4th Quarter (2013)

Gilles Hilary and Charles Hsu We show that analysts who display more consistent forecast errors have a greater effect on stock prices than analysts who provide more accurate but less consistent forecasts. This result leads to three implications. First, consistent analysts are less likely to be demoted to a less prestigious brokerage house and are… Read more

Jason D. Fink, Kristin E. Fink and Hui H. Sono We establish a relationship between the idiosyncratic risk of portfolios and a parsimonious group of market variables. Because we are able to summarize idiosyncratic risk with this small group of variables, we are able to design stress-tests that describe portfolio-specific risks as market variables change… Read more

Denis B. Chaves, Jason Hsu, Vitali Kalesnik and Yoseop Shim Value stocks outperform growth stocks. The academic literature provides two competing interpretations on what drives the value premium: exposure to risk factors or mispricing of securities. Existing empirical studies, which are largely based on U.S. data, have not conclusively rejected one theory in support of… Read more

Mark A. Wolfson View PDF… Read more