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Perspective

It Ain't What You Don't Know That Gets You Into Trouble

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

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

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

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

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

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

In the equities market, security analysts are among the most important agents in revealing information to investors.

Journal Article

International Diversification Works (Eventually)

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

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

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