Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...

Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...

To assess stock market informational efficiency with minimal data snooping, we take the view of a statistician with little knowledge of finance. The statistician uses techniques like least squares to estimate peer-implied fair values from the market values of replicating portfolios with the same...

To assess stock market informational efficiency with minimal data snooping, we take the view of a statistician with little knowledge of finance. The statistician uses techniques like least squares to estimate peer-implied fair values from the market values of replicating portfolios with the same...

To assess stock market informational efficiency with minimal data snooping, we take the view of a statistician with little knowledge of finance. The statistician uses techniques like least squares to estimate peer-implied fair values from the market values of replicating portfolios with the same...

Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...

Controlling for numerous attributes tied to default and priced asset risk, including yield, credit spread, bond rating, and maturity, we find that a corporate bond’s book value divided by its market price strongly predicts its return. Bonds with the 20% highest “bond book-to-market ratios”...

Controlling for numerous attributes tied to default and priced asset risk, including yield, credit spread, bond rating, and maturity, we find that a corporate bond’s book value divided by its market price strongly predicts its return. Bonds with the 20% highest “bond book-to-market ratios”...

Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...