[ { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/qy5fs-9v379", "eprint_id": 93854, "eprint_status": "archive", "datestamp": "2023-08-19 14:54:56", "lastmod": "2023-10-20 17:28:14", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Agnese-R", "name": { "family": "Agnese", "given": "R." } }, { "id": "Aralis-T", "name": { "family": "Aralis", "given": "T." } }, { "id": "Chang-Yen-Yung", "name": { "family": "Chang", "given": "Y.-Y." }, "orcid": "0000-0002-6441-980X" }, { "id": "Cornell-B", "name": { "family": "Cornell", "given": "B." } }, { "id": "Golwala-S-R", "name": { "family": "Golwala", "given": "S. R." }, "orcid": "0000-0002-1098-7174" } ] }, "title": "Search for low-mass dark matter with CDMSlite using a profile likelihood fit", "ispublished": "pub", "full_text_status": "public", "note": "\u00a9 2019 American Physical Society. \n\nReceived 5 September 2018; published 15 March 2019. \n\nThe SuperCDMS collaboration gratefully acknowledges technical assistance from the staff of the Soudan Underground Laboratory and the Minnesota Department of Natural Resources. The iZIP detectors were fabricated in the Stanford Nanofabrication Facility, which is a member of the National Nanofabrication Infrastructure Network, sponsored and supported by the NSF. Funding and support were received from the National Science Foundation, the U.S. Department of Energy, Fermilab URA Visiting Scholar Grant No. 15-S-33, NSERC Canada, the Canada Excellence Research Chair Fund, and MultiDark (Spanish MINECO). The SuperCDMS collaboration prepared this document using the resources of the Fermi National Accelerator Laboratory (Fermilab), a U.S. Department of Energy, Office of Science, HEP User Facility. Fermilab is managed by Fermi Research Alliance, LLC (FRA), acting under Contract No. DE-AC02-07CH11359. Pacific Northwest National Laboratory is operated by Battelle Memorial Institute under Contract No. DE-AC05-76RL01830 for the U.S. Department of Energy. SLAC is operated under Contract No. DE-AC02-76SF00515 with the U.S. Department of Energy.\n\n
Published - PhysRevD.99.062001.pdf
Submitted - 1808.09098.pdf
", "abstract": "The Cryogenic Dark Matter Search low ionization threshold experiment (CDMSlite) searches for interactions between dark matter particles and germanium nuclei in cryogenic detectors. The experiment has achieved a low energy threshold with improved sensitivity to low-mass (<10\u2009\u2009GeV/c^2) dark matter particles. We present an analysis of the final CDMSlite dataset, taken with a different detector than was used for the two previous CDMSlite datasets. This analysis includes a data \"salting\" method to protect against bias, improved noise discrimination, background modeling, and the use of profile likelihood methods to search for a dark matter signal in the presence of backgrounds. We achieve an energy threshold of 70 eV and significantly improve the sensitivity for dark matter particles with masses between 2.5 and 10\u2009\u2009GeV/c^2 compared to previous analyses. We set an upper limit on the dark matter-nucleon scattering cross section in germanium of 5.4\u00d710^(-42)\u2009\u2009cm^2 at 5\u2009\u2009GeV/c^2, a factor of \u223c2.5 improvement over the previous CDMSlite result.", "date": "2019-03-15", "date_type": "published", "publication": "Physical Review D", "volume": "99", "number": "6", "publisher": "American Physical Society", "pagerange": "Art. No. 062001", "id_number": "CaltechAUTHORS:20190315-081353179", "issn": "2470-0010", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20190315-081353179", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "funders": { "items": [ { "agency": "NSF" }, { "agency": "Fermilab", "grant_number": "15-S-33" }, { "agency": "Natural Sciences and Engineering Research Council of Canada (NSERC)" }, { "agency": "Canada Research Chairs Program" }, { "agency": "Ministerio de Econom\u00eda, Industria y Competitividad (MINECO)", "grant_number": "MultiDark" }, { "agency": "Department of Energy (DOE)", "grant_number": "DE-AC02-07CH11359" }, { "agency": "Department of Energy (DOE)", "grant_number": "DE-AC05-76RL01830" }, { "agency": "Department of Energy (DOE)", "grant_number": "DE-AC02-76SF00515" } ] }, "local_group": { "items": [ { "id": "Astronomy-Department" } ] }, "corp_creators": { "items": [ "SuperCDMS Collaboration" ] }, "doi": "10.1103/PhysRevD.99.062001", "primary_object": { "basename": "1808.09098.pdf", "url": "https://authors.library.caltech.edu/records/qy5fs-9v379/files/1808.09098.pdf" }, "related_objects": [ { "basename": "PhysRevD.99.062001.pdf", "url": "https://authors.library.caltech.edu/records/qy5fs-9v379/files/PhysRevD.99.062001.pdf" } ], "resource_type": "article", "pub_year": "2019", "author_list": "Agnese, R.; Aralis, T.; et el." }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/spswx-1zb84", "eprint_id": 88837, "eprint_status": "archive", "datestamp": "2023-08-19 10:57:10", "lastmod": "2023-10-18 22:20:38", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } } ] }, "title": "What Is the Alternative Hypothesis to Market Efficiency?", "ispublished": "pub", "full_text_status": "public", "note": "\u00a9 2018 Pageant Media Ltd. \n\nPublished online August 1, 2018.", "abstract": "On repeated occasions, Eugene Fama has claimed that critics have failed to offer a complete alternative to the efficient market hypothesis (EMH). Most notably, in his Nobel speech, Fama [2014] said, \"Most important, the behavioral literature has not put forth a full blown model for prices and returns that can be tested and potentially rejected\u2014the acid test for any model proposed as a replacement for another model.\" Here I argue that Fama's complaint is too strong. The EMH can fail, and there still be no model that meets Fama's criteria. This short article explains why this is so and offers a more reasonable alternative to the EMH based on the viewpoint that behavioral biases, though common, are state dependent.", "date": "2018-08-01", "date_type": "published", "publication": "Journal of Portfolio Management", "volume": "44", "number": "7", "publisher": "Institutional Investor Inc", "pagerange": "3-6", "id_number": "CaltechAUTHORS:20180816-072844278", "issn": "0095-4918", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20180816-072844278", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.3905/jpm.2018.44.7.003", "resource_type": "article", "pub_year": "2018", "author_list": "Cornell, Bradford" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/trjff-nkt35", "eprint_id": 85389, "eprint_status": "archive", "datestamp": "2023-08-19 07:28:16", "lastmod": "2023-10-18 18:10:53", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } } ] }, "title": "Taking Stationarity Seriously", "ispublished": "pub", "full_text_status": "public", "note": "\u00a9 2018 Pageant Media Ltd. \n\nPublished online January 24, 2018.", "abstract": "I wear two hats. For 40 years, I have been a professor of finance. For the last 10 years, I have run a small hedge fund. In my role as an academic, I play down the importance of stationarity to get on with research efforts. When I have to make investment decisions, it is the elephant in the room. In fact, the question of stationarity is so important that it often dominates my investment decision making and as a result renders much academic research of little practical value. The point of this commentary is to argue that finance research needs to take the question of stationarity more seriously to be more useful to investors.", "date": "2018-01-24", "date_type": "published", "publication": "Journal of Portfolio Management", "volume": "44", "number": "3", "publisher": "Institutional Investor Inc", "pagerange": "1-4", "id_number": "CaltechAUTHORS:20180321-090012505", "issn": "0095-4918", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20180321-090012505", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.3905/jpm.2018.44.3.001", "resource_type": "article", "pub_year": "2018", "author_list": "Cornell, Bradford" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/043sf-hnj09", "eprint_id": 83756, "eprint_status": "archive", "datestamp": "2023-08-19 06:09:15", "lastmod": "2023-10-17 23:29:00", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } } ] }, "title": "Information flow and expected inflation: An empirical analysis", "ispublished": "pub", "full_text_status": "public", "note": "\u00a9 2017 Institutional Investor, LLC. \n\nPublished online November 27, 2017. \n\nFormerly SSWP 1413.", "abstract": "This article begins by ranking the absolute value of changes in the 10-year breakeven expected inflation (BEI) rates, calculated using 10-year Treasury notes and 10-year Treasury inflation-protected securities (TIPS). Next, a news search is conducted to determine what inflation-related information was released on days when the change in the BEI was greatest. The goal of the analysis is not only to see what information is associated with large changes in the BEI, but also to gain insight into the extent to which market participants accept the three competing theories of price determination: the classic monetary theory, the fiscal theory, and a \"Keynesian\" model that combines central bank setting of interest rates with the Phillips curve. The author finds that there was no mention of the money supply, the demand for money, or the rate of monetary growth on any of the days on which there was a large change in the BEI. Further, he finds that there was only one mention of the impact of government debt on a day that the BEI changed substantially. In comparison, there were 53 news items on large change days that either explicitly discussed Federal Reserve policy regarding interest rates or focused on the interaction between Fed policy, economic activity, and expected inflation. This suggests that market participants accept the \"Keynesian\" model of price determination.", "date": "2017-11-27", "date_type": "published", "publication": "Journal of Investing", "volume": "26", "number": "4", "publisher": "Institutional Investor Journals Umbrella", "pagerange": "8-15", "id_number": "CaltechAUTHORS:20171208-133929442", "issn": "1068-0896", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20171208-133929442", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.3905/joi.2017.26.4.008", "resource_type": "article", "pub_year": "2017", "author_list": "Cornell, Bradford" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/a836f-dae61", "eprint_id": 79396, "eprint_status": "archive", "datestamp": "2023-08-20 09:21:28", "lastmod": "2024-01-13 20:36:29", "type": "monograph", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } }, { "id": "Gokhale-R", "name": { "family": "Gokhale", "given": "Rajiv" } } ] }, "title": "An \"Enhanced\" Corporate Valuation Model: Theory and Empirical Tests", "ispublished": "unpub", "full_text_status": "public", "keywords": "corporate finance, valuation", "note": "Submitted - sswp1414.pdf
", "abstract": "In this paper, we develop an enhanced corporate valuation model based on the implied cost of equity capital (ICC). We argue that the enhanced approach extends the standard market multiples and discounted cash flow (DCF) approaches to corporate valuation. Specifically, it incorporates positive aspects of the market comparables and DCF approaches while mitigating the shortcomings of both. Unlike the traditional market comparables approach, the enhanced approach takes account of the full term structure of earnings forecasts. It does so by using the ICC calculated for the comparable companies as an \"enhanced multiple\" which translates the entire stream of cash flow forecasts into a value estimate. Unlike the DCF approach it does not require estimation of the cost of equity capital. As such, it avoids the complexity and uncertainty associated with estimating the cost of equity capital. In our empirical tests, we find the enhanced approach to be more accurate than either of the two traditional approaches.", "date": "2017-08-07", "date_type": "published", "publisher": "California Institute of Technology", "id_number": "CaltechAUTHORS:20170726-090437231", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20170726-090437231", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "local_group": { "items": [ { "id": "Social-Science-Working-Papers" } ] }, "doi": "10.7907/a836f-dae61", "primary_object": { "basename": "sswp1414.pdf", "url": "https://authors.library.caltech.edu/records/a836f-dae61/files/sswp1414.pdf" }, "resource_type": "monograph", "pub_year": "2017", "author_list": "Cornell, Bradford and Gokhale, Rajiv" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/arqb7-jjw44", "eprint_id": 79410, "eprint_status": "archive", "datestamp": "2023-08-20 09:21:32", "lastmod": "2024-01-13 20:36:31", "type": "monograph", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } } ] }, "title": "Information Flow and Expected Inflation: An Empirical Analysis", "ispublished": "unpub", "full_text_status": "public", "keywords": "Inflation, Monetary Policy, Interest Rates", "note": "Submitted - sswp1413.pdf
", "abstract": "This paper begins by ranking the absolute value of changes in the 10-year break- even inflation (BEI) calculated using 10-year Treasury notes and 10-year TIPS. Next, a news search is conducted to determine what inflation related information was released on days when the change in the BEI was greatest. The goal of the analysis is not only to see what information is associated with large changes in the BEI, but also to gain insight into the extent to which market participants accept the three competing theories of price determination: the classic monetary theory, the fiscal theory, and a \"Keynesian\" model that combines central bank setting of interest rates with the Philips curve. I find that there was no mention of the money supply, the demand for money, or the rate of monetary growth on any of the days on which there was a large change in the BEI. Further, I find that there was only one mention of the impact of government debt on a day where the BEI changed substantially. In comparison, there were 53 news items on large change days that either explicitly discussed Federal Reserve policy regarding interest rates or focused on the interaction between Fed policy, economic activity and expected inflation. This suggests that market participants accept the \"Keynesian\" model of price determination.", "date": "2017-08-07", "date_type": "published", "publisher": "California Institute of Technology", "id_number": "CaltechAUTHORS:20170726-105408407", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20170726-105408407", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "local_group": { "items": [ { "id": "Social-Science-Working-Papers" } ] }, "doi": "10.7907/arqb7-jjw44", "primary_object": { "basename": "sswp1413.pdf", "url": "https://authors.library.caltech.edu/records/arqb7-jjw44/files/sswp1413.pdf" }, "resource_type": "monograph", "pub_year": "2017", "author_list": "Cornell, Bradford" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/2gydt-g5a29", "eprint_id": 85393, "eprint_status": "archive", "datestamp": "2023-08-19 04:15:42", "lastmod": "2023-10-18 18:11:03", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } }, { "id": "Hsu-Jason", "name": { "family": "Hsu", "given": "Jason" } }, { "id": "Nanigian-D", "name": { "family": "Nanigian", "given": "David" } } ] }, "title": "Does Past Performance Matter in Investment Manager Selection?", "ispublished": "pub", "full_text_status": "public", "note": "\u00a9 2017 Institutional Investor, LLC. \n\nPublished online July 31, 2017.", "abstract": "The authors empirically investigate the investment impact of commonly used manager selection heuristics that involve redeploying assets from underperforming to outperforming managers. Studying portfolios constructed using the typical three-year evaluation periods employed by most pension funds, the authors find that investors who chose managers with poor recent performance earned higher benchmark-adjusted returns than those who chose managers with superior recent performance. Their findings pose a challenge for asset owners: If past performance is used at all in selecting managers, it is the best-performing managers who should be replaced, not the underperforming ones. Realistically, however, a policy of replacing successful managers with poor performers is unlikely to gain widespread acceptance. Instead, the practical implication of this article is that asset owners should focus on factors other than past performance. The authors offer alternate criteria for selecting managers.", "date": "2017-07-31", "date_type": "published", "publication": "Journal of Portfolio Management", "volume": "43", "number": "4", "publisher": "Institutional Investor Inc", "pagerange": "33-43", "id_number": "CaltechAUTHORS:20180321-095702727", "issn": "0095-4918", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20180321-095702727", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.3905/jpm.2017.43.4.033", "resource_type": "article", "pub_year": "2017", "author_list": "Cornell, Bradford; Hsu, Jason; et el." }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/155t5-0np05", "eprint_id": 73204, "eprint_status": "archive", "datestamp": "2023-08-20 13:38:31", "lastmod": "2023-10-24 15:07:36", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } } ] }, "title": "The Tesla Run-Up: A Follow-Up with Investment Implications", "ispublished": "pub", "full_text_status": "restricted", "note": "\u00a9 2016 Institutional Investor LLC. \n\nI would like to thank Aswath Damodaran for a series of discussions on the topic of this article. Additional comments were made by Rob Arnott, John Haut, Jason Hsu, and May Huang. Of course, responsibility for the opinions is my own.", "abstract": "In the fall of 2014, Aswath Damodaran and I published an article in The Journal of Portfolio Management that analyzed the run-up in Tesla stock from $36.62 on March 22, 2013, to $253.00 on February 26, 2014. In the article, Cornell and Damodaran [2014], we argued that the almost sevenfold increase in price could not be explained by fundamentals alone. As part of that study, we conducted a discounted cash flow (DCF) analysis to estimate the fundamental value of Tesla. Using aggressive assumptions, including a period of sustained revenue growth of 70% and a corresponding dramatic increase in operating profitability, we found that the DCF model produced a value for Tesla of $100.35 per share\u2014only about 40% of then-current market price. We concluded that the stock was significantly overvalued and attributed that overvaluation, at least in part, to investor sentiment.", "date": "2016-09", "date_type": "published", "publication": "Journal of Portfolio Management", "volume": "43", "number": "1", "publisher": "Institutional Investor Inc", "pagerange": "1-4", "id_number": "CaltechAUTHORS:20170104-105725360", "issn": "0095-4918", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20170104-105725360", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.3905/jpm.2016.43.1.001", "resource_type": "article", "pub_year": "2016", "author_list": "Cornell, Bradford" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/b8ne3-cjm47", "eprint_id": 62440, "eprint_status": "archive", "datestamp": "2023-08-20 08:01:15", "lastmod": "2023-10-25 17:09:40", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } } ] }, "title": "Information Arrival and the Oil Price Collapse", "ispublished": "pub", "full_text_status": "restricted", "note": "\u00a9 2015 Institutional Investor LLC. \n\nI would like to thank John Haut for both research assistance and helpful comments.", "abstract": "Between late July 2014 and March 2015, the price of West Texas intermediate crude oil (WTI) fell by almost 60%. It is hardly surprising that such a dramatic drop in the price of an important resource led to a great deal of analysis of its cause and consequences. Examples include the work of Areski and Blanchard [2014], Baumeister and Kilian [2015], Cashin et al. [2014], Kilian [2014], and the World Bank [2014]. All of these articles are based on fundamental economic analysis, in that they examine the factors that affect the supply and demand for oil, such as GDP growth, the energy intensity of GDP, changes in oil production technology, producing nations' revenue requirements, and geopolitical forces.\n\nHere I take a different approach by applying a finance perspective. As Areski et al. [2014] observe, oil can be thought of both as a fundamental commodity and a financial asset. From this perspective, the price of oil is like the price of any other financial asset. Assuming that the oil market is relatively efficient, new information must enter the market for the price of crude to change by more than the minimal amount associated with normal carry. To what new information was the market responding during the dramatic price collapse between late July 2014 and March 2015?", "date": "2015-09", "date_type": "published", "publication": "Journal of Portfolio Management", "volume": "42", "number": "1", "publisher": "Institutional Investor Inc", "pagerange": "1-4", "id_number": "CaltechAUTHORS:20151130-083422203", "issn": "0095-4918", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20151130-083422203", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.3905/jpm.2015.42.1.001", "resource_type": "article", "pub_year": "2015", "author_list": "Cornell, Bradford" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/pxne3-abm06", "eprint_id": 59944, "eprint_status": "archive", "datestamp": "2023-08-22 16:06:05", "lastmod": "2023-10-23 22:50:51", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Asparouhova-E", "name": { "family": "Asparouhova", "given": "Elena" } }, { "id": "Bossaerts-P", "name": { "family": "Bossaerts", "given": "Peter" }, "orcid": "0000-0003-2308-2603" }, { "id": "\u010copi\u010d-J", "name": { "family": "\u010copi\u010d", "given": "Jernej" } }, { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Brad" } }, { "id": "Cvitani\u0107-J", "name": { "family": "Cvitani\u0107", "given": "Jak\u0161a" }, "orcid": "0000-0001-6651-3552" }, { "id": "Meloso-D", "name": { "family": "Meloso", "given": "Debrah" } } ] }, "title": "Competition in Portfolio Management: Theory and Experiment", "ispublished": "pub", "full_text_status": "public", "keywords": "delegated portfolio management; asset pricing theory; experimental finance", "note": "\u00a9 2015 INFORMS.\nThis work is licensed under a Creative Commons Attribution 4.0 International\nLicense. You are free to copy, distribute, transmit and adapt this work, but you must attribute this work as \"Management Science. Copyright 2015 INFORMS. http://dx.doi.org/10.1287/mnsc.2014.1935, used under a Creative Commons Attribution License: http://creativecommons.org/licenses/by/4.0/.\"\n\n\nReceived July 5, 2012; accepted September 27, 2013, by Jerome Detemple, finance. Published online in Articles in Advance July 25, 2014. \n\nThe authors thank Ron Kaniel, Sebastien Pouget, Neil Stoughton, and anonymous referees, as well as seminar audiences at the Hong Kong University of Science and Technology, the University of Granada, the Experimental Finance Conference at the University of Innsbruck, the Western Conference on Mathematical Finance at the University of Southern California, the Center for Studies in Economics and Finance\u2013Innocenzo Gasparini Institute for Economic Research Symposium on Economics and Institutions at Capri, EDHEC Business School, the University of Zurich Department of Finance, the International French Finance Association Conference (Lyon 2013), the Gerzensee Asset Pricing Symposium, and the Luxembourg School of Finance for useful comments. The authors also thank Tihomir Asparouhov for his help\nprogramming. Financial support from the National Science Foundation [Grants SES-0616431 and DMS 10-08219], the European Research Council [Advanced Grant BRSCDP-TEA], the Hacker Chair at the California Institute of Technology (Caltech), and the Development Fund of the David Eccles School of Business at the University of Utah is gratefully acknowledged.\n\nPublished - mnsc.2014.1935.pdf
", "abstract": "We explore theoretically and experimentally the general equilibrium price and allocation implications of delegated portfolio management when the investor\u2013manager relationship is nonexclusive. Our theory predicts that competition forces managers to promise portfolios that mimic Arrow\u2013Debreu (AD) securities, which investors then combine to fit their preferences. A weak version of the capital asset pricing model (CAPM) obtains, where state prices (relative to state probabilities) implicit in prices of traded securities will be inversely ranked to aggregate wealth across states. Our experiment broadly corroborates the price and choice predictions of the theory. However, price quality deteriorates when only a few managers attract most of the available wealth. Wealth concentration increases because funds flow toward managers who offer portfolios closer to replicating AD securities (as in the theory), but also because funds flow to managers who had better performance in the immediate past (an observation unrelated to the theory).", "date": "2015-08", "date_type": "published", "publication": "Management Science", "volume": "61", "number": "8", "publisher": "INFORMS", "pagerange": "1868-1888", "id_number": "CaltechAUTHORS:20150828-090251047", "issn": "0025-1909", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20150828-090251047", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "funders": { "items": [ { "agency": "NSF", "grant_number": "SES-0616431" }, { "agency": "NSF", "grant_number": "DMS 10-08219" }, { "agency": "European Research Council (ERC)" }, { "agency": "Caltech" }, { "agency": "University of Utah" } ] }, "doi": "10.1287/mnsc.2014.1935", "primary_object": { "basename": "mnsc.2014.1935.pdf", "url": "https://authors.library.caltech.edu/records/pxne3-abm06/files/mnsc.2014.1935.pdf" }, "resource_type": "article", "pub_year": "2015", "author_list": "Asparouhova, Elena; Bossaerts, Peter; et el." }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/2ktgk-53q47", "eprint_id": 89495, "eprint_status": "archive", "datestamp": "2023-08-20 03:12:29", "lastmod": "2024-01-14 20:57:04", "type": "book_section", "metadata_visibility": "show", "creators": { "items": [ { "id": "Montes-N\u00fa\u00f1ez-B-R", "name": { "family": "Montes N\u00fa\u00f1ez", "given": "B\u00e1rbara Rosario" } }, { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Brett" } }, { "id": "Ferella-Davide-A", "name": { "family": "Ferella Davide", "given": "Alfredo" } } ] }, "title": "Hands on XENON100 Dark Matter (DM) direct detection experiment: studying and modeling background and signal in a frequentist analysis framework", "ispublished": "unpub", "full_text_status": "public", "note": "Copyright owned by the author(s) under the term of the Creative Commons Attribution-NonCommercial-ShareAlike.\n\nPublished - GSSI14_017.pdf
", "abstract": "In this activity we try to reproduce the XENON100 direct dark matter search results from 224 live days of data taken between February 2011 and March 2012. The statistical approach to model signal and background in the profile likelihood analysis is presented and the procedure used by the XENON100 collaboration to interpret the results is partially implemented.", "date": "2014-10", "date_type": "published", "publisher": "SISSA", "id_number": "CaltechAUTHORS:20180910-131321511", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20180910-131321511", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.22323/1.229.0017", "primary_object": { "basename": "GSSI14_017.pdf", "url": "https://authors.library.caltech.edu/records/2ktgk-53q47/files/GSSI14_017.pdf" }, "resource_type": "book_section", "pub_year": "2014", "author_list": "Montes N\u00fa\u00f1ez, B\u00e1rbara Rosario; Cornell, Brett; et el." }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/s875f-6h229", "eprint_id": 52804, "eprint_status": "archive", "datestamp": "2023-08-19 22:44:17", "lastmod": "2023-10-18 21:36:30", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } }, { "id": "Damodaran-A", "name": { "family": "Damodaran", "given": "Aswath" } } ] }, "title": "Tesla: Anatomy of a Run-Up", "ispublished": "pub", "full_text_status": "restricted", "note": "\u00a9 2014 Institutional Investor Inc.", "abstract": "This article presents a detailed anatomy of the nearly seven-fold run-up in the price of Tesla stock between March 22, 2013 and February 26, 2014, and attempts to determine the role played by investor sentiment. Tesla offers a unique opportunity in this context because the run-up was on the order of magnitude experienced by some of the most volatile technology stocks, but Tesla operates in an industry\u2014automotive manufacturing\u2014and a potential industry\u2014battery construction\u2014that are mature and populated by established competitors. This makes it possible to construct discounted cash flow valuation models that are anchored to established fundamentals. On the basis of these models, in conjunction with a detailed event study and analysis of institutional stock holdings and short-sales data, the authors conclude that the run-up cannot be explained as a rational reaction to fundamental information. Instead, they conclude that, at the end of the run-up, the stock was overvalued by approximately 150%. In their view, the case study provides support for the assertion by Lawrence Summers that price and rational value can diverge significantly for prolonged periods of time.", "date": "2014", "date_type": "published", "publication": "Journal of Portfolio Management", "volume": "41", "number": "1", "publisher": "Institutional Investor Inc", "pagerange": "139-151", "id_number": "CaltechAUTHORS:20141215-092641617", "issn": "0095-4918", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20141215-092641617", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.3905/jpm.2014.41.1.139", "resource_type": "article", "pub_year": "2014", "author_list": "Cornell, Bradford and Damodaran, Aswath" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/45x6h-ma302", "eprint_id": 38971, "eprint_status": "archive", "datestamp": "2023-08-19 18:54:36", "lastmod": "2023-10-24 14:55:02", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } } ] }, "title": "What Moves Stock Prices: Another Look", "ispublished": "pub", "full_text_status": "restricted", "note": "\u00a9 2013 Institutional Investor.", "abstract": "In 1989, Culter, Poterba, and Summers\n[1989] published a paper examining the\nextent to which ex post movements in\naggregate stock prices could be attributed\nto the arrival of news. The research was motivated\nby Richard Roll's [1988] presidential\naddress to the American Finance Association,\nin which he concluded that only about a third\nof the variation in market indices could be\nattributed to economic influences.", "date": "2013-03", "date_type": "published", "publication": "Journal of Portfolio Management", "volume": "39", "number": "3", "publisher": "Institutional Investor Inc", "pagerange": "32-38", "id_number": "CaltechAUTHORS:20130618-131316680", "issn": "0095-4918", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20130618-131316680", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.3905/jpm.2013.39.3.032", "resource_type": "article", "pub_year": "2013", "author_list": "Cornell, Bradford" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/fh0r1-1qa12", "eprint_id": 104555, "eprint_status": "archive", "datestamp": "2023-08-19 10:53:23", "lastmod": "2023-10-20 20:36:30", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Moore-D-C", "name": { "family": "Moore", "given": "D. C." } }, { "id": "Golwala-S-R", "name": { "family": "Golwala", "given": "S." }, "orcid": "0000-0002-1098-7174" }, { "id": "Bumble-B", "name": { "family": "Bumble", "given": "B." } }, { "id": "Cornell-B", "name": { "family": "Cornell", "given": "B." } }, { "id": "Mazin-B-A", "name": { "family": "Mazin", "given": "B. A." } }, { "id": "Gao-J", "name": { "family": "Gao", "given": "J." } }, { "id": "Day-P-K", "name": { "family": "Day", "given": "P. K." } }, { "id": "LeDuc-H-G", "name": { "family": "LeDuc", "given": "H. G." } }, { "id": "Zmuidzinas-J", "name": { "family": "Zmuidzinas", "given": "J." } } ] }, "title": "Phonon mediated microwave kinetic inductance detectors", "ispublished": "pub", "full_text_status": "restricted", "keywords": "LEKIDs, Athermal phonon-mediated particle detectors", "note": "\u00a9 Springer Science+Business Media, LLC 2011. \n\nReceived: 28 July 2011. Accepted: 14 November 2011. Published online: 19 November 2011. \n\nThis research was carried out in part at the Jet Propulsion Laboratory (JPL), California Institute of Technology, under a contract with the National Aeronautics and Space Administration. The devices used in this work were fabricated at the JPL Microdevices Laboratory.We gratefully acknowledge support from the Gordon and Betty Moore Foundation, NASA grant NNX10AC83G, and the Keck Institute for Space Studies.", "abstract": "We are developing athermal-phonon mediated particle detectors using microwave kinetic inductance detectors (MKIDs) as the phonon sensing elements. Since MKIDs are easily multiplexed, hundreds of sensors patterned on a single dielectric substrate can be read out simultaneously, leading to a precise, time-resolved measurement of the phonon flux at each point on the detector surface. In addition to providing a high-resolution measurement of the location of the interaction, the energy deposited by the particle can be reconstructed with an expected baseline resolution of tens of eV. The complexity of the cryogenic readout electronics is significantly reduced relative to designs based on multiplexed transition edge sensors (TES). Initial proof-of-principle devices demonstrate energy resolutions as good as 0.7 keV at 30 keV, dominated by the position dependence of the phonon signal. New designs are aimed at improving this resolution by more than an order of magnitude. Such high-resolution phonon mediated detectors would have applications including direct detection of dark matter, hard X-ray/soft gamma-ray astrophysics, neutrinoless double beta decay, and coherent neutrino-nucleus scattering.", "date": "2012-05", "date_type": "published", "publication": "Journal of Low Temperature Physics", "volume": "167", "number": "3-4", "publisher": "Springer", "pagerange": "329-334", "id_number": "CaltechAUTHORS:20200723-174404438", "issn": "0022-2291", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20200723-174404438", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "funders": { "items": [ { "agency": "NASA/JPL/Caltech" }, { "agency": "Gordon and Betty Moore Foundation" }, { "agency": "NASA", "grant_number": "NNX10AC83G" }, { "agency": "Keck Institute for Space Studies (KISS)" } ] }, "local_group": { "items": [ { "id": "Keck-Institute-for-Space-Studies" } ] }, "doi": "10.1007/s10909-011-0434-1", "resource_type": "article", "pub_year": "2012", "author_list": "Moore, D. C.; Golwala, S.; et el." }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/7ga0n-8e694", "eprint_id": 34498, "eprint_status": "archive", "datestamp": "2023-08-19 10:15:10", "lastmod": "2023-10-19 15:00:27", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } } ] }, "title": "Demographics, GDP, and Future Stock Returns: The Implications of Some Basic Principles", "ispublished": "pub", "full_text_status": "restricted", "note": "\u00a9 2012 Institutional Investor Inc.\n\nSummer 2012.\n\nI would like to thank Robert Arnott, Elisabeth Browne,\nand John Cochrane for provocative correspondence on the\nissues addressed in this article without implying that any of them agree with my views.", "abstract": "The aging of the baby boom generation has focused investor attention on the issue of how changing demographics will affect the economy generally and the stock market specifically. One commonly expressed view is that stock returns will be depressed as baby boomers liquidate their portfolios to fund retirement. In this short paper, I return to basic theories of economic growth and asset pricing to disentangle the various ways in which demographics can affect future economic growth and future stock returns. I conclude that while the aging of the baby boom generation is indeed bad news for future economic growth, particularly on a per capita basis, it is unlikely to be lead to lower future stock returns.", "date": "2012-03-09", "date_type": "published", "publication": "Journal of Portfolio Management", "publisher": "Institutional Investor Inc", "pagerange": "96-99", "id_number": "CaltechAUTHORS:20120927-094537602", "issn": "0095-4918", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20120927-094537602", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.2139/ssrn.2080637", "resource_type": "article", "pub_year": "2012", "author_list": "Cornell, Bradford" }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/a95fe-zty11", "eprint_id": 98073, "eprint_status": "archive", "datestamp": "2023-08-21 23:11:44", "lastmod": "2023-10-18 17:01:11", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } }, { "id": "Cvitani\u0107-J", "name": { "family": "Cvitani\u0107", "given": "Jak\u0161a" }, "orcid": "0000-0001-6651-3552" }, { "id": "Goukasian-L", "name": { "family": "Goukasian", "given": "Levon" } } ] }, "title": "Beliefs regarding fundamental value and optimal investing", "ispublished": "pub", "full_text_status": "restricted", "keywords": "Investor beliefs; Mispricing; Optimal portfolios; Range reversion; Risk premium", "note": "\u00a9 2009 Springer-Verlag. \n\nThe previous version of this paper was circulated under the title \"Optimal investing with perceived mispricing\". J.C.'s research supported in part by NSF grants DMS 04-03575 and DMS 06-31298, and through the Program \"GUEST\" of the National Foundation For Science, Higher Education and Technological Development of the Republic of Croatia.", "abstract": "Standard optimal portfolio selection models take no account of the special information that active investors believe they possess. For example, active investors who believe they can place bounds on the price of a security will want to use that information when assessing risk and expected return in order to construct an optimal portfolio. In this paper, we use two continuous-time models to analyze how placing boundaries on the price of a stock affects assessed risk, expected returns, and the optimal holdings of an active investor, and how those vary as a function of the relation between the stock price and the boundaries. In particular, the optimal strategy takes significant long/short positions as the price nears its lower/upper boundary.", "date": "2010-01", "date_type": "published", "publication": "Annals of Finance", "volume": "6", "publisher": "Springer", "pagerange": "83-105", "id_number": "CaltechAUTHORS:20190821-103126134", "issn": "1614-2446", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20190821-103126134", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "funders": { "items": [ { "agency": "NSF", "grant_number": "DMS 04-03575" }, { "agency": "NSF", "grant_number": "DMS 06-31298" }, { "agency": "National Foundation For Science, Higher Education and Technological Development (Croatia)" } ] }, "doi": "10.1007/s10436-009-0133-y", "resource_type": "article", "pub_year": "2010", "author_list": "Cornell, Bradford; Cvitani\u0107, Jak\u0161a; et el." }, { "id": "https://authors.library.caltech.eduhttps://authors.library.caltech.edu/records/7a7s8-vee05", "eprint_id": 95042, "eprint_status": "archive", "datestamp": "2023-08-19 15:13:04", "lastmod": "2023-10-20 18:30:27", "type": "article", "metadata_visibility": "show", "creators": { "items": [ { "id": "Cornell-B", "name": { "family": "Cornell", "given": "Bradford" } }, { "id": "Roll-R", "name": { "family": "Roll", "given": "Richard" } } ] }, "title": "A Delegated-Agent Asset-Pricing Model", "ispublished": "pub", "full_text_status": "public", "note": "\u00a9 2005 Chartered Financial Analysis Institute.", "abstract": "Asset-pricing theory has traditionally made predictions about risk and return but has been silent on the actual process of investment. Today, most investors delegate major investment decisions to financial professionals. This suggests that the instructions given by investors to their delegated agents and the compensation of those agents might be important determinants of capital market equilibrium. In the extreme, when all investment decisions are delegated, the preferences and beliefs of individuals would be completely superseded by the objective functions of agent/managers. A provocative illustration of the difference between direct and delegated investing is provided based on active asset management relative to a benchmark index, a common objective function in practice. With the growing preponderance of delegated investing, future asset-pricing theory will not only have to describe risk and return but, to be complete, must also be able to explain the observed objective functions used by professional managers.\n\nAsset-pricing theory has traditionally made predictions about risk and return but has been silent on the actual process of investment. Many investors today delegate major investment decisions to professionals\u2014investment managers or financial advisors. Thus, the instructions given by investors to their delegated agents and the compensation of those agents may be important determinants of capital market equilibrium. In the extreme case of all investment decisions being delegated, the preferences and beliefs of individuals would be completely superseded by the objective functions of agent/managers.\n\nIn specifying an objective function for the agent, there is always a trade-off between (1) a complete reflection of the principal's desires and (2) enough clarity and transparency that the principal's objectives can be codified, monitored, and enforced at reasonable cost. To the extent that delegated agents are the predominant investors, it is their objective functions, not investor utility functions, that determine relative asset prices. In other words, the actual portfolios managed by investment professionals on behalf of their clients may differ in fundamental respects from the investment portfolios clients might have selected on their own.\n\nIn the case of investment management, the objective functions can be empirically observed. To illustrate, we consider a hypothetical capital market where all investors partition their resources between active and passive managers. Passive managers run index funds. Active managers are compared with those passive benchmark indexes; their compensation depends on average excess return performance and (negatively) on the volatility of tracking error. This compensation arrangement is a common objective function in practice but has no grounding in traditional theory. Investors give half their funds to passive managers to manage because the investors are uncertain about the value added by active managers.\n\nActive managers respond to their compensation incentives by selecting portfolios that they believe will have higher average returns than their benchmarks but are also highly correlated with their benchmarks (to control tracking error). Usually, such portfolios will not be optimal in the mean\u2013variance sense. Indeed, active managers are aware that other portfolios have higher expected returns and/or lower volatility than the portfolios they select, but they eschew such choices because of the tracking-error risk. Such suboptimal choices are the direct result of delegated investing and the concomitant divergence between manager objective functions and investor utility functions.\n\nThe resulting capital market equilibrium differs materially from the standard mean\u2013variance capital asset pricing model, even though investors acting alone would have produced the CAPM equilibrium. Delegated investing adds an extra term to the cross-sectional relationship between risk and return. In addition to the familiar beta, the return\u2013risk trade-off depends on the fraction of all funds invested with active managers and the compensation schedules of those managers. Moreover, one of the central implications of the standard CAPM, that the market portfolio of all assets is mean\u2013variance efficient, is no longer true when professional managers are dominant. The market portfolio's composition is also influenced by agent/manager compensation schedules.\n\nWith the growing preponderance of delegated investing, asset-pricing theory of the future will not only have to describe risk and return but also, to be complete, explain the observed objective functions and the compensation contracts of professional investment managers.", "date": "2005-01", "date_type": "published", "publication": "Financial Analysts Journal", "volume": "61", "number": "1", "publisher": "Chartered Financial Analysis Institute", "pagerange": "57-69", "id_number": "CaltechAUTHORS:20190426-145910644", "issn": "0015-198X", "official_url": "https://resolver.caltech.edu/CaltechAUTHORS:20190426-145910644", "rights": "No commercial reproduction, distribution, display or performance rights in this work are provided.", "doi": "10.2469/faj.v61.n1.2684", "resource_type": "article", "pub_year": "2005", "author_list": "Cornell, Bradford and Roll, Richard" } ]