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Journal Article

Reliability of Asset Revaluations: The Impact of Appraiser Independence

In this paper we use a sample of recognized Australian asset revaluations to examine whether there are differences in the reliability of asset revaluations made by boards of directors versus independent (external) appraisers.

Journal Article

Macro to Micro: Country Exposures, Firm Fundamentals and Stock Returns

In an increasingly interconnected global system of economic and financial markets, understanding the macroeconomic landscape is important.

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.

Journal Article

Buyback Derangement Syndrome

Winner of an “Outstanding Article” award in the 20th Annual Bernstein Fabozzi/Jacobs Levy Awards. A seemingly large amount of stock buybacks in recent years has prompted many to claim that buybacks have come at the expense of new investment. Our latest paper shows why neither the theory nor the evidence supports this view.

Journal Article

Value Investing in Credit Markets

In this paper we outline an approach to make use of accounting and market based information to forecast corporate default.

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

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 Implications of Accounting Distortions and Growth for Accruals and Profitability

This paper examines alternative explanations for the differential persistence of the accrual and cash flow components of earnings.

Journal Article

Earnings Quality and Short Sellers

Earnings quality is often defined in terms of persistence and sustainability.

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.