This study clears up misunderstandings regarding the diversification of unsystematic risk. 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...

Firm-specific risk climbed steadily between 1962 and 1999, but fell sharply between 2000 and 2003. We hypothesize that changes in the composition of the market, rather than fundamental changes in the economy or return-generating process, drive these changes in aggregate firm-specific risk over...

Company-specific risk climbed steadily between 1962 and 1999 in the U.S. market but fell sharply between 2000 and 2003. This article explores the hypothesis that three factors are primarily responsible for observed changes in company-specific risk: changes in the market weights of riskier...

quot;Money flowquot; is defined as the difference between uptick and downtick dollar trading volume. Despite little published research regarding its usefulness, the measure has become an increasingly popular technical indicator. Our analysis demonstrates that money flows are highly correlated...

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...

The financial system -- An overview of financial markets and institutions -- The federal reserve and its powers -- The fed and interest rates -- Bond prices and interest rate risk -- The structure of interest rates -- Financial markets -- Money markets -- Bond markets -- Mortgage markets --...

The success of momentum strategies over the past 20 years is predominately driven by the last month in each quarter. Excluding Januaries (a month in which lag losers typically outperform lag winners), the average monthly return to a momentum strategy in non-quarter-ending months is 59 basis...

A number of recent studies test whether institutional investors, as a group, engage in momentum trading. Given directly observable returns and changes in institutional ownership, it is surprising that these studies reach vastly different conclusions. I re-examine the relation between changes in...

Institutional investors' demand for a security this quarter is positively correlated with their demand for the security last quarter. These results are attributed to institutional investors following each other into and out of the same securities (quot;herdingquot;)and institutional investors...