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Taking Stock of Stock Myths

There is risk in every investment. This episode delves into three specific kinds of equity risks that tend to weigh on investors: home bias, market timing and inflation.

Journal Article

The Limits to Arbitrage Revisited: The Accrual and Asset-Growth Anomalies

It is puzzling that such straightforward asset pricing anomalies like the well-publicized accruals and asset-growth effects are seemingly overlooked by investors.

Journal Article

Investing in the Asset-Growth Anomaly Across the Globe

Several studies have show that slow-growing companies return more to stock-market investors than fast-growing companies, based on the growth in the book value of companies’ assets.

Journal Article

Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios

In the “low-volatility” anomaly, researchers have shown that measures of prior stock price variability relate to future performance but not necessarily in the way theory suggests.

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.

Journal Article

The Impact of Public Information on the Stock Market

In this article, we ask whether the amount of information that is publicly reported affects the trading activity and the price movements in securities markets.

Journal Article

Valuation in Over-the-Counter Markets

We document the impact on asset prices of search-and-bargaining frictions in over-the-counter markets.

Journal Article

The Implications of Accounting Distortions and Growth for Accruals and Profitability

This paper examines alternative explanations for the differential persistence of the accrual and cash flow components of earnings.

Journal Article

The Market for Borrowing Stock

This paper describes the cost and ability to short stock in terms of prices and quantities determined by an active securities lending market.

Journal Article

The Disposition Effect and the Under-Reaction to News

Mounting evidence challenges the traditional view that securities are rationally priced to reflect publicly available information.