Our original research not yet submitted to a peer-reviewed journal; doctoral dissertations.
We examine whether fundamental accounting characteristics like earnings and book values explain cross-sectional variation in country-level returns.
In this paper we revisit the negative relation between accruals, in particular inventory, and future firm performance.
The authors seek to show that a rational model of home equity-based borrowing by liquidity-constrained households can quantitatively account for the empirical patterns in household leverage and consumption over the decade through 2012.
This paper presents an accounting framework for identifying correlations between firm characteristics and future stock returns.
An analysis of fixed-odds betting on financial markets to determine whether bettors have skill and if they have risk intelligence.
The goal of this paper is to build a model of contingent convertible bonds (CoCos) with a minimum of factors that can be calibrated to market prices of related securities such as the issuing company's stock, interest rate swaps and CDS's.
We examine the trading costs, net-of-cost returns and break-even fund sizes of equity strategies designed to capture several asset-pricing anomalies.
This paper develops a quantitative structural model of trade and the currency composition of debt for firms in a small open economy with exchange rate risk.
Consistent with investor leverage aversion, asset classes with higher embedded leverage (ETFs, Options, etc.) show lower risk-adjusted returns.
In this paper, the authors propose a model of financing and investment for firms that attempts to explain both the weak correlation of Tobin’s Q with investment, and the higher correlation of bond yields with investment.