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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.

Journal Article

The Credit Risk Premium

Using data spanning 80 years in the U.S.

Journal Article

Style Investing in Fixed Income Markets

A disciplined, systematic approach to over/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive (sometimes called “quality”), can offer alternative sources of outperformance not only within equities, where these ideas have long been studied and applied, but also within fixed income markets.

Journal Article

The Persistence and Pricing of the Cash Component of Earnings

In this paper, we provide a detailed investigation of the persistence and pricing of the cash component of earnings.

Journal Article

What Makes Stock Prices Move? Fundamentals vs. Investor Recognition

Behavioral finance research documents that investors are more likely to hold “attention grabbing” stocks —those of firms that currently have popular products and services, such as Apple and Pandora.

Journal Article

Asset Reliability and Security Prices Evidence From Credit Markets

This paper explores the relation between the reliability of an enterprise’s accounting and its security prices.

Journal Article

Why Are Earnings Kinky? An Examination of the Earnings Management Explanation

An empirical regularity documented by Hayn (1995) is that there is a ‘‘kink’’ in the earnings distribution: too few firms report small losses and too many firms report small profits.

Journal Article

The Relation Between Corporate Financing Activities, Analysts’ Forecasts and Stock Returns

This paper looks at the negative relation between external financing activities and future stock returns.

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.

Journal Article

Common Factors in Corporate Bond and Bond Fund Returns

This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.