• Riding the South Sea Bubble
    • “This paper presents a case study of a well-informed investor in the South Sea bubble. We argue that Hoare’s Bank, a fledgling West End London banker, knew that a bubble was in progress and nonetheless invested in the stock; it was profitable to “ride the bubble.” Using a unique data set on daily trades, we show that this sophisticated investor was not constrained by institutional factors such as restrictions on short sales or agency problems.”
  • The Myth of 1926
    • “The purpose of this article is to highlight the limitations and biases of the CRSP data that underwrite both the Ibbotson findings and other academic accounts of long-term U.S. stock returns (e.g., Fama and French [2006]). Once acquainted with the possible biases in CRSP data, investors can decide for themselves how much faith to put in such shibboleths as the Ibbotson yearbook returns or Fama and French’s finding that small stocks outperform large stocks. All depend on the comprehensiveness of CRSP coverage, which turns out to be more limited than many investors might suspect.”
  • Negative Bubbles
    • “We study crashes using data from 101 global stock markets from 1692 to 2015. Extremely large, annual stock market declines are typically followed by positive returns. This is not true for smaller declines. This pattern does not appear to be driven by institutional frictions, financial crises, macroeconomic shocks, political conflicts, or survivorship issues.”
  • Art and Money
    • “Using a long-term art market index that incorporates information on repeated sales since the eighteenth century, we demonstrate that both same-year and lagged equity market returns have a significant impact on the price level in the art market. Over a shorter time frame, we also find empirical evidence that an increase in income inequality may lead to higher prices for art, in line with the results of a numerical simulation analysis.”
  • Keynes the Stock Market Investor: A Quantitative Analysis
    • “The consensus view of the influential economist John Maynard Keynes is that he was a stellar investor. We provide an extensive quantitative appraisal of his performance over a quarter-century in both calendar and event time, and present detailed empirical analysis of his archived trading records. His top-down approach generated disappointing returns in the 1920s and we find no evidence of any market-timing ability. However, from the early 1930s his performance improved as he evolved into a bottom-up stock-picker with high tracking error, substantial active risk, and pronounced size and value tilts.”

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