Alpha modelling typically refers to the selection and weighting of various information sources, which when combined are used by active portfolio managers to forecast security returns. It is traditionally seen as an exogenous input in the construction of the investment portfolio. Instead, a...

This study documents a subtle and counter-intuitive interaction between operating cash flow (CFO) and accruals, and their association with future stock returns. While the two strategies should by construction capture similar anomalies, we find evidence in two large stock markets that they appear...

This paper develops a microstructure model which describes the way in which private information is incorporated into financial market prices via a Bayesian learning process used by agents. The paper shows how a latent process which represents information arrival can be inferred from observed...

This papers addresses whether observed violations in the Liquidity Preference Hypothesis (LPH) can be explained by the presence of multiple regimes in the term premia. The investigation proceeds by directly testing the LPH via a series of inequality tests which allow the moments to be...

This papers addresses whether observed violations in the liquidity preference hypothesis (LPH) can be explained by the presence of multiple regimes in the term premia. The investigation directly tests the LPH via a series of inequality tests which allow the moments to be conditioned on...