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Repurchases are the Devil’s Work! (not…)

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.


Still (Not) Crazy After All These Years¹

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

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.


Virtue Is its Own Reward: Or, One Man’s Ceiling Is Another Man’s Floor

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?


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.

Working Paper

Risky Value

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?

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

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?

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

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.