The equilibrium magnitude of mispricing can be no greater than the cost of arbitraging it away. Yet, mispricing typically arises when the uncertainty about a firm is high, which is precisely when the stock's liquidity is low. This is the case for stocks with high analyst disagreement about...

This is the slide presentation I used to illustrate my comments, as discussant of Peter Muller's quot;Are Hedge Fund Managers Overpaid?quot;, presented at the Journal of Investment Management's 2008 Spring Conference at the New York Stock Exchange

We examine changes in the stock trading behavior and investment performance of 1,607 investors who switch from phone based to online trading during the period 1992 to 1995. We document that young men who are active traders with high incomes and a preference for investing in small growth stocks...

Individual investors who hold common stocks directly pay a tremendous performance penalty for active trading. Of 66,465 households with accounts at a large discount broker during 1991 to 1996, those that traded most earned an annual return of 11.4 percent, while the market returned 17.9 percent....

The financial press makes frequent and bold claims regarding the performance of investment clubs. One oft quoted figure from a National Association of Investment Club survey states that 60 percent of investment clubs beat the market. Are these claims myth or reality?We analyze the common stock...

This paper investigates the determinants of hedge fund portfolio performance - whether hedge funds exhibit security selection skill and market-timing skill. We examine a sample of 157 long-short equity hedge funds over the 10-year period from January, 1996 through December, 2005. To account for...

The validity of CAPM has been contingent on its security market line hypothesis, which asserts that higher-beta-risk assets should carry higher expected returns. Owing to a lack of empirical support for that hypothesis, many have declared CAPM dead. However, by surrogating assets'...

This paper adds to the literature on testing the hypothesis that the expected return premium on the market portfolio is always non-negative. The lower bound restriction is an important element in framing the case against a broad class of risk-based equilibrium models of market returns. Our goal...

Not all bubbles are born equal. We explore the nature and underlying psychology of four different kinds of bubbles, in order to assess which comes closest to describing the current market. To us, the current market environment is largely a greater fool market. Because such markets lack...