We investigate stock returns, earnings growth, interest rates and the relative valuation of US equities following the 22 major bear market bottoms from 1881-2011. We find that large, sustainable bull market returns are associated with market bottoms where stocks' earnings yield expands...

We examine the financial performance, risk, changing revenue and asset mix, prospects for future shareholder value creation and executive compensation of the 15 largest commercial banks in the US from 2001-2010. Aggregate revenue for large commercial banks in the US reached all-time highs in...

Investors have expressed concern over US stocks' persistent high valuations relative to fundamentals, and the accompanying forecasts of below-average stock returns. This issue is important, as both consumer and business spending is thought to rise and fall with the value of stocks. In this paper...

This paper reviews the financial performance, risk, changing revenue and asset mix and prospects for future shareholder value creation of the 20 largest commercial banks in the US from 2003-2012. Fifteen of the 20 banks in the sample reported record revenues in 2012, with 12 of these banks also...

Portable Alpha, an alpha-focused absolute return product with tremendous potential, has met with somewhat muted demand. Much of the confusion arises from a lack of clear consensus regarding a strict definition of alpha. Inquiries by potential investors are too often met with off the cuff, vague,...

This study investigates the determinants of persistence in mutual fund performance. Previous research that uses factor-mimicking portfolios and characteristic benchmarks to model fund performance fails to explain all the persistence in fund returns. This study employs a model that directly...

Both the cross-sectional dispersion of U.S. stock returns and the VIX provide forecasts of alpha dispersion across high- and low-performing portfolios of stocks that are statistically and economically significant. These findings suggest that absolute return investors can use cross-sectional...

We compare the ex-dividend day stock returns and trading volume of foreign stocks that trade in U.S. markets as American Depository Receipts (ADRs) with the ex-day returns and volume of a matched sample of U.S. stocks. This experiment allows us to investigate whether differences in the way...

We derive and interpret the main results of Modern Portfolio Theory and the Theory of Active Portfolio Management from the perspective that, for active investors, the cross-sectional dispersion of returns is more relevant as a measure of risk than time series volatility. We show that all key...