We decompose consensus analyst long-term growth forecasts into a hard growth component that captures accounting information (asset and sales growth, profitability and equity dilution) and an orthogonal soft growth component. The soft component does not forecast future returns, and the hard...

Return reversals depend on de facto market making by active informed investors as well as uninformed market makers. Accordingly, we find that reversals are higher following declines in the number of active institutional investors. Price declines over the past quarter, which serve as a proxy for...

We present a dynamic model that links characteristic-based return predictability to systematic factors that determine the evolution of firm fundamentals. In the model, an economy-wide disruption process reallocates profits from existing businesses to new projects and thus generates a source of...

This paper compares fundamental index strategies to strategies that start with the market index and then tilt towards high fundamental-to-price stocks. We find that the tilt strategies have similar return, volatility and turnover as the corresponding fundamental index, but have higher...

We examine commercial office rental yields in 89 large cities in 33 developed and developing countries in the 2000-2019 period. As expected, commercial office yields have declined throughout the world, reflecting a decline in the real rate of interest over this time period. Our cross-city...

The traditional approach to evaluating investments in emerging economies has been to add a political default premium to the discount rate used to evaluate the investment's net present value. This approach contrasts with the textbook approach that accounts for political risk by adjusting expected...

In the late 1990s, the Japanese government initiated a number of reforms that resulted in lower transaction costs and made the Japanese equity market more attractive for foreign institutions. Following these changes, foreign institutional holdings more than doubled, providing an opportunity to...

Credit ratings can be viewed as a summary statistic that captures various elements of a firm's capital structure. They incorporate a firm's debt ratio, the maturity and priority structure of its debt, as well as the volatility of its cash flows. However, regressions of credit ratings on firm...

Traditional urban models predict that office rents will be higher in larger and more prosperous cities with better transport and with industries with stronger agglomeration benefits. In addition, rental yields are expected to be lower in growing cities, especially when the supply of new office...