Risk and Return in Segmented Markets with Expertise
Complex assets appear to earn persistent high average returns, and to display high Sharpe ratios – but investor participation is very limited. Eisfeldt, along with co-authors Hanno Lustig and Lei Zhang, provides an explanation for these facts using a model of the pricing of complex securities by risk-averse investors who are subject to asset-specific risk in a dynamic model of industry equilibrium.
Learning Millennial Style
The growing use of online educational content and related video services has changed the way people access education, share knowledge, and possibly make life decisions. Here, Carlin – with co-authors Li Jiang and Stephen A. Spiller – characterizes how video content affects individual decision-making and willingness to share in the context of a personal financial decision.
Volatility Managed Portfolios
Managed portfolios that take less risk when volatility is high produce large, positive alphas and increase factor Sharpe ratios by substantial amounts. Muir, together with co-author Alan Moreira, documents a profitable trading strategy that increases stock market exposure in low volatility episodes and reduces exposure in high volatility times.