{"id":100,"date":"2017-10-12T07:01:58","date_gmt":"2017-10-12T07:01:58","guid":{"rendered":"http:\/\/dev-som-faculty.pantheonsite.io\/?page_id=100"},"modified":"2025-08-06T13:11:23","modified_gmt":"2025-08-06T13:11:23","slug":"research","status":"publish","type":"page","link":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/research\/","title":{"rendered":"Publications"},"content":{"rendered":"<div class=\"wpb-content-wrapper\"><p>[vc_row][vc_column width=&#8221;2\/3&#8243;][vc_column_text]<\/p>\n<ul>\n<li><a href=\"https:\/\/www.aqr.com\/Insights\/Research\/Journal-Article\/Fact-Fiction-and-Factor-Investing\"><strong>\u201cFact, Fiction, and Factor Investing,\u201d<\/strong><\/a> 2023, (with Michele Aghassi, Cliff Asness, and<br \/>\nCharles Fattouche), Journal of Portfolio Management 49 (2). \u2013 25th Annual Bernstein Fabozzi\/Jacobs Levy Award for Best Article.<\/li>\n<li><strong><a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3237763\">\u201cSocial Media and Financial News Manipulation,\u201d<\/a> <\/strong>2023, (with Marina Niessner and<br \/>\nShimon Kogan), Review of Finance 27 (4), pp. 1229-1268.<\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/Beyond-Basis-Basics_-Liquidity-Demand-and-Deviations-from-the-Law-of-One-Price.pdf\"><strong>Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price<\/strong><\/a>, 2023, (with Todd Hazelkorn and Kaushik Vasudevan), Journal of Finance 78 (1), pp.<br \/>\n301-345.<\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/AssetPricingandSportsBetting_JF.pdf\"><strong>Asset Pricing and Sports Betting<\/strong><\/a>, 2021, forthcoming Journal of Finance<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/HowDoFactorPremiaVaryOverTime_JOIM.pdf\">How Do Factor Premia Vary Over Time? A Century of Evidence<\/a>,<\/strong> 2021, (with Antti Ilmanen, Ronen Israel, Rachel Lee, and Ashwin Thapar) forthcoming Journal of Investment Management<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/Value-and-Interest-Rates.pdf\">Value and Interest Rates: Are Rates to Blame for Value\u2019s Torments?<\/a><\/strong> 2021, (with Thomas Maloney), forthcoming Journal of Portfolio Management<\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/UnderstandingMomentumandReversals_JFE.pdf\"><strong>Understanding Momentum and Reversals<\/strong><\/a>, 2021, (with Bryan Kelly and Seth Pruitt), Journal of Financial Economics, Volume 140, Issue 3, June 2021, Pages 726-743<\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/Can-Machines-Learn-Finance.pdf\"><strong>Can Machines Learn Finance<\/strong><\/a>, 2020, (with Ronen Israel and Bryan Kelly), Journal of Investment Management 18 (2), 23-36<\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/Fact-Fiction-and-the-Size-Effect.pdf\"><strong>Fact Fiction and the<\/strong>\u00a0<strong>Size Effect<\/strong><\/a><strong>,<\/strong> 2018, (with Ron Alquist and Ronen Israel), Journal of Portfolio Management 45 (1), 3-30<\/li>\n<li><a href=\"https:\/\/documentcloud.adobe.com\/link\/track?uri=urn%3Aaaid%3Ascds%3AUS%3A5860fb8a-d8c2-41a7-bd94-fde26af82cfb\"><strong>Size Matters, If You Control Your Junk<\/strong><\/a><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#cliff-asness\">Cliff Asness<\/a>,<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#andrea-frazzini\" target=\"_blank\" rel=\"noopener noreferrer\">Andrea Frazzini<\/a>, and<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#ronen-israel\">Ronen Israel<\/a>, and\u00a0<a href=\"http:\/\/www.lhpedersen.com\/\">Lasse Pedersen<\/a>), 2018<em>, <a href=\"http:\/\/jfe.rochester.edu\/\">Journal of Financial Economics <\/a><\/em>129, 479-509<\/li>\n<li><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/04\/Carry.pdf\"><strong>Carry<\/strong><\/a>\u00a0(with\u00a0<a href=\"http:\/\/www.koijen.net\/index.html\">Ralph Koijen<\/a>,\u00a0<a href=\"http:\/\/www.lhpedersen.com\/\">Lasse Pedersen<\/a>, and\u00a0<a href=\"http:\/\/www.evertvrugt.com\/index.php\">Evert Vrugt<\/a>), 2018, <em><a href=\"http:\/\/jfe.rochester.edu\/\">Journal of Financial Economic<\/a> <\/em>127 (2), 197-225<\/li>\n<\/ul>\n<ul>\n<li><strong><span class=\"Apple-converted-space\"><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/Decision-Making-Under-the-Gamblers-Fallacy_-Evidence-from-Asylum-Judges-Loan-Officers-and-Baseball-Umpires_.pdf\">Decision Making Under the Gambler&#8217;s Fallacy: Evidence from Asylum Judges, Loan Officers, and Baseball Umpires<\/a> <\/span><\/strong>(with\u00a0<a href=\"http:\/\/nber.org\/~dlchen\/\">Daniel Chen<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>and<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.chicagobooth.edu\/faculty\/directory\/s\/kelly-shue\">Kelly Shue<\/a>), 2016,\u00a0<em><a href=\"http:\/\/qje.oxfordjournals.org\/\">Quarterly Journal of Economics<\/a><\/em>. Vol. 131 (3), 1181-1242\n<ul>\n<li>Winner: Red Rock Finance Best Paper Award.<\/li>\n<\/ul>\n<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/Mom_crashes_JFE_final.pdf\"><span class=\"strong\">Momentum Crashes<\/span><\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.kentdaniel.net\/\" target=\"_blank\" rel=\"noopener noreferrer\">Kent Daniel<\/a>), 2016, <a href=\"http:\/\/jfe.rochester.edu\/\"><em>Journal of Financial Economics<\/em><\/a>. Vol. 122 (2), 221-247.\n<ul>\n<li>Item Winner: Swiss Finance Institute Outstanding Paper Award.<\/li>\n<li>Fama-DFA Prize for the Best Paper Published in the Journal of Financial Economics.<\/li>\n<\/ul>\n<\/li>\n<li><strong><a href=\"https:\/\/documentcloud.adobe.com\/link\/track?uri=urn%3Aaaid%3Ascds%3AUS%3A0c1492ff-be21-4953-ac6f-8e17027dfb19\">Fact Fiction and Value Investing<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#cliff-asness\">Cliff Asness<\/a>,<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#andrea-frazzini\" target=\"_blank\" rel=\"noopener noreferrer\">Andrea Frazzini<\/a>, and<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#ronen-israel\">Ronen Israel<\/a>), 2015<em>, forthcoming\u00a0<a href=\"http:\/\/www.iijournals.com\/toc\/jpm\/current\">Journal of Portfolio Management<\/a><\/em>.<\/li>\n<li><strong><a href=\"https:\/\/documentcloud.adobe.com\/link\/track?uri=urn%3Aaaid%3Ascds%3AUS%3Af045d198-3a84-46ea-97d8-26da9a986525\">Fact Fiction and Momentum Investing<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#cliff-asness\">Cliff Asness<\/a>,<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#andrea-frazzini\" target=\"_blank\" rel=\"noopener noreferrer\">Andrea Frazzini<\/a>, and<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#ronen-israel\">Ronen Israel<\/a>), 2015<em>,\u00a0<a href=\"http:\/\/www.iijournals.com\/toc\/jpm\/current\">Journal of Portfolio Management<\/a>, 40th Anniversary edition,<span class=\"Apple-converted-space\">\u00a0<\/span><\/em>Vol 40, Issue 5, 75-92.<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/InvestingwithStyleJOIM2015FINALPUBLISHED.pdf\">Investing with Style<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#cliff-asness\">Cliff Asness<\/a>,<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#antti-ilmanen\">Antti Ilmanen<\/a>, and<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#ronen-israel\">Ronen Israel<\/a>), 2014<em>,\u00a0<a href=\"https:\/\/www.joim.com\/\">Journal of Investment Management<\/a>,<span class=\"Apple-converted-space\">\u00a0<\/span><\/em>Vol 13, Issue 1, 27-63.<\/li>\n<\/ul>\n<ul>\n<li><strong><span class=\"Apple-converted-space\"><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/The-Effects-of-Stock-Lending-on-Security-Prices_-An-Experiment.pdf\">The Effects of Stock Lending on Security Prices_ An Experiment<\/a> <\/span><\/strong>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.chicagobooth.edu\/faculty\/directory\/k\/steven-neil-kaplan#biography\">Steve Kaplan<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>and\u00a0<a href=\"https:\/\/fisher.osu.edu\/departments\/finance\/faculty\/berk-a.-sensoy\">Berk Sensoy<\/a>), 2013<em>,<span class=\"Apple-converted-space\">\u00a0<\/span><\/em><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, Volume 68 (5), 1891-1936.<\/li>\n<li><strong><span class=\"Apple-converted-space\"><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2021\/08\/The-role-of-shorting-firm-size-and-time-on-market-anomalies.pdf\">The role of shorting, firm size, and time on market anomalies<\/a> <\/span><\/strong>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#ronen-israel\">Ronen Israel<\/a>), 2013,\u00a0<a href=\"http:\/\/jfe.rochester.edu\/\"><em>Journal of Financial Economics<\/em><\/a>, Volume 108 (2), 275-301.<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/ValueandMomentumEverywhere.pdf\">Value and Momentum Everywhere<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#cliff-asness\">Cliff Asness<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>and<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.lhpedersen.com\/\">Lasse Pedersen<\/a>), 2013,<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, Vol. 68 (3), 929-985. (<a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/VME_returns_data.xlsx\">Return Series<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>for value and momentum portfolios)<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/TimeSeriesMomentum.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Time Series Momentum<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/www.aqr.com\/who-we-are\/leadership#yao-hua-ooi\" target=\"_blank\" rel=\"noopener noreferrer\">Yao Hua Ooi<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>and<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.lhpedersen.com\/\" target=\"_blank\" rel=\"noopener noreferrer\">Lasse Pedersen<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/jfe.rochester.edu\/\">Journal of Financial Economics<\/a>,<\/em><span class=\"Apple-converted-space\">\u00a0<\/span>2012, 104(2), pp. 228-50. (<a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/TSMOM_rets.xlsx\" target=\"_blank\" rel=\"noopener noreferrer\">Return Series<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>for TSMOM portfolio)<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/ThePoliticalEconomyofFinancialRegulation_000.pdf\">The Political Economy of Financial Regulation: Evidence from U.S. State Usury Laws in the 19th Century<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.kellogg.northwestern.edu\/faculty\/directory\/benmelech_efraim.aspx\" target=\"_blank\" rel=\"noopener noreferrer\">Efraim Benmelech<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, 2010,<span class=\"Apple-converted-space\">\u00a0<\/span><em>65<\/em>(3), pp. 1029-73.<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/Long-RunStockholderConsumptionRiskandAssetReturns_000.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Long-Run Stockholder Consumption Risk and Asset Returns<\/a><span class=\"Apple-converted-space\">\u00a0<\/span><\/strong>(with\u00a0<a href=\"http:\/\/www.hbs.edu\/faculty\/Pages\/profile.aspx?facId=444656\">Christopher J. Malloy<\/a>\u00a0and<a href=\"http:\/\/live.facultybio.pantheon.berkeley.edu\/faculty-list\/vissingjorgensen-annette\" target=\"_blank\" rel=\"noopener noreferrer\">\u00a0Annette Vissing-J\u00f8rgensen<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, 2009,<span class=\"Apple-converted-space\">\u00a0<\/span><em>64<\/em>(6), pp. 2427-79. (<a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/Consumption_series_MMV.xlsx\" target=\"_blank\" rel=\"noopener noreferrer\">Consumption Series<\/a>)<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/CatastrophicRiskandCreditMarkets.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Catastrophic Risk and Credit Markets<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.anderson.ucla.edu\/x1929.xml\" target=\"_blank\" rel=\"noopener noreferrer\">Mark J. Garmaise<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, 2009,<em>64<\/em>(2), pp. 657-707.<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/BankMergersandCrime.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Bank Mergers and Crime: The Real and Social Effects of Credit Market Competition<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<a href=\"http:\/\/www.anderson.ucla.edu\/x1929.xml\" target=\"_blank\" rel=\"noopener noreferrer\">\u00a0Mark J. Garmaise<\/a>)<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, 2006,<span class=\"Apple-converted-space\">\u00a0<\/span><em>61<\/em>(2), pp. 495-538.<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/DoLiquidationValuesAffectFinancialContracts.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.kellogg.northwestern.edu\/faculty\/directory\/benmelech_efraim.aspx\" target=\"_blank\" rel=\"noopener noreferrer\">Efraim Benmelech<\/a>,<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.anderson.ucla.edu\/x1929.xml\" target=\"_blank\" rel=\"noopener noreferrer\">Mark J. Garmaise<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/qje.oxfordjournals.org\/\">The Quarterly Journal of Economics<\/a><\/em>, 2005,<span class=\"Apple-converted-space\">\u00a0<\/span><em>120<\/em>(3), pp. 1121.<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/MarketFrictionsPriceDelayandtheCross-SectionofExpectedReturns.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Market Frictions, Price Delay, and the Cross-Section of Expected Returns<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"https:\/\/fisher.osu.edu\/departments\/finance\/faculty\/kewei-hou\" target=\"_blank\" rel=\"noopener noreferrer\">Hou Kewei<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/rfs.oupjournals.org\/\" target=\"_blank\" rel=\"noopener noreferrer\"><em>Review of Financial Studies<\/em><\/a>, 2005,<span class=\"Apple-converted-space\">\u00a0<\/span><em>18<\/em>(3), pp. 981. * Winner, Q-group research grant award.<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/TestingAgencyTheorywithEntrepreneurEffortandWealth.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Testing Agency Theory with Entrepreneur Effort and Wealth<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/economics.ucdavis.edu\/people\/bitler\" target=\"_blank\" rel=\"noopener noreferrer\">Marianne P. Bitler<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>and<a href=\"http:\/\/live.facultybio.pantheon.berkeley.edu\/faculty-list\/vissingjorgensen-annette\" target=\"_blank\" rel=\"noopener noreferrer\">\u00a0Annette Vissing-J\u00f8rgensen<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, 2005,<span class=\"Apple-converted-space\">\u00a0<\/span><em>60<\/em>(Issue 2), pp. 539. * Recognized as Distinguished Paper for the 2005<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.brattle.com\/prize\" target=\"_blank\" rel=\"noopener noreferrer\">Brattle Prize<\/a>, awarded to the best corporate finance paper published in the<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>.<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/PredictingStockPriceMovementsfromPastReturns.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Predicting Stock Price Movements from Past Returns: The Role of Consistency and Tax-Loss Selling<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.anderson.ucla.edu\/x1927.xml\" target=\"_blank\" rel=\"noopener noreferrer\">Mark Grinblatt<\/a>)<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/jfe.rochester.edu\/\"><em>Journal of Financial Economics<\/em><\/a>, 2004,<span class=\"Apple-converted-space\">\u00a0<\/span><em>71<\/em>(3), pp. 541-79.<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/ConfrontingInformationAsymmetries.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Confronting Information Asymmetries: Evidence from Real Estate Markets<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.anderson.ucla.edu\/x1929.xml\" target=\"_blank\" rel=\"noopener noreferrer\">Mark J. Garmaise<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/rfs.oupjournals.org\/\" target=\"_blank\" rel=\"noopener noreferrer\"><em>Review of Financial Studies<\/em><\/a>, 2004,<span class=\"Apple-converted-space\">\u00a0<\/span><em>17<\/em>(2), pp. 405-37. * Winner, 2005<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.oxfordjournals.org\/our_journals\/revfin\/awards_michaelbrennan.html\" target=\"_blank\" rel=\"noopener noreferrer\">Barclays Global Investors (BGI) Michael Brennan Award<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>for the best paper published in the<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/rfs.oupjournals.org\/\" target=\"_blank\" rel=\"noopener noreferrer\"><em>Review of Financial Studies<\/em><\/a><span class=\"Apple-converted-space\">\u00a0<\/span>(second prize).<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/Analysis-of-Covariance-Risk-and-Pricing-Anomalies.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">An Analysis of Covariance Risk and Pricing Anomalies<\/a><\/strong>,<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/rfs.oupjournals.org\/\" target=\"_blank\" rel=\"noopener noreferrer\"><em>Review of Financial Studies<\/em><\/a>, 2003,<em>16<\/em>(2), pp. 417-57.<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/InformalFinancialNetworks.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Informal Financial Networks: Theory and Evidence<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.anderson.ucla.edu\/x1929.xml\" target=\"_blank\" rel=\"noopener noreferrer\">Mark J. Garmaise<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/rfs.oupjournals.org\/\" target=\"_blank\" rel=\"noopener noreferrer\"><em>Review of Financial Studies<\/em><\/a>, 2003,<span class=\"Apple-converted-space\">\u00a0<\/span><em>16<\/em>(4), pp. 1007-40. * Winner, 2004<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.oxfordjournals.org\/our_journals\/revfin\/awards_michaelbrennan.html\" target=\"_blank\" rel=\"noopener noreferrer\">Barclays Global Investors (BGI) Michael Brennan Award<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>for the best paper published in the<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/rfs.oupjournals.org\/\" target=\"_blank\" rel=\"noopener noreferrer\"><em>Review of Financial Studies<\/em><\/a><span class=\"Apple-converted-space\">\u00a0<\/span>(first prize).<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/TheReturnstoEntreprenaurialInvestment.pdf\">The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with\u00a0<a href=\"http:\/\/live.facultybio.pantheon.berkeley.edu\/faculty-list\/vissingjorgensen-annette\" target=\"_blank\" rel=\"noopener noreferrer\">Annette Vissing-J\u00f8rgensen<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><em>American Economic Review<\/em>, 2002,<span class=\"Apple-converted-space\">\u00a0<\/span><em>92<\/em>(4), pp. 745-78.<\/li>\n<\/ul>\n<ul>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/TheGeographyofInvestment.pdf\">The Geography of Investment: Informed Trading and Asset Prices<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/drfd.hbs.edu\/fit\/public\/facultyInfo.do?facInfo=ovr&amp;facId=147411\" target=\"_blank\" rel=\"noopener noreferrer\">Joshua D. Coval<\/a>),\u00a0<em>Journal of Political Economy<\/em>, 2001,<span class=\"Apple-converted-space\">\u00a0<\/span><em>109<\/em>(4), pp. 811-41.<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/MutualFundPerformance.pdf\">Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses: Discussion<\/a><\/strong>,<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, 2000,<span class=\"Apple-converted-space\">\u00a0<\/span><em>55<\/em>(4, Papers and Proceedings of the Sixtieth Annual Meeting of the American Finance Association, Boston, Massachusetts, January 7-9, 2000), pp. 1695-703.<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/DoIndustriesExplainMomentum.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Do Industries Explain Momentum?<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.anderson.ucla.edu\/x1927.xml\" target=\"_blank\" rel=\"noopener noreferrer\">Mark Grinblatt<\/a>),<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, 1999,<span class=\"Apple-converted-space\">\u00a0<\/span><em>54<\/em>(4, Papers and Proceedings, Fifty-Ninth Annual Meeting, American Finance Association, New York, New York, January 4-6, 1999), pp. 1249-90.<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/HomeBiasatHome.pdf\" target=\"_blank\" rel=\"noopener noreferrer\">Home Bias at Home: Local Equity Preference in Domestic Portfolios<\/a><\/strong><span class=\"Apple-converted-space\">\u00a0<\/span>(with<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/drfd.hbs.edu\/fit\/public\/facultyInfo.do?facInfo=ovr&amp;facId=147411\" target=\"_blank\" rel=\"noopener noreferrer\">Joshua D. Coval<\/a>),\u00a0<em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em>, 1999,<span class=\"Apple-converted-space\">\u00a0<\/span><em>54<\/em>(6), pp. 2045-73. * Winner, 2000<span class=\"Apple-converted-space\">\u00a0<\/span><a href=\"http:\/\/www.afajof.org\/details\/page\/2870731\/Prizes.html\" target=\"_blank\" rel=\"noopener noreferrer\">Smith-Breeden Prize<\/a><span class=\"Apple-converted-space\">\u00a0<\/span>for the best paper published in the<span class=\"Apple-converted-space\">\u00a0<\/span><em><a href=\"http:\/\/www.afajof.org\/\">Journal of Finance<\/a><\/em><span class=\"Apple-converted-space\">\u00a0<\/span>(first prize).<\/li>\n<li><strong><a href=\"https:\/\/spinup-000d1a-wp-offload-media.s3.amazonaws.com\/faculty\/wp-content\/uploads\/sites\/3\/2019\/09\/AssetPricingandFundInvestmentAnomalies.pdf\">Asset Pricing and Fund Investment Anomalies<\/a><\/strong>, Ph.D Dissertation, University of California, Los Angeles, 1998.<\/li>\n<\/ul>\n<p>[\/vc_column_text][\/vc_column][vc_column width=&#8221;1\/3&#8243;][vc_widget_sidebar sidebar_id=&#8221;cs-2&#8243;][\/vc_column][\/vc_row]<\/p>\n<\/div>","protected":false},"excerpt":{"rendered":"<p>[vc_row][vc_column width=&#8221;2\/3&#8243;][vc_column_text] \u201cFact, Fiction, and Factor Investing,\u201d 2023, (with Michele Aghassi, Cliff Asness, and Charles Fattouche), Journal of Portfolio Management 49 (2). \u2013 25th Annual Bernstein Fabozzi\/Jacobs Levy Award for Best Article. \u201cSocial Media and Financial News Manipulation,\u201d 2023, (with Marina Niessner and Shimon Kogan), Review of Finance 27 (4), pp. 1229-1268. Beyond Basis Basics: [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":394,"parent":0,"menu_order":5,"comment_status":"closed","ping_status":"closed","template":"","meta":{"inline_featured_image":false,"_genesis_hide_title":false,"_genesis_hide_breadcrumbs":false,"_genesis_hide_singular_image":false,"_genesis_hide_footer_widgets":false,"_genesis_custom_body_class":"","_genesis_custom_post_class":"","_genesis_layout":"","footnotes":""},"class_list":{"0":"post-100","1":"page","2":"type-page","3":"status-publish","4":"has-post-thumbnail","6":"entry"},"_links":{"self":[{"href":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/wp-json\/wp\/v2\/pages\/100","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/wp-json\/wp\/v2\/comments?post=100"}],"version-history":[{"count":44,"href":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/wp-json\/wp\/v2\/pages\/100\/revisions"}],"predecessor-version":[{"id":671,"href":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/wp-json\/wp\/v2\/pages\/100\/revisions\/671"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/wp-json\/wp\/v2\/media\/394"}],"wp:attachment":[{"href":"https:\/\/faculty.som.yale.edu\/tobymoskowitz\/wp-json\/wp\/v2\/media?parent=100"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}