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White Paper

Systematic Credit Investing

This paper aims to increase familiarity of the credit asset class and provide an overview of our approach to systematic credit investing. We introduce credit instruments and outline a framework for understanding sources of credit excess returns.

Working Paper

Asset-Measurement Uncertainty and Credit-Term Structure

Studying the spike in financial market volatility in 2007, this paper tests whether credit investors’ uncertainty about a company’s asset values affects short-term credit spreads and the underlying credit term-structure.

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

Information in Accruals About the Quality of Earnings

This paper provides a systematic examination of what accounting accruals—defined as the difference between earnings and free cash flows—can tell investors about earnings quality in the future.

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

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

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

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.

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.

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.