Many years ago, the authors demonstrated that there is much greater dimensionality to the stock market than is suggested by the one-factor capital asset pricing model. Investors today continue to underestimate the market's dimensionality through their recent embrace of “smart beta”...

Popular conceptions of long–short investing are distorted by a number of myths, many of which appear to result from viewing long–short from a conventional investment perspective. Long–short portfolios differ fundamentally from long-only portfolios in construction, in the measurement of...

Stock market phenomena such as the January and low price/earnings ratio effects entice investors with prospects of extraordinary returns. Most previous stock market anomaly research has focused on one or two return regularities at a time. Multivariate regression, however, can provide a unified...