I presented my job market paper, “Anomalies, Roll’s Critique, and Proxy Error”, at the FMA 2023. This paper is a semifinalist for the best paper in investments at the FMA 2023. Click here to download the paper.

In “Anomalies, Roll’s Critique, and Proxy Error”, I propose a test to measure the impact of Roll’s (1977) Critique on anomaly alphas. Roll’s Critique is that using the portfolio of all equities instead of the portfolio of all risky assets creates an omitted variables bias. This bias will impact alphas, but the size of the impact has not been well understood. I find that Roll’s critique is not negligible. Some of the anomalies’ alphas are considerably biased. I show that those anomalies with biased alphas are correlated with the omitted variable (the missing, non-equity returns). Adding the anomalies with large biases as additional factors appears to alleviate Roll’s Critique.

1. “Anomalies, Roll’s Critique, and Proxy Error”

2. “Sorting the Sources of Economic and Statistical Significance in Asset Pricing Tests: a GRS Decomposition into PCA Factors”

3. “Tax Loss Harvesting and Momentum” (with Richard Sias)

4. “Factor Tilts or Active Tilts – Does Your Fund Look for the Value Factor or Value Investments?” (with Richard Sias)