Forthcoming Issue
Volume 24, No. 1, First Quarter 2026
-
Article
Do Bubbles Exist? Positive Digital Asset Market Prices are the Definitive Proof
Many economists believe that asset price bubbles don’t exist or that, due to a joint hypothesis, they are difficult if not impossible to empirically validate. This paper dispels this belief by providing definitive proof that bubbles exist for a set of digital assets that have no cash flows and a zero liquidation value, but trade with positive market prices.
-
Article
Target Date Funds: An Analysis of Strategies and Performance
Target date funds (TDFs), which seek to provide a broad demographic of individuals with a long-term retirement investment solution, play a major role in defined contribution (DC) retirement plans, and have also attracted substantial assets from investors in other types of accounts. Further, most DC plan investment menus designate TDFs as the default investment. This paper provides an overview of the strategies and structures of TDFs, as well as current trends among major TDF providers. We also document substantial heterogeneity across TDFs, and provide guidance on how to evaluate the quality of TDFs in light of this heterogeneity.
-
Article
Deleveraging CAPM: Asset Betas vs. Equity Betas
The classic estimates of CAPM equity betas are notoriously unstable. We assume that this is mainly due to changes in firms’ leverage over time. In order to take leverage into account, we propose a new approach where asset correlations among firms are pairwise constant, while equity correlations change over time as a function of the stochastic evolution of firms’ asset values. The paper closes with a simulation that helps to show the model’s features
-
Article
Universe-Gaming and Recommendation-Herding in Aggregate Bonds
In a sample of 154 Aggregate Bond portfolios, fifteen percent have greater Single B credits and outperform. Another third has a greater chance of being recommended to the investor. The former involves gaming, the latter, herding. An investment intermediary penalizes ‘universe-gaming’ but that leads to congregated recommendation for underperforming managers. This asymmetry in utility stresses performance when credit spreads narrow and recommendation when they widen. Larger fund size investors benefit in marginal utility. In down markets investors may select to hold on to ‘out-recommended’ underperformers and sell outperformers, worsening return instability.