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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

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.

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

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.

Journal Article

Asset Volatility

We aim to bring a better understanding of credit risk, by investigating whether combining market- and accounting-based measures of asset volatility generates a superior measure of total asset volatility.

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

Common Factors in Corporate Bond and Bond Fund Returns

This paper undertakes a comprehensive analysis of cross-sectional determinants of corporate bond excess returns. We find strong evidence of positive risk-adjusted returns to measures of carry, defensive, momentum and value.

Journal Article

Overinvestment of Free Cash Flow

This paper focuses on using accounting information to better explain the relationship between free cash flow and overinvestment.

Journal Article

Do Analysts and Auditors Use Information in Accruals?

Companies with high accruals tend to experience future earnings problems, research has shown.

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.