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We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these… Continue Reading
In this article, the authors estimate a model establishing the casual relationships between equity and government bond returns. They show that the relationship between stocks and bonds—whether they… Continue Reading
This paper describes and interprets pathologies associated with long-dated options. Contrary to naive financial intuition, binary calls with almost certain large payoffs may have a value close to… Continue Reading
Recently, liquidity-driven economic policies have mounted a challenge to time-series value investing. In this paper, we examine the risk-return performance of simple value indicators.We find that: 1)… Continue Reading