Using a sample that post-dates important regulatory changes in Europe, we show that a buy recommendation from an analyst on a “consensus sell” stock is, on average, sufficient to cause the stock to start to rise in value. Similarly, a sell recommendation on a “consensus buy” stock can...

We examine whether broker recommendations add value in Europe. In contrast to extant research, we focus on a non-U.S. sample that post-dates the important regulatory changes of 2003/4. Our analysis suggests that European brokers' recommendations outperform a standard benchmark during the...

Value investing, as defined by the Fama–French HML factor, has underperformed growth investing since 2007, producing a drawdown of 55% as of mid-2020. The underperformance leads many to argue that value is dead. Our analysis attributes value's recent underperformance to two sources: the HML...

Factor investing has failed to live up to its many promises. Its success is compromised by three problems that are often underappreciated by investors. First, many investors develop exaggerated expectations about factor performance as a result of data mining, crowding, unrealistic trading cost...

A mechanical rebalancing strategy, such as a monthly or quarterly reallocation towards fixed portfolio weights, is an active strategy. Winning asset classes are sold and losers are bought. During crises, when markets are often trending, this can lead to substantially larger drawdowns than a...

The rate of factor production in the academic research is out of control. We document over 400 factors published in top journals. Surely, many of them are false. We explore the incentives that lead to factor mining and explore reasons why many of the factors are simply lucky findings. The...

We ask nearly 400 CFOs about the definition and drivers of earnings quality, with a special emphasis on the prevalence and detection of earnings misrepresentation. CFOs believe that the hallmarks of earnings quality are sustainability, absence of one-time items, and backing by actual cash flows....

This teaching guide is based on a comprehensive survey as well as in-depth interviews of Chief Financial Officers (CFOs). We ask the CFOs about the definition and drivers of earnings quality, with a special emphasis on the prevalence and detection of earnings misrepresentation. CFOs believe that...

Final working paper version. "" Published version: The Review of Financial Studies, Volume 31, Issue 7, July 2018, pp. 2499–2552. Past fund performance does a poor job of predicting future outcomes. The reason is noise. Using a random effects framework, we reduce the noise by pooling...

The existing replication policies at top finance journals are far weaker than the policies at top economics journals. This paper explores both the costs and benefits of having a stronger replication policy in the context of my failed 2010 initiative to develop a unified policy across all top...