Research 

 
All articles in this page are in PDF format. If you have trouble downloading any, just email me and we'll work it out.
 
 

BOOKS

Finance in a Nutshell - A No-Nonsense Companion to the Tools and Techniques of Finance. FT - Prentice Hall, 2005.

The Essential Financial Toolkit - Everything You Always Wanted To Know About Finance But Were Afraid To Ask . Palgrave Macmillan, 2011.

The FT Guide to Understanding Finance - A No-Nonsense Companion to Financial Tools and Techniques. FT - Prentice Hall, 2011.
 

ARTICLES (Refereed Journals)

• “A Note on the Optimality of Strict Liability.” Economics Letters, 41 (1993), 187-191.

• “Insider Trading: Regulation, Deregulation, and Taxation.” Swiss Review of Business Law, 5/94 (1994), 209-218.

• “Insider Trading: Regulation, Securities Markets, and Welfare Under Risk Aversion.” Quarterly Review of Economics and Finance, 35 (1995), 421-449. (Reprinted in Essays in Law and Economics II. Financial Markets and Insurance, edited by D. Heremans and H. Cousy, 1996, Maklu.)

• “The Temporal Dimension of Risk.” Quarterly Review of Economics and Finance, 40 (Summer 2000), 189-204.

• “The Cost of Equity in Emerging Markets: A Downside Risk Approach.” Emerging Markets Quarterly, Fall (2000), 19-30.

• “Empirical Distributions of Stock Returns: European Securities Markets, 1990-95.” European Journal of Finance, 7 (2001), 1-21. (With Felipe Aparicio.)

• “The Cost of Equity in Emerging Markets: A Downside Risk Approach (II).” Emerging Markets Quarterly, Spring (2001), 63-72.

• “Empirical Evidence on the Impact of European Insider Trading Regulations.” Studies in Economics and Finance, Spring (2002), 12-34. (With Ignacio Peña.)

• “Introduction to 'Valuation in Emerging Markets.'” Emerging Markets Review, 4 (2002), 310-324. (With Robert Bruner, Robert Conroy, Mark Kritzman, and Wei Li.)

• “Systematic Risk in Emerging Markets: The D-CAPM.” Emerging Markets Review, 4 (2002), 365-379.

• “Mean-Semivariance Behavior: A Note.” Finance Letters, 1 (2003), 9-14.

• “The Cost of Equity of Internet Stocks: A Downside Risk Approach.” European Journal of Finance, 10 (2004), 239-254.

• “Adjusting P/E Ratios by Growth and Risk: A Note.” Finance Letters, 2 (2004), 4-10.

• “Mean-Semivariance Behavior: An Alternative Behavioral Model.” Journal of Emerging Market Finance, 3 (2004), 231-248.

• “Risk and Return in Emerging Markets: Family Matters.” Journal of Multinational Financial Management, 15 (2005), 257-272. (With Ana Paula Serra.)

• “Countries versus Industries in Europe: A Normative Portfolio Approach.” Journal of Asset Management, 6 (2005), 85-103. (With Mark Kritzman, Simon Myrgren, and Sebastien Page.)

•  “Adjusting P/E Ratios by Growth and Risk: The PERG Ratio.” International Journal of Managerial Finance, 1 (2005), 187-203.

• “Downside Risk in Practice.” Journal of Applied Corporate Finance, 18 (2006), 117-125.

• “The Fed Model: A Note.” Finance Research Letters, 3 (2006), 14-22.

• “Countries versus Industries in Emerging Markets: A Normative Portfolio Approach.” Journal of Investing, Winter (2006), 2-11. (With Mark Kritzman and Sebastien Page.)

• “Mean-Semivariance  Behavior: Downside Risk and Capital Asset Pricing.” International Review of Economics and Finance, 16 (2007), 169-185.

• “Discount Rates in Emerging Markets: Four Models and an Application.” Journal of Applied Corporate Finance, 19 (2007), 72-77.

• “Investing in the 21st Century: With Occam’s Razor and Bogle’s Wit.” Corporate Finance Review, May/June (2007), 5-14.

• “Fundamental Indexation and International Diversification.” Journal of Portfolio Management, Spring (2008), 93-109.

• “Black Swans and Market Timing: How Not To Generate Alpha.” Journal of Investing, Fall (2008), 20-34.

• “Mean-Semivariance Optimization: A Heuristic Approach.” Journal of Applied Finance, 18, 1 (2008), 57-72.

• “Investing in Emerging Markets: A Black Swan Perspective.” Corporate Finance Review, January/February (2009), 14-21.

• “The Fed Model: The Bad, the Worse, and the Ugly.” Quarterly Review of Economics and Finance, 49 (2009), 214-238.

• “Black Swans in Emerging Markets.” Journal of Investing, Summer (2009), 50-56.

• “Black Swans, Market Timing, and the Dow.” Applied Economics Letters, 16 (2009) 1117–1121.

• “The Gain-Loss Spread: A New and Intuitive Measure of Risk.” Journal of Applied Corporate Finance, Fall (2009), 104-114.

• “Geometric Mean Maximization: An Overlooked Portfolio Approach?” Journal of Investing, Winter (2010), 134-147. (For an extended version of this article, click here.)

• “The Three-Factor Model: A Practitioner's Guide” Journal of Applied Corporate Finance, Spring (2011), 77-84.

• “Black Swans, Beta, Risk, and Return.” Journal of Applied Finance, 22, 2 (2012), 77-89. (With Maria Vargas.)

• “Blinded by Growth.” Journal of Applied Corporate Finance, Summer (2012), 19-25.

• “Are Stocks Riskier than Bonds? Not If You Assess Risk Like Warren Buffett.” Journal of Asset Management, 14 (2013), 73-78.

• “Geometric Mean Maximization: Expected, Observed, and Simulated Performance.” Journal of Investing, 22 (2013), 106-119. (With Rafael De Santiago.)

• “The Enhanced Risk Premium Factor Model and Expected Returns.” Journal of Investment Strategies, 2 (2013), 3-21.

• “Stocks, Bonds, Risk, and the Holding Period: An International Perspective.” Journal of Wealth Management, Fall (2013), 25-44.

• “Essential Ideas for Investors: Do Not Part With Your Money Without Them!.” Corporate Finance Review, July/August (2013), 18-26.

• “Quantitative Investment and Risk Management: Where Does It Go From Here?.” Journal of Applied Finance, 23, 2 (2013), 23-35. (With Andrew Chin, Michael Edleson, and Kevin Sun.)

• “Essential Ideas for Investors (II): Some Benchmark Portfolios.” Corporate Finance Review, May/June (2014), 5-11.

• “The Glidepath Illusion: An International Perspective.” Journal of Portfolio Management, Summer (2014), 52-64.

• “Rethinking Risk.” Journal of Asset Management, 15 (2014), 239-259.

• “Rethinking Risk (II): The Size and Value Effects.” Journal of Wealth Management, Winter (2014), 78-83.

• “New Frontiers in Portfolio Management.” Journal of Applied Finance, 25, 1 (2015), 68-71. (With Rose Mary Cosio and Mark Kritzman.)

• “Multiples, Forecasting, and Asset Allocation.” Journal of Applied Corporate Finance, Summer (2015), 144-151.

• “GHAUS Asset Allocation.” Journal of Asset Management, 17, 1 (2016), 1-9.

• “Buffett's Asset Allocation Advice: Take It ... With a Twist.” Journal of Wealth Management, 18, 4 (2016), 59-64.

• “The Retirement Glidepath: An International Perspective.” Journal of Investing, Journal of Investing, 25, 2 (2016), 28-54.

• “Alternatives: How? How Much? Why?.” Journal of Wealth Management, 19, 3 (2016), 49-61.

• “Global Asset Allocation in Retirement: Buffett's Advice and a Simple Twist.” Journal of Retirement, 4, 2 (2016), 54-69.

• “Refining the Failure Rate.” Journal of Retirement, 4, 3 (2017), 63-76.

• “From Failure to Success: Replacing the Failure Rate.” Journal of Wealth Management, 20, 4 (2018), 9-21.

• “Maximum Withdrawal Rates: An Empirical and Global Perspective.” Journal of Retirement, 5, 3 (2018), 57-71.

• “Maximum Withdrawal Rates: A Novel and Useful Tool.” Journal of Applied Corporate Finance, 29, 4 (2018), 134-137.

• “Replacing the Failure Rate: A Downside Risk Perspective.” Journal of Retirement, 5, 4 (2018), 46-56.


ARTICLES (Various)

• “Monkey Business: Contest Ignores Risk.” The Wall Street Journal Europe, Jan/10/95.

• “Why Investing in Emerging Markets?” Expansion (Spanish business newspaper, in Spanish), Mar/23/98.

• “Emerging Markets: A Good Shelter for Investments.” Expansion (Spanish business newspaper, in Spanish), Apr/30/98.

• “The ‘Risk’ of Investing in Emerging Markets.” Expansion (Spanish business newspaper, in Spanish), May/16/98.

• “Methods of Relative Valuation.” Expansion (Spanish business newspaper, in Spanish), Sep/22/00.

• “A Step Ahead: Reverse Valuation.” Expansion (Spanish business newspaper, in Spanish), Sep/29/00.

• “Pricing Internet Stocks.” European Business Forum, Autumn 2000, 56-59.

• “Another Tulip Bulb, Another Dotcom.” Connectis, April 2001, 24-25.

• “The Crisis in Argentina and Its Impact on Spain.” Expansion (Spanish business newspaper, in Spanish), Feb/2/02.

• “Google Goes Public." Expansion (Spanish business newspaper, in Spanish), Jun/24/04.

• “Focus on the Downside.” Financial Times, Mastering Risk, Sep/16/05.

Book review: The Undercover Economist (by Tim Harford). Journal of Investment Management, 4, 2 (2006), 82-83.

Book review: The Future for Investors (by Jeremy Siegel). Journal of Investment Management, 4, 2 (2006), 83-85.

• “Farewell from the Founding Editor: A Brief History of the EMR (So Far).” Emerging Markets Review, 8 (2007), 2-3.

• “Investing for the Long Term: Technique and Perspectives for the European Market.” European Business Forum, Autumn 2007, 40-45.

• “Investing for the Long Term: Technique and Perspectives for the Spanish Market.” Bolsa (in Spanish), October 2007, 74-77.

Book review: Fortune's Formula (by William Poundstone). Journal of Investment Management, 5, 4 (2007), 131-132.

• “What Should Investors Do? Nothing! Just Sit Tight.” Financial Times, Jan/31/08.

• “Black Swans in Stock Markets.” El Economista (Mexican business newspaper, in Spanish), Feb/5/08.

• “Black Swans in Stock Markets.” Expansion (Spanish business newspaper, in Spanish), Feb/7/08.

Book review: The Little Book of Value Investing (by Christopher Browne) and The Little Book of Common Sense Investing (by John Bogle). Journal of Investment Management, 6, 1 (2008), 81-82.

• “Investing in a Volatile Environment: A Black Swan Perspective.” QFinance - The Ultimate Resource (Bloomsbury), 312-313.

Book review: The Logic of Life (by Tim Harford). Journal of Investment Management, 7, 3 (2009), 103-104.

• “How To Hold Your Nerves in Volatile Markets: Think About (Black) Swans.” MWorld, Summer/Fall 2009, 26-29.

• “No Gain Without Pain.” Quantum, 10 (2010), 50-55.

• “Book review: The Little Book of Safe Money (by Jason Zweig) and The Little Book of Bulletproof Investing (by Ben Stein and Phil DeMuth).” Journal of Investment Management, 8, 4 (2010), 87-89.

Book review: The Big Short (by Michael Lewis). Journal of Investment Management, 9, 1 (2011), 101-102.

Book review: On the Brink (by Hank Paulson). Journal of Investment Management, 10, 4 (2012), 118-120.

Book review: The Most Important Thing (by Howard Marks). Journal of Investment Management, 11, 2 (2013), 110-111.

Book review: The Behavior Gap (by Carl Richards). Journal of Investment Management, 11, 4 (2013), 75-76.

Book review: The Undercover Economist Strikes Again (by Tim Harford). Journal of Investment Management, 12, 3 (2014), 120-121.

• Target-Date Funds: The Good, the Bad, and the Ugly.” European Financial Review, Feb-Mar (2015), 54-57.

• Low Rates? Ten Ideas to Consider.” El Periodico (Spanish newspaper, in Spanish), Feb/24/15.

Book review: Think Like a Freak (by Steven Levitt and Stephen Dubner). Journal of Investment Management, 13, 2 (2015), 115-116.

• “Valuation's Usefulness for Forecasting and Setting Asset Allocation.” American Association of Individual Investors Journal, July (2015), 29-31.

• “The Retirement Glidepath: A Vote for Static Allocations.” CFA's Investment Risk and Performance, 2015, 1, 1-4.

Book review: Global Asset Allocation (by Mebane Faber). Journal of Investment Management, 14, 1 (2016), 101-102.

Book review: Misbehaving (by Richard Thaler). Journal of Investment Management, 14, 3 (2016), 75-76.

• “Investing: How Alternatives May Help Your Portfolio.” Forbes Online (May, 2017).

• “An Approach for Asset Allocation.” IESE Alumni Magazine, October-December (2017).

Book review: The Index Revolution (by Charles Ellis). Journal of Investment Management, 15, 3 (2017), 81-82.


ARTICLES (Unpublished)

• “Crime and Punishment: An Introductory Analysis in a Noncooperative Framework.” Working Paper, 1994.

• “Insider Trading: Regulation, Securities Markets, and Welfare Under Risk Neutrality.” Working Paper, 1994.

• “Insider Trading: Regulation or Taxation?” Working Paper, 1996.

• “Insider Trading: Regulation, Risk Reallocation, and Welfare.” Working Paper, 1996.

• “The Distribution of Sentences in Tax-Related Cases: Explaining Success Rates.” Working Paper, 1997. (With Santos Pastor.)

• “Empirical Distributions of Stock Returns: Scandinavian Securities Markets, 1990-95.” Working Paper, 1997. (With Felipe Aparicio.)

• “Law and Behavioral Economics.” Working Paper, 2001.


WORK IN PROGRESS

Evaluating Retirement Strategies: A Utility-Based Approach.” In progress.

“The Bucket Approach for Retirement Strategies: Just a Behavioral Trick?” In progress.