HeyJaredAlpha in Academia
A curated newsletter featuring recent academic papers on financial markets, economics, and quantitative finance.
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- Sep 26, 2026
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Recent Academic Research (opens the original)
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Welcome back to another issue of Recent Academic Research! Let’s get into it. Borrowed Money, Borrowed MomentumFactor momentum gets much stronger right after investors borrow heavily to chase recent performance.Momentum among asset pricing factors has always been awkward, because factors are supposed to pay you for bearing risk, not for their own past returns. Sun and Xia offer a concrete answer using an old and unglamorous data series, margin debt, the money brokerage customers borrow against t
The Rise and Fall of the FOMC Cycle (opens the original)
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Hello and welcome back to another paid post!In 2019, Cieslak, Morse and Vissing-Jørgensen published a paper in the Journal of Finance arguing that the entire post-1994 US equity risk premium was earned during the “even” weeks of the Federal Reserve’s rate-setting cycle. The Wall Street Journal wrote it up. The Economist wrote it up. It became a fixture in trading-desk lore and in classroom arguments about market efficiency. This piece reproduces their finding on the original 1994 to 2013 sample,
Recent Academic Research (opens the original)
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Welcome back to another issue of Recent Academic Research!Let’s get into it.Fair-Weather Liquidity: When HFT Helps Corporate Bond Investors, and When It RunsHigh-frequency traders tighten corporate bond spreads in calm markets and then vanish exactly when funds need them most.Using two decades of TRACE, CRSP, and TAQ data covering 712 mutual funds and roughly 14 million bond trades, this paper maps how algorithmic trading and portfolio illiquidity jointly drive corporate bond fragility. The head
A Drift, Not an Event (opens the original)
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Hello and welcome back to another paid post!Part 2 of 2. Part 1 measured what 210 published anomalies earned inside and outside the window their own papers examined, and found returns run at roughly half outside it in both directions. This piece takes the one number that looked like an arbitrage effect and finds that the method producing it would have produced it anyway.The standard design compares an anomaly’s returns in the window after its paper’s sample ends to its returns after the paper is
Anomalies Before Anyone Found Them (opens the original)
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Hello and welcome back to another paid post!Part 1 of 2. This piece sets up the measurement and asks what a published anomaly was doing in the decades before its own paper's sample begins. Part 2 takes the post-publication drop that falls out of it and tests whether that drop is an arbitrage effect at all.Today we are looking at what happens to a published stock market anomaly across its life. Across 210 anomalies from the academic literature, the long-short return inside each paper’s own sample
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