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Working Paper

Risky Value

This paper uses an accounting-based approach to identify growth characteristics that can help explain equity returns at the country level for a sample of 30 countries over the past two decades.

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.

Working Paper

Inventory Growth and Future Performance: Can It Be Attributed to Risk?

This paper uses information external to the firm to condition forecasts of future firm performance, starting with the well-known negative relation between inventory growth and future firm performance.

Working Paper

Accruals and Short Selling: An Opportunity Foregone

Short sellers have strong incentive to use accrual information as they seek to profit from expected lower future performance of high-accrual firms. But we find that short sellers do not use the content of current accruals to choose which stocks to short.

Working Paper

Pump and Dump: An Empirical Analysis of the Relation Between Corporate Financing Activities and Sell-side Analyst Research

Sell-side analysts have long faced allegations that pressures to generate investment banking business compromise the soundness of their research. This paper examines the relation between corporate financing activities and sell-side analyst research.

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

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

Balance Sheet Information and Future Stock Returns

A 2004 paper by Hirshleifer, Hou, Teoh and Zhang argues that measuring the level of net operating assets is a superior predictor of a company's future earnings and stock returns. Here, we point out how their claim may be misleading.

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.

Journal Article

(Il)liquidity Premium in Credit Markets: A Myth?

Do investors demand a risk premium for holding less liquid corporate bonds? We investigate the evidence.