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Perspective
It Ain't What You Don't Know That Gets You Into Trouble
June 20, 2018
My colleagues have written two papers questioning things we thought we knew. The first questions what we really know about current stock market valuations forecasting long-horizon future returns and the second explores whether or not the size effect really exists.
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
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.
Journal Article
The Effects of Stock Lending on Security Prices
October 1, 2013
The impact of short selling is the subject of an ongoing debate among academics, investment committees, corporate boards, and regulators.
Journal Article
Limited Arbitrage in Equity Markets
December 17, 2002
This paper examines impediments to arbitrage in equity markets using a sample of 82 situations between 1985 and 2000.
Journal Article
Risk and Return of Equity Index Collar Strategies
July 1, 2016
Equity index collar strategies are often perceived as a way for investors, at little to no cost, to exchange some upside exposure for reduced losses on the downside.
Journal Article
Sell-Side School Ties
August 1, 2010
In the equities market, security analysts are among the most important agents in revealing information to investors.
Journal Article
International Diversification Works (Eventually)
May 1, 2011
Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.
Journal Article
Investing in the Asset-Growth Anomaly Across the Globe
December 9, 2015
Several studies have show that slow-growing companies return more to stock-market investors than fast-growing companies, based on the growth in the book value of companies’ assets.
Journal Article
Macro to Micro: Country Exposures, Firm Fundamentals and Stock Returns
April 24, 2014
In an increasingly interconnected global system of economic and financial markets, understanding the macroeconomic landscape is important.