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Working Paper

Looking Under the Hood of Active Credit Managers

We find that credit long/short managers tend to have high passive exposure to the credit risk premium. In contrast, we find that high-yield-focused long-only managers provide less exposure to the credit risk premium than their respective benchmarks.

Book

Evaluating Financial Reporting Quality

This chapter touches on major themes in financial reporting quality. Many of the techniques described here are used by analysts to make security recommendations and by asset managers in making portfolio allocation decisions.

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

Reliability of Asset Revaluations: The Impact of Appraiser Independence

In this paper we use a sample of recognized Australian asset revaluations to examine whether there are differences in the reliability of asset revaluations made by boards of directors versus independent (external) appraisers.

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.

Working Paper

Information in Accruals About the Quality of Earnings

This paper provides a systematic examination of what accounting accruals—defined as the difference between earnings and free cash flows—can tell investors about earnings quality in the future.

Journal Article

Buyback Derangement Syndrome

Winner of an “Outstanding Article” award in the 20th Annual Bernstein Fabozzi/Jacobs Levy Awards. 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.

Working Paper

Balance Sheet Information and Future Stock Returns

A 2004 paper by Hirshleifer, Hou, Teoh and Zhang argues that measuring the level of net operating assets is a superior predictor of a company's future earnings and stock returns. Here, we point out how their claim may be misleading.

Journal Article

Asset Reliability and Security Prices Evidence From Credit Markets

This paper explores the relation between the reliability of an enterprise’s accounting and its security prices.

Journal Article

Style Investing in Fixed Income Markets

A disciplined, systematic approach to over/underweight securities based on well-known factors, or styles, such as value, momentum, carry and defensive (sometimes called “quality”), can offer alternative sources of outperformance not only within equities, where these ideas have long been studied and applied, but also within fixed income markets.