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Podcast
Taking Stock of Stock Myths
September 19, 2018
There is risk in every investment. This episode delves into three specific kinds of equity risks that tend to weigh on investors: home bias, market timing and inflation.
Working Paper
Risky Value
October 17, 2013
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.
Journal Article
Size Matters, If You Control Your Junk
January 22, 2015
When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.
Working Paper
The August of Our Discontent
September 21, 2007
The summer of 2007 caused some turmoil in the world of quantitative investing, leading to questions about quant investing in general and specific questions about what happened in July and August. We've tried to answer some of those questions here.
Working Paper
The Earnings Announcement Premium and Trading Volume
May 1, 2007
We measure and provide explanation for the earnings announcement premium, when stock prices rise around scheduled earnings announcement dates. We show that the premium is large and strongly related to the surge in volume around announcement dates.
Working Paper
The Power of Past Stock Returns to Explain Future Stock Returns
January 1, 1995
We find that a properly specified one-year momentum strategy has explanatory power for stock returns when used alone, when tested against size and book-to-market, and when subjected to exhaustive robustness checks.
Working Paper
Tracking Analysts Forecasts Over the Annual Earnings Horizon
June 1, 1999
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.
Working Paper
Back-Door Links Between Directors and Executive Compensation
February 1, 2005
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
How Important Is Corporate Governance?
May 2, 2005
Corporate governance and managerial behavior are important to investors. Which factors are most important, and how do they affect performance? We analyze governance structures to relate sophisticated measures of corporate governance to various outcomes.
Working Paper
Predicting Earnings Management
October 1, 2002
Is accounting information useful to predict when corporate managers intentionally inflate reported earnings for their firms? To answer this, we study a sample of firms that were forced to restate earnings.