In this paper, we examine the language tone of comment letters issued to foreign firms listed on US stock exchanges and the impact of domestic enforcement. We find that the tone of SEC reviews has capital market implications following the dissemination of comment letters. Using a textual...

We present a methodology that uses supervised learning techniques, in particular, 'random forests' and 'gradient boosting trees' to assess the probability of success on trade ideas. We use features related to the underlying stock's characteristics, the characteristics of the contributor of the...

We investigate the potential improvement in the implementation of style rotation strategies by techniques addressing estimation errors. We select two approaches that have recently stood out in the statistics and econometric literature and have been applied to portfolio construction literature....

Valuation signals have been among the most popular between equity portfolio managers. Given the large variation of techniques and theories with regard to how value is measured, this study investigates the efficacy of alternative value measures. We consider a cross section of simple and...

Mutual fund manager excess performance should be measured relative to their self-reported benchmark rather than the return of a passive portfolio with the same risk characteristics. Ignoring the self-reported benchmark results in different measurement of stock selection and timing components of...

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>This article addresses the problem of portfolio construction in the context of efficient hedge fund investments replication. We propose a modification to the standard Sharpe "style analysis" by introducing a constraint on the asset weights 1-norm and 2-norm. This constraint regularizes...

Risk preference functions across the wealth domain are estimated from option prices and asset realized returns using: (a) a semiparametric probability model, the Edgeworth Series Expansion model, and (b) a new data set consisting of eurodollar and WTI oil markets' data. The empirical preference...