Journal Articles

Our original research that has been published in peer-reviewed academic and practitioner journals.

Search the Library

  1. In this paper, the authors revisit the negative relation between accruals and future earnings. Their focus is on the risk-based explanation for the negative relation between measures of accruals and future firm performance.

  2. Four investment strategies — Value, Momentum, Carry and Defensive — have delivered positive long-term returns with low correlation across a multitude of asset classes, markets, and time periods. We discuss the intuition and evidence for “style investing,” and describe a strategy to capture these premia through liquid securities.

  3. This paper analyzes an option-pricing framework that accounts for the price impact of an earnings announcement, with emphasis on the behavior of the implied volatility prior to the event.

  4. We discuss the intuition and evidence underlying investing styles and describe how to access these sources of returns in a liquid, market-neutral framework.

  5. We dispel a number of myths about covered calls and highlight the source of the strategy’s higher risk-adjusted returns: a diversified exposure to the equity and volatility risk premia.

  6. This article addresses two empirical questions: How do funds reallocate based on past returns? And what are momentum/reversal patterns in financial markets returns?

  7. This paper lays out the evidence on the importance of early life conditions in shaping multiple life skills. The authors find that parental engagement, stimulating interaction and attachment are essential for skill development and critical determinants of later-life success.

  8. We outline a systematic approach to incorporate macroeconomic information into firm level forecasting from the perspective of an equity investor.

  9. In this paper, we study the sensitivity of traditional asset classes and dynamic strategies to different macroeconomic environments.

  10. Assessing the potential impacts on the Canadian economy and Canadian markets of foreign governments holding Canadian dollars as a reserve currency.