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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.

DC Solutions Series: Defensive Equity, Part 1

In part one of this two-part series, we focus on the intuition behind defensive equity and present evidence for its efficacy as part of an effective defined contribution retirement plan.

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.

DC Solutions Series: Defensive Equity, Part 2

In part two of this two-part series, we focus on the implementation of a defensive equity strategy within the context of a DC retirement plan.

Working Paper

How Tax Efficient Are Equity Styles?

We explore the after-tax performance, tax exposure and tax efficiency of commonly used equity-style portfolios. We focus on equity styles based on size, value, growth and momentum, well known within the cross-sectional return landscape.

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.

Working Paper

Bubble Logic: Or, How to Learn to Stop Worrying and Love the Bull

A bull market produces stories, often absorbed by investors engaged in wishful thinking, that encourage the purchase or retention of stocks or mutual funds. This has led them to bid up stocks so high that even long-term investors will be disappointed.

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.

Journal Article

Factor Momentum Everywhere

Can individual factors be reliably timed based on their recent performance? This study of 65 widely-studied, characteristic-based equity factors aims to find out.

Journal Article

Long Horizon Predictability: A Cautionary Tale

We show there is much less evidence of long-horizon return predictability than existing research suggests, casting doubt over claims about forecasts based on stock market valuations and factor timing.