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04/2015, ISBN 0691196095, 369
Efficiently Inefficient describes the key trading strategies used by hedge funds and demystifies the secret world of active investing. Leading financial... 
Investment analysis | Finance & Accounting | Liquidity (Economics) | Capital market | Investments | Portfolio management | Securities--Prices | Economics | Prices | Finance | Securities
eBook
2013, ISBN 0521191769, xiv, 277
This book presents the theory and evidence on the effect of market liquidity and liquidity risk on asset prices and on overall securities market performance.... 
Prices | Liquidity (Economics) | Securities
Book
Econometrica, ISSN 0012-9682, 11/2005, Volume 73, Issue 6, pp. 1815 - 1847
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 07/2019, Volume 133, Issue 1, pp. 154 - 174
We characterize when physical probabilities, marginal utilities, and the discount rate can be recovered from observed state prices for several future time... 
Recovery | Asset pricing | Pricing kernel | Predicting returns | BUSINESS, FINANCE | LONG-TERM RISK | PRICES | OPTION | FEARS | AVERSION | ECONOMICS | Economic policy | Discount rates | Business schools | Analysis | Pricing | Assets | Discounts | Probability distribution
Journal Article
Review of Accounting Studies, ISSN 1380-6653, 03/2019, Volume 24, Issue 1, pp. 34 - 112
We define quality as characteristics that investors should be willing to pay a higher price for. Theoretically, we provide a tractable valuation model that... 
Profitability | Accounting variables | Growth | Valuation | Quality | Safety | Analyst forecasts | PRICE | PERSISTENCE | RETURNS | RISK | WINNERS | CROSS-SECTION | BUSINESS, FINANCE | EXPECTATIONS | FINANCIAL RATIOS | SHARE ISSUANCE | Prices and rates | Stocks | Analysis
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 07/2019
Journal Article
Financial Analysts Journal, ISSN 0015-198X, 02/2018, Volume 74, Issue 1, pp. 21 - 36
I challenge William F. Sharpe's famous equality that "before costs, the return on the average actively managed dollar will equal the return on the average... 
BUSINESS, FINANCE | COST | MARKET LIQUIDITY | Fees & charges | Prices | Costs | Investment advisors | Aggregates | Demand curves | Equality | Equilibrium
Journal Article
Financial Analysts Journal, ISSN 0015-198X, 09/2018, Volume 74, Issue 4, pp. 35 - 55
Journal Article
The Journal of Finance, ISSN 0022-1082, 08/2018, Volume 73, Issue 4, pp. 1663 - 1712
ABSTRACT We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an... 
LIMITS | BUSINESS, FINANCE | COSTS | MUTUAL FUND PERFORMANCE | SKILL | SEARCH | PERSISTENCE | COMPETITION | HEDGE FUNDS | ECONOMICS | INFORMATION ACQUISITION | AGGREGATION | Financial management | Conferences and conventions | Business schools | Portfolio management | Investment advisors | Asset management
Journal Article
Financial Analysts Journal, ISSN 0015-198X, 09/2018, Volume 74, Issue 4, pp. 35 - 55
Warren Buffett's Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant alpha to traditional risk factors. The alpha became insignificant,... 
BUSINESS, FINANCE | RETURNS | Annual reports | Efficient markets | Stock exchanges | Investments | Volatility | Data bases | Success
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 07/2018, Volume 31, Issue 7, pp. 2729 - 2773
Abstract Based on high-frequency data for more than fifty commodities, currencies, equity indices, and fixed-income instruments spanning more than two decades,... 
ANYTHING BEAT | BUSINESS, FINANCE | PREDICTABILITY | TRANSACTION COSTS | EXPECTED STOCK RETURNS | INFORMATION | MIDAS REGRESSIONS | ECONOMIC VALUE | TIME-SERIES | INVESTOR SENTIMENT | ECONOMICS | GARCH MODEL
Journal Article
Journal of Economic Theory, ISSN 0022-0531, 09/2016, Volume 165, p. 487
  We show how portfolio choice can be modeled in continuous time with transitory and persistent transaction costs, multiple assets, multiple signals predicting... 
Studies | Economic models | High frequency trading | Transaction costs | Equilibrium
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 08/2016, Volume 121, Issue 2, p. 278
  A classic result by Merton (1973) is that, except just before expiration or dividend payments, one should never exercise a call option and never convert a... 
Studies | Decision making models | Short sales | Cost reduction | Put & call options | Convertible bonds | Transaction costs
Journal Article
Journal of financial economics, ISSN 0304-405X, 08/2016, Volume 121, Issue 2, pp. 278 - 278
A classic result by Merton (1973) is that, except just before expiration or dividend payments, one should never exercise a call option and never convert a... 
Studies | Decision making models | Short sales | Cost reduction | Put & call options | Convertible bonds
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 02/2018, Volume 127, Issue 2, p. 197
We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security's expected return is decomposed into its... 
Studies | Rates of return | Risk premiums | Asset management
Journal Article
Journal of financial economics, ISSN 0304-405X, 01/2014, Volume 111, Issue 1, pp. 1 - 25
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central... 
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 01/2014, Volume 111, Issue 1, p. 1
  We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five... 
Studies | Economic models | Gambling | Asset allocation | Investment policy | Rates of return | Predictions
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 01/2014, Volume 111, Issue 1, pp. 1 - 25
We present a model with leverage and margin constraints that vary across investors and time. We find evidence consistent with each of the model's five central... 
Liquidity | Asset prices | Margin requirements | CAPM | Leverage constraints | Beta | G11 | G01 | G12 | G15 | G14 | PERFORMANCE | MULTIVARIATE TESTS | ASSET-PRICING ANOMALIES | CROSS-SECTION | CONSISTENT COVARIANCE-MATRIX | BUSINESS, FINANCE | EXPECTED STOCK RETURNS | CONSTRAINTS | ECONOMICS | HETEROSKEDASTICITY | CAPITAL MARKET EQUILIBRIUM | LIQUIDITY RISK | Treasury securities | Analysis
Journal Article
The Review of Financial Studies, ISSN 0893-9454, 6/2009, Volume 22, Issue 6, pp. 2201 - 2238
We provide a model that links an asset's market liquidity (i.e., the ease with which it is traded) and traders' funding liquidity (i.e., the ease with which... 
Funding | Financiers | Speculators | Hedge funds | Liquidity | Financial securities | Capital investments | Capital markets | Funding liquidity | Financial margins | BANK RUNS | STOCK RETURNS | BUSINESS, FINANCE | PRICES | EQUILIBRIUM | CYCLES | DEPOSIT INSURANCE | RISK | ARBITRAGE | COMMONALITY | LEVERAGE | Studies | Investors | Economic theory | Assets | Models
Journal Article
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