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Perspective
Repurchases are the Devil’s Work! (not…)
December 7, 2017
A seemingly large amount of stock buybacks in recent years has prompted many to claim that buybacks have come at the expense of new investment. Our latest paper shows why neither the theory nor the evidence supports this view.
Perspective
Still (Not) Crazy After All These Years¹
June 14, 2017
With the FANGs in the news again, for good and bad, we thought it would be a good time to update our analysis. Again, we find less going on than first meets the eye.
Alternative Thinking
Relaxed-Constraint Portfolios
2Q 2016
Active equity investors may increase expected portfolio returns by relaxing the long-only constraint. The investment community has largely turned away from strategies that short bad stocks, but we find that they may want to take a renewed look.
Perspective
Virtue Is its Own Reward: Or, One Man’s Ceiling Is Another Man’s Floor
May 18, 2017
We examine negative screening in Environmental, Social, and Governance (ESG) investing, often promoted as virtuous because it avoids “sin stocks” and other assets deemed undesirable. But does it also enhance expected returns?
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.
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.
Working Paper
Do Appearances Matter?
June 1, 1999
It is often assumed that mergers are accretive to a firm’s future earnings-per-share. We review 224 mergers and acquisitions, to find any relation between EPS accretion and both announcement and long-term abnormal returns for acquiring firms.
Working Paper
Deleveraging Risk
May 5, 2014
Using various measures of short selling activity for a large sample of U.S. securities, we find evidence that deleveraging risk—the risk of losses due to a sudden and widespread reduction in stocks held by levered investors—affects equity returns.
Working Paper
Inventory Growth and Future Performance: Can It Be Attributed to Risk?
October 9, 2013
This paper uses information external to the firm to condition forecasts of future firm performance, starting with the well-known negative relation between inventory growth and future firm performance.
Working Paper
Acting on the Most Valuable Information: “Best Idea” Trades of Mutual Fund Managers
March 17, 2009
This paper proposes an ex ante proxy for the ranking of mutual fund trades. We find that the most attractive trades—the “best ideas"—beat the benchmarks by up to about 0.30% per month and outperform other fund trades by even higher margins.