Burton G. Malkiel’s research while affiliated with Princeton University and other places

... Corporate idiosyncratic risk, which is characterized by the idiosyncratic volatility of a stock price, depends on the volatility of the company's future cash flows and discount rate, as well as their covariance (Campbell et al., 2022). It is influenced by the company's internal governance and the external environment (Habib & Hasan, 2017). ...

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Make it Right: Regulatory Intervention in Managers’ Misconduct and Corporate Risk

... In other words, the EMH postulates that asset prices should be based on all available information. A growing literature has critically examined the EMH (Malkiel 2003) and some recent research has shown that early signs of unpredictable news may be obtained from social media in order to forecast changes in many economic and financial indicators (Schumaker and Chen 2009). If it is true that the news affects stock market prices, the social mood also plays an equally important role. ...

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The Impact of the Social Mood on the Italian Sovereign Debt Market: A Twitter Perspective

... The taxation of nominal capital gains at disposition creates a potential lock-in effect in real estate and other asset markets (Feldstein et al., 1980;Klein, 1999;Malkiel & Kane, 1963). Rather than disposing of an asset with a lower expected before-tax return and reinvesting the proceeds in a more productive (higher return asset), investors with accrued capital gains may choose to continue to hold the less productive asset to avoid realizing taxable gains. ...

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The Benefits and Costs of Tax Deferral: An Analysis of Section 1031 Exchanges

... Ammann and Verhofen (2006) examined fund performance in regimes based on returns, volatilities, and correlations and suggested that investors alter their portfolio style over time depending on the prevailing regime to generate attractive returns. Malkiel and Saha (2020) examined funds based on factors of lowest expense ratio, lowest turnover, and Sharpe ratio and found no difference between the absolute returns from the Large-Cap or Mid-Cap returns. Joop and Verbeek (2009) suggested fund performance suffered from systematic biases due to miscalculation of factor premiums. ...

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EVALUATION OF LARGE CAP GROWTH FUNDS AGAINST ESG ALTERNATIVES

... Andersen et al. (2015) highlight that deviations in the VIX index from actual market volatility may occur due to the inclusion of illiquid options. Similarly, Saha et al. (2019) demonstrate that variations in daily VIX levels are predominantly driven by market fundamentals. Under the framework of perception alignment, the expectations of traders regarding future prices shape the future price density. ...

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Information loss from perception alignment

... Their findings is consistent with our model which incorporates skewness risk via disasters. Both Malkiel et al. (2018) and Miller et al. (2022) find that covered call returns depend on VRP. We build on their approach by linking VRP to other derivative strategies. ...

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The cash-secured put-write strategy and the variance risk premium

... Today, portfolio managers who wish to employ options can review these authors' separate comments and descriptions with considerable benefit. Missing fron both '!u!,t!, !'*!'3:l: ll *' yf!_ig,t q!:y_t,fir:ti?! *i1! 1. Footnotes appear at the end of article Ronald Sliaka is Vice Presidott of Morgan Guaranty Trust Company of Nant York. ...

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Risk and Return for Option Investment Strategies

... If one follows the hypothesis of efficient markets, a stock price should always correspond to its fundamental value (cf. Malkiel, 1989, 2005, Fama, 1970. If it deviates, this is called a financial bubble. ...

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What are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles

... Unit root tests and variance ratio tests are widely used in literature to test for stock market efficiency in the econometric and financial literature. The notion of efficiency is typically interpreted as that stock prices would move unpredictably (Malkiel, 2003(Malkiel, , 2004(Malkiel, , 2005. The logic behind this random walk idea is that if the flow of information is unimpeded and information is immediately reflected in stock prices, tomorrow's price changes will reflect only tomorrow's news and will be independent of price changes today. ...

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CAN INFORMATION AND COMMUNICATION TECHNOLOGY IMPROVE STOCK MARKET EFFICIENCY? A CROSS-COUNTRY STUDY: Can Information and Communication Technology Improve Stock Market Efficiency?

... Financial markets are "informationally efficient," according to EMH, which implies that asset prices accurately reflect all available information at any given moment. Initially formally introduced by Eugene Fama (Fama, 1970) and subsequently popularised by (Malkiel, 1989), the EMH posits that it is impossible to consistently achieve higher returns than the overall market through stock selection or market timing, except by coincidence. There are three forms of market efficiency: ...

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Empirical analysis of US bond market