You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...

The US Treasury effectively ”owns” about 24% of the stocks held by high income US taxable investors. Through the capital gains tax, Uncle Sam has an effective exposure of more than $1 trillion of equities. And this huge-but-silent investor might be about to get a lot bigger if capital gains...

Investors are periodically challenged with this question: with funds ready to invest, but faced with a market that is generally perceived to be expensive, is it better to wait for a market correction before investing? Many investors are certain that a correction must be around the corner, and...

This research analyses high-frequency data of the cryptocurrency market in regards to intraday trading patterns. We study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of return correlations to CRIX (CRyptocurrency IndeX), as well...

We exploit the merger between BlackRock and Barclays Global Investors to study how changes in expected ownership concentration affect the investment behavior of funds and the cross-section of stocks worldwide. We find that funds with open-end structures and a large exposure to commonly-held...

In this work we investigate the determinants of sovereign wealth fund (SWF) investments' stock prices. We focus on the location of the investment (domestic versus cross-border investments) and on the target industry (strategic versus non-strategic). We use a new dataset on SWF investments and...

Volatility is essential to consider uncertainty surrounding investments in financial assets. For this reason, financial industry regulators, mutual fund managers, individual and institutional investors, and policymakers are concerned about volatility. Against this background, this paper...

We study empirically how competition among high-frequency traders (HFTs) affects their trading behavior and market quality. Our analysis exploits a unique dataset, which allows us to compare environments with and without high-frequency competition, and contains an exogenous event - a tick size...