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Working Paper

Does Fundamental Volatility Help Explain Credit Risk?

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.

Book

Evaluating Financial Reporting Quality

This chapter touches on major themes in financial reporting quality. Many of the techniques described here are used by analysts to make security recommendations and by asset managers in making portfolio allocation decisions.

Working Paper

Back-Door Links Between Directors and Executive Compensation

A key task of a board of directors is to determine the compensation of the CEO. We studied whether ties between directors, or between the CEO and members of the compensation committee, affect how much the CEO receives.

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

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

Accounting for Taste: Board Member Preferences and Corporate Policy Choices

Are individual board members’ preferences or skills reflected in their firms’ corporate policies? We believe they are. Our results show that a board of directors can determine a broad range of governance, disclosure, financial and strategic policy choices.

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

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

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

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.