In this paper we study a simple two-period asset pricing model to understand the implications of uninsurable labor income risk and/or borrowing constraints, limited stock market participation, heterogeneous labor income volatilities, and heterogeneous preferences. We appraise the performance of...

This study examines household portfolio choice through the retirement transition. I show that couples significantly decrease their stock allocations after retirement, whereas singles' allocations remain relatively unchanged. Reallocations are concentrated among couples in which the wife is more...

This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their net asset values (NAV) — comove excessively across ETFs. Excess comovements are positive (negative) and significant across ETFs in similar (distant) investment styles. Further...

Asset allocation strategies which utilize stop-loss and stop-gain rules may dramatically decrease risk and even increase long-term return relative to passive investing. I introduce an asset allocation strategy which shifts portfolio weights based on simplistic stop rules. The two-asset (S&P...

This paper reports significant momentum profits among style portfolios of multiple asset classes. Previous studies have demonstrated style momentum within equity markets. The findings of this paper show that style momentum is not merely an equity market phenomenon, but a cross-asset phenomenon....

Standard risk management approaches fail to consider parameter uncertainty, which has led to improper risk management. Blind faith in parameter estimates has too often led to blind faith in the resulting VAR outputs, and when these estimates are too often exceeded the proposed solution is...

Using a clean sample of private equity placements over the period of 1999 to 2012, we examine the effects of trading restrictions on the discounts on private placements. Classifying various determinants into three categories, namely risk, illiquidity, and marketability, we show that risk and...

In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five-factor model fits better the returns of US sector portfolios than the three factor model, but that...

In this article the authors present an applied portfolio factor model that illuminates the risk and return drivers of broad hedge fund strategies, from the opportunity-cost perspective of a portfolio investor who owns traditional assets. The authors demonstrate how to interpret and use key...

This paper examines the annual risks and returns of three disparate, hypothetical merger arbitrage portfolio strategies as an attempt to capture alpha from an in-sample study of 793 global M&A transactions covering the January 2000 thru December 2016 time period. Previously written and...