Presentation Files

Bond Pricing, Monetary Policy and Interest Rate Dynamics

Dr. Burton Hollifield is Professor of Financial Economics at the Tepper School of Business at Carnegie Mellon University. He has been at Carnegie Mellon University since 1998.  Prior to this time, he was Assistant Professor of Finance at University of British Columbia. Professor Hollifield’s research focuses on market microstructure, asset…

Behavioral Measures of Expected Market Returns

Presentation Summary: The impact of investor behavior on equity pricing has been extensively investigated. The conclusion is that investor behavior significantly impacts individual as well as market-wide equity returns. This study adds to the behavioral investing literature by introducing Strategy Market Barometers that are based on the extent to which…

Behavioral Measures of Expected Market Returns

Presentation Summary: The impact of investor behavior on equity pricing has been extensively investigated. The conclusion is that investor behavior significantly impacts individual as well as market-wide equity returns. This study adds to the behavioral investing literature by introducing Strategy Market Barometers that are based on the extent to which…

Variations on Minimum Variance

Presentation Summary: Analysis shows that the performance of certain minimum variance portfolios can provide an after-transaction-costs annual return significantly higher than the S&P 500 with much less volatility. Leveraging our style-based US Fundamental Risk Model, we demonstrate how the minimum variance portfolio can be used in combination with style tilts.…

Download Attachments

Investors’ Horizons and the Amplification of Market Shocks (Presentation)

After severe negative market shocks, institutional investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on the prices of stocks held by short horizon investors. We test the…

Investors’ Horizons and the Amplification of Market Shocks (Paper)

After severe negative market shocks, institutional investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on the prices of stocks held by short horizon investors. We test the…