1st Quarter (2021)

Vol. 19, No. 1, 2021 James X. Xiong Substantially increased institutional investing and index trading in the US stock market have a meaningful impact on the mechanical relationship between return comovement and liquidity, which can be quantified by a power-law function and explained by a liquidity supply model. Three well-documented asymmetries (asymmetric volume, asymmetry in non-market… Read more

Vol. 19, No. 1, 2021 Jason D. Fink and Kristin E. Fink While the outperformance of value relative to growth portfolios has been well established, there is still debate over whether this outperformance is the result of a systematic risk factor or a behavioral tendency. The distinction is crucial to determining the expected returns of value-… Read more

Vol. 19, No. 1, 2021 Vineer Bhansali I discuss the demand and supply of negatively yielding bonds, which is a recent and relatively unprecedented phenomenon in financial markets. To understand why one would lend to lose, I classify buyers into three categories, i.e. “forced buyers”, “speculators” and “non-financial government entities”. I conclude that the demand for… Read more

Vol. 19, No. 1, 2021 Keith C. Brown, W. V. Harlow and Hanjiang Zhang We develop a holdings-based statistic to measure the volatility of a fund’s investment style characteristic profile over time. On average, funds with lower levels of style volatility significantly outperform more style-volatile funds on a risk-adjusted basis. We show that style volatility has… Read more