Asness et al. (2018) demonstrate the reemergence of the size premium (SMB) once one controls for firm quality within time series regressions. We demonstrate that the size premium disappears during periods of monetary tightening and is present during periods of monetary expansion; whether or not...

We evaluate the investment benefits of dividend-paying stocks and make three major findings. First, high-dividend stocks have the least risk, yet return over 1.5% more per year than non-dividend payers. Second, the benefit of targeting dividend payers is conditional on investment style....

In this paper, we provide evidence that the size premium (SMB) is more significantly related to monetary policy than to firm quality or to business cycle troughs. Across both economic expansion and contraction periods, whether we control for firm quality or not, we show that monetary tightening...

In the wake of the market timing and late trading mutual fund scandals, many mutual funds adopted redemption fees to limit market timing. In this paper we investigate the impact of redemption fees on the risk-adjusted performance of U.S. based international equity funds, the very funds that many...

There are several reasons why mutual fund corporate culture should predict fund performance. First, at funds with excellent corporate cultures, employees are recognized for their contributions and are involved in decision making. This usually translates into employees working harder, being more...

This paper investigates what predicts corporate governance in emerging markets. Specifically, we examine what predicts governance changes and the level of governance itself. To conduct this study, we utilize a unique data set from AllianceBernstein that consists of monthly firm-level corporate...

We study the association between environmental, social, and governance (ESG) government risk management and firm-level IPO underpricing between 2008 and 2018. Examining 7,446 IPOs issued in 36 countries, we find that IPO underpricing tends to be lower in countries with higher ESG Government...

A number of well-known practitioners such as Warren Buffett and Jeremy Siegel have long advocated a strategic asset allocation in which investors hold a majority of their assets in equities. However, in this simple straightforward study we find that in order to maximize the well-known Sharpe...

This paper compares the out-of-sample performance of no-load and load mutual funds. Unlike the pervious literature, this paper provides a more comprehensive analysis as it uses methodologies to incorporate loads directly into the returns, utilizes a large sample of funds free of survivorship...

State lottery prizes are currently independent of all financial markets. If States made these prizes positively correlated with the stock market, financial risk would be transferred to lottery ticket holders. This would allow States to risklessly increase their lottery profits