of shareholders itself shapes prices and future returns.
The Stock Market and Bank Risk-Taking
While public listings are often viewed as a sign of strength, scale, or access to capital, recent research suggests a more subtle consequence: going public changes how banks take risk.
Financial Regulation and AI: A Faustian Bargain?
Financial regulation has always faced a trade-off between simplicity and precision. Simple rules are transparent and robust, but often miss where risks actually build up. More sophisticated tools can be more precise, but they are harder to understand, harder to explain, and sometimes change behavior in unexpected ways.
The Secular Decline in Interest Rates and the Rise of Shadow Banks
Over the last 20 years, a massive shift has occurred, with "shadow banks"- non-depository institutions like Quicken Loans -capturing nearly half of all originations. While many attribute this to new technology or post-crisis rules, recent research reveals a deeper economic catalyst: the secular decline in interest rates..