Department: Business.

Using a simulation analysis based on historical U.S. stock market returns, we assess the total tax burden (federal plus state) of active portfolio management. Our results show that taxes can erode a large portion of the profits, even for moderately intense trading strategies where the capital...

We study the relative diversification potential of American Depository Receipts (ADRs) as compared to the underlying shares as well as the relative diversification potential of closed-end country funds as compared to the foreign market indexes across various economic conditions. We find that,...

We analyze trading strategies involving triple-leveraged and inverse triple-leveraged ETF pairs by simulating daily returns over a 48 year period. Our results show that many such strategies significantly outperform the S&P 500 on a risk-adjusted basis. The Sharpe ratio appears to be maximized...

This paper contributes to the corporate governance literature and bears implications for the regulation of insider trading. I examine whether the double-counting of reported trading volume on Nasdaq plays a role in insiders' decisions to move their firms. Specifically, since volume on Nasdaq is...

We examine whether average country-level stock market correlation is related to global equity returns. Previous research focusing on the U.S. suggests that average firm-level correlation captures some of the risk not accounted for by other variables and is positively related to returns on the...

This paper shows that the relationships between sensitivity to changes in aggregate volatility and expected return on stocks documented by Ang et al. (2006) for the fifteen-year period from 1986 to 2000 have disappeared in the following fifteen-year period. Aggregate volatility betas in the...

This paper examines the performance of investment strategies involving leveraged and inverse leveraged ETF pairs. As in Jiang and Peterburgsky's (2017) simulation analysis, the empirical analysis in this paper indicates that simple portfolios of bull/bear short positions constructed to...

I investigate whether investors prefer stocks with more linguistically fluent tickers (MAK, SOM) to those with less linguistically fluent tickers (WQH, JZU) in an experimental setting. Consistent with investor rationality, survey results indicate that, for both riskless and risky investments,...

Using a procedure analogous to that of Ang et al. (2006), this paper documents that aggregate volatility risk does not appear to be priced in European equity markets. Specifically, based on the 2002-2016 period (for which European stock return data is available), the price of aggregate...