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Journal Article

A Framework for Identifying Accounting Characteristics for Asset Pricing Models, with an Evaluation of Book-to-Price

We provide a framework for identifying accounting numbers that indicate risk and expected return.

Working Paper

Earnings Quality and Financial Reporting Credibility: An Empirical Investigation

Firms with extremely high accruals experience subsequent reductions in earnings and are more likely to be subject to SEC enforcement actions. Do analysts anticipate the earnings reductions in their forecasts? We investigate here.

Working Paper

Does Credible Mean Reliable?

Are independent revaluations more reliable than those conducted by corporate directors? We examine whether high quality independent valuers provides a credible evaluation about the underlying reliability of recognized asset revaluations.

Working Paper

Do Short Sale Transactions Precede Bad News Events?

It's argued that short sellers are a sophisticated subset of investors given the relative costs of short selling, and prior research suggests that short sellers are, on average, able to predict lower future performance. We test these assertions here.

Working Paper

Deleveraging Risk

Using various measures of short selling activity for a large sample of U.S. securities, we find evidence that deleveraging risk—the risk of losses due to a sudden and widespread reduction in stocks held by levered investors—affects equity returns.

Journal Article

Asset Volatility

We aim to bring a better understanding of credit risk, by investigating whether combining market- and accounting-based measures of asset volatility generates a superior measure of total asset volatility.

Working Paper

Are Benchmark Beaters Doing Anything Wrong?

We investigate “benchmark beater" firms and compare them to the distribution of all other firms. It is often assumed that firms “manage” earnings to beat expectations, but little evidence exists on how benchmarks are beaten or why firms do so.

Working Paper

An Accounting-Based Characteristic Model for Asset Pricing

Prior research documents robust correlations between firm characteristics and future stock returns, but provides little insight on why. Our firm characteristic model provides a structure to interpret these observed correlations.

Working Paper

Tracking Analysts Forecasts Over the Annual Earnings Horizon

Looking at analysts' earnings forecasts in the 12 months leading up to the annual earnings announcement, we find evidence that analysts allow firms to guide their forecasts and thus provide a more “beatable” forecast.

Journal Article

The Credit Risk Premium

Using data spanning 80 years in the U.S. and nearly 20 years in Europe, the authors of this paper find what they characterize as strong evidence of credit risk premium after correctly adjusting for term risk.