Contrary to conventional wisdom, there is no evidence investors can, or have ever been able to, easily form portfolios containing negligible exposure to unsystematic returns. Because well-diversified portfolios are the bedrock upon which so much financial theory is built, investors' inability to...

Aggregate demand by insiders predicts time-series variation in the value premium. Insider trading forecasts the value premium because insiders sell (buy) when markets - especially growth stocks - are overvalued (undervalued). This article suggests that investors can use signals from aggregate...

Aggregate demand by insiders predicts time-series variation in the value premium — between 1978 and 2004, a one standard deviation increase in aggregate insider demand in the previous six months forecasts a 53 basis point decline (6.54% annualized) in the expected value premium in the month...

Consistent with the well-documented relation between political orientation and psychological traits, hedge funds' political orientations are related to their portfolio decisions. Relative to politically conservative hedge funds, politically liberal hedge funds exhibit a preference for smaller...