Search Results - "Chan, Louis K. C."

The Stock Market Valuation of Research and Development Expenditures by Chan, Louis K. C., Lakonishok, Josef, Sougiannis, Theodore

“…We examine whether stock prices fully value firms' intangible assets, specifically research and development (R&D). Under current U.S. accounting standards,…”
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Momentum Strategies by CHAN, LOUIS K. C., JEGADEESH, NARASIMHAN, LAKONISHOK, JOSEF

“…We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings…”
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The Level and Persistence of Growth Rates by Chan, Louis K. C., Karceski, Jason, Lakonishok, Josef

“…Expectations about long-term earnings growth are crucial to valuation models and cost of capital estimates. We analyze historical long-term growth rates across…”
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On Mutual Fund Investment Styles by Louis K. C. Chan, Chen, Hsiu-Lang, Lakonishok, Josef

“…Most mutual funds adopt investment styles that cluster around a broad market benchmark. Few funds take extreme positions away from the index, but those who do…”
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On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model by Louis K. C. Chan, Karceski, Jason, Lakonishok, Josef

“…We evaluate the performance of models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. We compare the…”
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The Behavior of Stock Prices Around Institutional Trades by CHAN, LOUIS K. C., LAKONISHOK, JOSEF

“…All trades executed by 37 large investment management firms from July 1986 to December 1988 are used to study the price impact and execution cost of the entire…”
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Fundamentals and Stock Returns in Japan by CHAN, LOUIS K. C., HAMAO, YASUSHI, LAKONISHOK, JOSEF

“…This paper relates cross-sectional differences in returns on Japanese stocks to the underlying behavior of four variables: earnings yield, size, book to market…”
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Industry Classifications and Return Comovement by Louis K. C. Chan, Lakonishok, Josef, Swaminathan, Bhaskaran

“…A company's industry affiliation is commonly used to construct homogeneous stock groupings for portfolio risk management, relative valuation, and peer-group…”
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Institutional Equity Trading Costs: NYSE Versus Nasdaq by CHAN, LOUIS K. C., LAKONISHOK, JOSEF

“…We compare execution costs (market impact plus commission) on the New York Stock Exchange (NYSE) and Nasdaq for institutional investors. The differences in…”
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Benchmarking Money Manager Performance: Issues and Evidence by Chan, Louis K. C., Dimmock, Stephen G., Lakonishok, Josef

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The Risk and Return from Factors by Chan, Louis K. C., Karceski, Jason, Lakonishok, Josef

“…The ability to identify which factors best capture systematic return covariation is central to applications of multifactor pricing models. This paper uses a…”
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Robust Measurement of Beta Risk by Chan, Louis K. C., Lakonishok, Josef

“…Many empirical studies find that the distribution of stock returns departs from normality. In such cases, it is desirable to employ a statistical estimation…”
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Analysts' Conflicts of Interest and Biases in Earnings Forecasts by Chan, Louis K. C., Karceski, Jason, Lakonishok, Josef

“…Analysts' earnings forecasts are influenced by their desire to win investment banking clients. We hypothesize that the equity bull market of the 1990s, along…”
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Benchmarking Money Manager Performance: Issues and Evidence by Chan, Louis K. C., Dimmock, Stephen G., Lakonishok, Josef

“…Academic and practitioner research evaluates portfolio performance using size and value/growth attributes or factors. We assess the merits of popular…”
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Value and Growth Investing: Review and Update by Louis K. C. Chan, Lakonishok, Josef

“…A great deal of academic empirical research has been published on value and growth investing. We review and update this literature, discuss the various…”
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Earnings Quality and Stock Returns by Chan, Konan, Chan, Louis K. C., Jegadeesh, Narasimhan, Lakonishok, Josef

“…An exclusive focus on bottom‐line income misses important information contained in accruals (the difference between accounting earnings and cash flow) about…”
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Consumption, Inflation Risk, and Real Interest Rates: An Empirical Analysis by Chan, Louis K. C.

“…The consumption-based asset pricing model is used to examine the relation between inflation and interest rates. To the extent that inflation is correlated with…”
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New Paradigm or Same Old Hype in Equity Investing? by Louis K. C. Chan, Karceski, Jason, Lakonishok, Josef

“…The recent relative stock-price performance of six U.S. equity asset classes (classified by size and by value-versus-growth style) differs markedly from the…”
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The Profitability of Momentum Strategies by Louis K. C. Chan, Jegadeesh, Narasimhan, Lakonishok, Josef

“…Momentum strategies based on continuations in stock prices have attracted a wide following among money managers and investors. We evaluated the profitability…”
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Evaluating the performance of value versus glamour stocks The impact of selection bias by Chan, Louis K.C., Jegadeesh, Narasimhan, Lakonishok, Josef

“…We examine whether sample selection bias explains the difference in returns between ‘value’ stocks (high book-to-market ratios) and ‘glamour’ stocks (low…”
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