Research
Research Title Date Published
The Statistics of Statistical Arbitrage April 2008
Active Equity Managers in the US-Do the Best Follow Momentum Strategies April 2008
The Eco-Efficiency Premium Puzzle March 2008
Information Disclosure and Market Quality: The Effect of SEC Rule 605 on Trading Costs February 2008
Catching Up With Technology January 2008
The Probability of Informed Trading December 2007
Trading Volume: NASDAQ and the NYSE October 2007
Industry Effects of Analyst Stock Revisions October 2007
An Analysis of Trade-size Clustering and Its Relation to Stealth Trading October 2007
Catching Up With Technology: The Impace ot Regulatory Changes on ECNs-MTFs and the Trading Venue Landscape in Europe September 2007
Dispersion in Analyst’s Earning Forecasts and the Cross Section of Stock Returns: What is the Driving Factor? September 2007
Industry Concentration and Average Stock Returns September 2007
Cash Equity Transaction Cost Analysis: State of the Art...And Beyond September 2007
Economic Links and Predictable Returns September 2006
Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports April 2006
"Is The Accrual Anomaly A Global Anomaly?" January 2006
Cross-Sectional Variance in Stock Returns Liquidity and Idiosyncratic Risk August 2005
Does Idiosyncratic Risk Really Matter? June 2005
The Effect of Meeting of Beating Revenue Forecasts on the Association Between Quarterly Returns and Earnings Forecast Errors April 2005
The Role of Delisted Firms in the Momentum Puzzle March 2005
Optimal Portfolios from Ordering Information January 2005
Comparing the Stock Recommendation Performance of Investment Banks and Independent Research Firms November 2004
Private Information, Earnings Manipulations, and Executive Stock Option Exercises October 2004
Do Investors Overvalue Firms with Bloated Balance Sheets? September 2004
Signals from Open Market Repurchases August 2004
Equity Style Returns and Institutional Investor Flows July 2004
Default Risk in Equity Returns June 2004
Information Uncertainty and Expected Returns April 2004
On Characteristics Momentum March 2004
Liquidity Risk and Expected Stock Returns February 2004
The Cost of Trend Chasing and the Illusion of Momentum Profits January 2004
Measuring and Modeling Risk Using High-Frequency Data December 2003
Profit Warnings and Timing November 2003
External Financing and Future Stock Returns October 2003
Industry Classification Schemes September 2003
Value vs. Glamour August 2003
Getting Pennied: Decimalization on Traders Willingness to Lean on Order Book July 2003
Got Info? Investor Response to 10K June 2003
Price Impact Costs May 2003
Predicting Earnings Management: The Case of Earnings Restatement April 2003
Expected Earnings Report Date February 2003
Reactions to Revenue & Expense Surprises January 2003
Differences of Opinion and the Cross Section of Stock Returns January 2003
Trade Execution Costs After Decimalization November 2002
Another New Look At The Monday Effect October 2002
Research Title Date Published
QSG Strategy Classifications: Better Identify the Drivers of Portfolio Return May 2008
QSG Strategy Classifications: Better Identify the Drivers of Portfolio Return May 2008
Customer Supplier Relationships September 2006
The Information Content of Rank Changes August 2006
The Revere Data Hierarchy: A Better Classification System? July 2006
"Changing Nature of Surprise" April 2006
Optimization of QSG Models September 2005
Special Items and Earnings Quality August 2005
Intangible Assets June 2005
Trends in Intra Industry Correlation April 2005
Technical Indicators March 2005
The Value of an "As Reported" Database January 2005
The Implementation Costs of Algorithmic Trading December 2004
QSG II Tactical Style Allocation November 2004
A Fresh Look at Money Flow September 2004
Are All Analysts Created Equal? July 2004
Interest Rate Sensitivity: Sectors, Styles, and Factors July 2004
Float Weighted vs. CapWeighted: Is There A Difference May 2004
Is Everything Relative? April 2004
Investing In REITs March 2004
Banks: A League Of Their Own February 2004
In Search of the Right Number: I/B/E/S vs. First Call January 2004
Can Fundamental "Runs" Speed Selection? December 2003
Time-Lags in the Post EDGAR Era November 2003
The Volatility Index October 2003
A Stylistic Investigation of Money Flow September 2003
Price Momentum: Lead, Follow or Get Out Of The Way. August 2003
Dividend Increases; A Tradewind or Microburst? July 2003
Long Managers & Short Interest June 2003
Quantitative Managers: A Style All Their Own May 2003
Pension Income & Expense April 2003
Intra-Industry Correlation February 2003
Dividends: Bird In Hand Worth More January 2003
Stock Splits December 2002
PEG Ratio November 2002
Implementation Costs October 2002
Accruals & Earnings Quality September 2002