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Podcast

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.

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.

Journal Article

Size Matters, If You Control Your Junk

When it comes to equity investing, size matters—and in a bigger way than once thought—but only when controlling for junk. We examine seven challenges that have been hurled at the size effect and dismantle each one by controlling for a firm's quality.

Working Paper

The August of Our Discontent

The summer of 2007 caused some turmoil in the world of quantitative investing, leading to questions about quant investing in general and specific questions about what happened in July and August. We've tried to answer some of those questions here.

Working Paper

The Earnings Announcement Premium and Trading Volume

We measure and provide explanation for the earnings announcement premium, when stock prices rise around scheduled earnings announcement dates. We show that the premium is large and strongly related to the surge in volume around announcement dates.

Working Paper

The Power of Past Stock Returns to Explain Future Stock Returns

We find that a properly specified one-year momentum strategy has explanatory power for stock returns when used alone, when tested against size and book-to-market, and when subjected to exhaustive robustness checks.

Working Paper

Tracking Analysts Forecasts Over the Annual Earnings Horizon

Looking at analysts' earnings forecasts in the 12 months leading up to the annual earnings announcement, we find evidence that analysts allow firms to guide their forecasts and thus provide a more “beatable” forecast.

Working Paper

Back-Door Links Between Directors and Executive Compensation

A key task of a board of directors is to determine the compensation of the CEO. We studied whether ties between directors, or between the CEO and members of the compensation committee, affect how much the CEO receives.

Working Paper

How Important Is Corporate Governance?

Corporate governance and managerial behavior are important to investors. Which factors are most important, and how do they affect performance? We analyze governance structures to relate sophisticated measures of corporate governance to various outcomes.

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.