The size premium has been accused of having a weak historical record, being meager
relative to other factors, varying significantly over time, weakening after its discovery, being …

A capital structure theory based on corporate control considerations is presented. The optimal
debt level balances a decrease in the probability of acquisition against a higher share of …

This article presents a theory of capital allocation that shows how the use of net present value
(NPV) as an investment criterion leads to inefficient capital budgeting outcomes and how …

Using nearly a trillion dollars of live trading data from a large institutional money manager
across 19 developed equity markets over the period 1998 to 2011, we measure the real-world …

We examine the role of shorting, firm size, and time on the profitability of size, value, and
momentum strategies. We find that long positions make up almost all of size, 60% of value, and …

… These results have proven not to be robust out-of-sample by Israel and Moskowitz (2013a).
As we’ve shown, over the much longer out-of-sample period from 1927 to 2013, and Israel …

Value investing has been a part of the investment lexicon for at least the better part of a
century. In particular the diversified systematic “value factor” or “value effect” has been studied …

Using 1.7 trillion dollars of live trade execution data from a large institutional money
manager across 21 developed equity markets over a 19-year period, we measure the real-world …

We model fundamental differences across economic systems and propose optimal bankruptcy
laws. We show that creditor-debtor relationships in a given economy are affected by the …

We find that four well-known characteristics (carry, defensive, momentum and value) explain
a significant portion of the cross-sectional variation in corporate bond excess returns. These …