Past research has shown that the level of operating accruals is a negative cross-sectional predictor of stock returns. This paper examines whether the accrual anomaly extends to the aggregate stock market. In contrast with cross-sectional findings, there is no indication that aggregate operating...

The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for...

Risk factors and systematic factor strategies are fast becoming an integral part of the global asset management landscape. In this report, we provide an introduction to, and critique of, the factor investing paradigm in a South African setting. We initially discuss the general factor...

We extend the analysis of systematic investment approaches to emerging market (EM) fixed income. We focus on hard currency bonds issued by emerging sovereign and quasi-sovereign entities. We find that systematic exposures linked to carry, defensive, momentum and valuation themes are well...

We document the emergence of “social executives,” top executives who connect with investors directly, personally, and in real time through social media, and we study the consequences of this development for financial markets. We contend that the emergence of social executives enables...

This study examines the usefulness to investors of the “monetary correction” (corrección monetaria) required under Chilean accounting standards. The monetary correction arises when nonmonetary assets and liabilities and owners’ equity are restated for changes in the purchasing power of...

In terms of corporate valuation, the frequently used heuristics are Price Earnings or Price Earnings to Growth ratios. The development of a valuation model of type Abnormal Earnings Growth Model including modeling of expected rents evolution, conditions compatible with perfect competition,...

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...