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White Paper

Systematic Credit Investing

This paper aims to increase familiarity of the credit asset class and provide an overview of our approach to systematic credit investing. We introduce credit instruments and outline a framework for understanding sources of credit excess returns.

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.

Working Paper

Accounting for Taste: Board Member Preferences and Corporate Policy Choices

Are individual board members’ preferences or skills reflected in their firms’ corporate policies? We believe they are. Our results show that a board of directors can determine a broad range of governance, disclosure, financial and strategic policy choices.

Working Paper

Pump and Dump: An Empirical Analysis of the Relation Between Corporate Financing Activities and Sell-side Analyst Research

Sell-side analysts have long faced allegations that pressures to generate investment banking business compromise the soundness of their research. This paper examines the relation between corporate financing activities and sell-side analyst research.

Working Paper

Accruals and Short Selling: An Opportunity Foregone

Short sellers have strong incentive to use accrual information as they seek to profit from expected lower future performance of high-accrual firms. But we find that short sellers do not use the content of current accruals to choose which stocks to short.

Working Paper

An Accounting-Based Characteristic Model for Asset Pricing

Prior research documents robust correlations between firm characteristics and future stock returns, but provides little insight on why. Our firm characteristic model provides a structure to interpret these observed correlations.

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

Are Benchmark Beaters Doing Anything Wrong?

We investigate “benchmark beater" firms and compare them to the distribution of all other firms. It is often assumed that firms “manage” earnings to beat expectations, but little evidence exists on how benchmarks are beaten or why firms do so.

Working Paper

Do Short Sale Transactions Precede Bad News Events?

It's argued that short sellers are a sophisticated subset of investors given the relative costs of short selling, and prior research suggests that short sellers are, on average, able to predict lower future performance. We test these assertions here.

Working Paper

Does Credible Mean Reliable?

Are independent revaluations more reliable than those conducted by corporate directors? We examine whether high quality independent valuers provides a credible evaluation about the underlying reliability of recognized asset revaluations.