You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

We study the out-of-sample and post-publication return-predictability of 97 variables that academic studies show to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data...

I argue that academic research often inadequately accounts for alpha decay. As an anomaly's alpha (i.e., the risk-adjusted expected excess return) and realized returns are negatively related, alpha decay coincides with positive realized returns. If the alpha decays at publication, observers may...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Firm-level variables that predict cross-sectional stock returns, such as price-to-earnings and short interest, are often averaged and used to predict the time series of market returns. We extend this literature and limit the data-snooping bias by using a large population of the literature's...

We investigate the cross-sectional pattern of stock returns for eight emerging markets using Vector Autoregressive Approach (VAR) to test whether dividend yields can predict stock returns through impulse response characteristics. Our results confirm that dividend yield shocks play an important...

We address whether analysts bias earnings forecast revisions and convey the bias using forecast revision consistency, i.e., the extent to which analyst reports with earnings forecast revisions include stock recommendation and target price revisions consistent in sign with the earnings forecast...

Recent evidence indicates that market model alphas are stronger predictors of mutual fund flows than alphas with other models. Berk and van Binsbergen (2016) claim that this evidence indicates CAPM is the best asset pricing model but Barber, Huang and Odean (2016) (BHO) claim it is evidence...

Finance researchers keep producing increasingly complex and computationally-intensive models of stock returns. Separately, professional analysts forecast stock returns daily for their clients. Are the sophisticated methods of researchers achieving better forecasts or are we better off relying on...

We use stock market data to analyze the quality of alternative models and procedures to estimate Expected Shortfall (ES) at different significance levels. We consider conditional models applied to the full distribution of returns as well as models that focus on tail events using extreme value...