This paper introduces a novel hypothesis in the context of share buybacks, proposing the existence of a "Free Lunch" phenomenon associated with the use of specific execution products. The hypothesis posits that these products can generate consistently positive fees, offering a consistent return...

This hypothesis paper explores a potential anomaly within the realm of share buybacks, positing an inevitable brokerage outperformance due to temporal optionality. The hypothesis under examination is that brokerage firms, regardless of stock price movements, can consistently outperform due to...

This paper presents a robust analysis of temporal optionality in share buyback executions, shedding light on a significant empirical anomaly and providing a novel value optimization approach. Through empirical studies, we discern an intriguing pattern in trading schedules that aligns with the...

<p>I discuss a new intellectual paradigm, social economics and finance: the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, underexploited building block of social economics and finance is...</p>

<p>This document contains presentation slides for the American Finance Association's Presidential Address of January 4, 2020. The address is based on the paper "Social Transmission Bias in Economics and Finance."</p><p>The paper: "https://ssrn.com/abstract=3550880" https://ssrn.com/abstract=3550880...</p>

<p>I discuss a new intellectual paradigm, social economics and finance: the study of the social processes that shape economic thinking and behavior. This emerging field recognizes that people observe and talk to each other. A key, underexploited building block of social economics and finance is...</p>

The objective of this paper is to examine the absolute and risk-adjusted effects on distribution rates and total wealth created by adding loss-limiting trend following strategies to buy and hold portfolios. Using 150 years of equity and bond data, we found that applying trend following to...

In recent weeks and months, a number of market commentators have drawn comparisons between the prevailing economic landscape and previous financial crises, episodes and events. These have ranged from talk of a new ‘Volcker Shock’ to a repeat of the 1987 stockmarket crash, the dot.com burst...

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...