Mark Grinblatt’s research while affiliated with The National Bureau of Economic Research and other places

... According to the European Capital Markets Institute, the bond market stands as the largest securities market worldwide. As of 2022, the global bond market reached a total of USD 133 trillion (Bartram et al., 2023). In particular, the corporate bond market in the USA alone accounted for USD 10 trillion in 2020 (International Capital Market Association, 2020), playing a vital role in providing funding to companies on the one hand and, on the other hand, providing diversified markets for investors. ...

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Designing the future of bond markets: Reducing transaction costs through tokenization

... I assume that F A t = F M t 6 ¼ ; (i.e., the analyst's information set, excluding the market's information set, is nonempty) and that F A t = F M t contains useful pricing information. Sources of such information 2 In related work, Grinblatt, Jostova, and Philipov (2018) provide evidence that analyst earnings forecasts are biased with respect to 14 common anomalies. Guo, Li, and Wei (2020) provide evidence that analyst recommendations contradict predictions from the 11 anomalies studied in Stambaugh and Yuan (2017). ...

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Stock Price Reactions to the Information and Bias in Analyst-Expected Returns

... Bali, Subrahmanyam, and Wen (2021) show that corporate bond losers over the past 36 months tend to outperform past corporate bond winners. Bartram, Grinblatt, and Nozawa (2020) document another mean-reversal pattern in corporate bond, proxied for by the bond book-to-market ratio, defined as the bond price over the bond's face value. Chung, Wang, and Wu (2019) study the impact of volatility on the cross-section of corporate bond returns, and show that bonds that hedge volatility increases have low expected returns. ...

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Credit Information in Earnings Calls

... The long-short return spread is also positive and significant (at the 1 % level) for 6M-1M, whereas for the remaining three indicators, both top-bottom spreads and the monotonicity in decile returns are insignificant, thereby indicating their poor discriminatory power for monthly-updated portfolios. 13 E.g., see Chan et al., 2009;Lewellen et al., 2010;Cremers et al., 2013;Grinblatt and Saxena, 2018;Linnainmaa and Roberts, 2018;Lambert et al., 2020;Cooper et al., 2021;Giglio et al., 2021;Tian, 2021, among others (See also footnote 24 for further empirical justification for preferring the information ratio over multifactor alphas for the purpose of performance comparisons). 14 This choice is also reasonable because the equal-weighted stock market return is clearly higher than the value-weighted non-microcap sample average return. ...

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Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets

... The US portfolios, while producing great excess returns over the past 30 years, can be enhanced b modeling global stocks, seeGuerard et al. (Guerard et al., 2013),Guerard, Markowitz, and Xu (2015), andBartram and Grinblatt, (2021), andGuerard et al. (2025). ...

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Earnings forecasting and mean–variance efficient portfolios in the United States

... This trading behavior is opposed to momentum trading and it is widely explored in the literature. Several works, as [42,43,44,45,46,47,48,49], provide empirical evidences that the contrarian behavior is commonly adopted, especially among individual investors. It is driven by the mean-reversion paradigm and partially rooted in the disposition effect i.e. the investors' tendency to hold on to losers stocks and sell the winners. ...

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Modeling metaorder impact with a Non-Markovian Zero Intelligence model

... The competitiveness of organizations, especially large businesses (corporations), depends, first of all, on the availability of their assets, since management under the current economic mechanism is based on financial relationships in the internal and external environment of activity [1][2][3]. Consequently, the primary task of corporations is the formation and realization of financial potential -a set of assets in monetary terms (capital), formed under the existing opportunities and constraints in endogenous (internal) and exogenous (external) conditions of management, developed in the modern economic era, which is inherent in a variety of business operations, requiring for their effective implementation a representative and balanced by elements structure of capital in value (money) terms [4][5][6]. In this connection tools, allowing to estimate and analyze a level (degree) of realization of their financial potential are necessary, and the subject of our research is devoted to the toolkit, helping to make objective calculations testifying how qualitatively they use the capital as a whole and on its component groups (non-current and circulating assets) in the course of realization of activity [7][8][9]. ...

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RETRACTED: Improvement of tools to assess the implementation of financial potential of corporations

... Relative valuation for companies has been extensively studied [13][14][15][16][17] (see Ref. [18] for a recent review). For mutual funds, supervised similarity was investigated in Refs. ...

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Machine Learning-based Relative Valuation of Municipal Bonds

... The economic motivations for engaging in wash trading vary considerably across different market participants. While on traditional financial markets, the primary motivation for wash trading typically involves individual investors, often for tax avoidance purposes (Grinblatt and Keloharju, 2004), on cryptocurrency markets, the primary drivers of artificially inflating trading volumes are believed to be the platforms themselves. Cryptocurrency exchanges aiming to establish their position in a highly competitive sector with largely homogeneous products might be tempted to wash trade to attract more users and improve their rankings on exchange comparison platforms like www.coinmarketcap.com ...

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Determinants of wash trading in major cryptoexchanges

... In evidence based on US equity market data, only 4 of 37 anomalies have IPCA alphas that are significantly different from zero, suggesting that many anomaly factors documented in the literature capture time-varying risk premia as opposed to reflecting market inefficiencies. However, Bartram and Grinblatt (2021) show that trading global stocks based on a regression-based measure of mispricing yields significant risk-adjusted returns. This holds true when controlling for traditional factor models (including all 50 factors from the Fama-French data library or their own 80-factor model). ...

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Navigating the factor zoo around the world: an institutional investor perspective