Matthew R. Lyle

Goizueta Business School

1300 Clifton Road

Atlanta, GA 30322-2722

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 5,314

in Total Papers Downloads

14,501

SSRN CITATIONS
Rank 11,628

SSRN RANKINGS

Top 11,628

in Total Papers Citations

87

CROSSREF CITATIONS

47

Scholarly Papers (18)

1.

Accounting Data, Market Values, and the Cross Section of Expected Returns Worldwide

Harvard Business School Accounting & Management Unit Working Paper No. 15-092
Number of pages: 60 Posted: 02 Jun 2015 Last Revised: 19 Jan 2016
University of Toronto - Rotman School of Management, Goizueta Business School and Harvard University - Accounting & Control Unit
Downloads 1,503 (23,536)
Citation 13

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Expected returns, discount rates, fundamental valuation, present value, information quality, international equity markets

2.

An Examination of the Market Reaction to Pre-open Versus Post-close Earnings Announcements

Kelley School of Business Research Paper No. 17-75
Number of pages: 67 Posted: 06 Nov 2017 Last Revised: 26 Dec 2023
Matthew R. Lyle, Andrew Stephan and Teri Lombardi Yohn
Goizueta Business School, University of Colorado at Boulder Leeds School of Business and Emory University Goizueta Business School
Downloads 1,490 (23,848)
Citation 4

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Earnings Response Coefficient, Volatility, Earnings Announcements, Disclosure Timing

3.

Fundamental Analysis and Mean-Variance Optimal Portfolios

The Accounting Review, Forthcoming
Number of pages: 54 Posted: 27 Dec 2018 Last Revised: 17 Nov 2020
Matthew R. Lyle and Teri Lombardi Yohn
Goizueta Business School and Emory University Goizueta Business School
Downloads 1,428 (25,353)
Citation 5

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Fundamental Analysis, Portfolio Optimization, Return Prediction, Accounting-Based Valuation

4.

The Cross Section of Expected Holding Period Returns and Their Dynamics: A Present Value Approach

Journal of Financial Economics (JFE), Forthcoming, Harvard Business School Accounting & Management Unit Working Paper No. 13-050, Rotman School of Management Working Paper No. 2182628
Number of pages: 57 Posted: 02 Dec 2012 Last Revised: 20 Jun 2014
Matthew R. Lyle and Charles C. Y. Wang
Goizueta Business School and Harvard University - Accounting & Control Unit
Downloads 1,327 (28,258)
Citation 16

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Expected returns, discount rates, holding period returns, fundamental valuation, present value

5.
Downloads 1,317 (28,583)
Citation 11

The Term Structure of Implied Costs of Equity Capital

Rotman School of Management Working Paper No. 1738401
Number of pages: 66 Posted: 12 Jan 2011 Last Revised: 13 Feb 2019
Jeffrey L. Callen and Matthew R. Lyle
University of Toronto - Rotman School of Management and Goizueta Business School
Downloads 905 (48,100)

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Cost of Capital, Term Structure, Options

The Term Structure of Implied Costs of Equity Capital

Number of pages: 64 Posted: 27 Oct 2010 Last Revised: 20 Oct 2018
Jeffrey L. Callen and Matthew R. Lyle
University of Toronto - Rotman School of Management and Goizueta Business School
Downloads 361 (152,066)
Citation 7

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Term Structure, Implied Costs of Equity, Cash Flow Risk

The Term Structure of Implied Costs of Equity Capital

Rotman School of Management Working Paper No. 1975947
Number of pages: 64 Posted: 23 Jan 2012
Jeffrey L. Callen and Matthew R. Lyle
University of Toronto - Rotman School of Management and Goizueta Business School
Downloads 51 (715,612)
Citation 13

Abstract:

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Cost of Capital, Term Structure, Options

The Term Structure of Implied Costs of Equity Capital

Review of Accounting Studies, Forthcoming
Posted: 04 Jun 2019
Jeffrey L. Callen and Matthew R. Lyle
University of Toronto - Rotman School of Management and Goizueta Business School

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Implied Costs of Equity, Term Structure, Option Contracts

6.

Expected Stock Returns Worldwide: A Log-Linear Present-Value Approach

Harvard Business School Accounting & Management Unit Working Paper No. 18-079, The Accounting Review, Forthcoming
Number of pages: 47 Posted: 26 Feb 2018 Last Revised: 20 Feb 2021
University of Toronto - Rotman School of Management, Goizueta Business School and Harvard University - Accounting & Control Unit
Downloads 1,300 (29,158)
Citation 3

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Expected returns; Discount rates; Fundamental valuation; Implied cost of capital; International equity markets; Present value;

7.

Connecting Expected Stock Returns to Accounting Valuation Multiples: A Primer

Harvard Business School Accounting & Management Unit Working Paper No. 21-081
Number of pages: 18 Posted: 27 Jan 2021
University of Toronto - Rotman School of Management, Goizueta Business School and Harvard University - Accounting & Control Unit
Downloads 1,110 (36,748)
Citation 3

Abstract:

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Expected returns, Present value, Valuation multiples

8.

Valuation and Returns on Stock Return Volatility

Number of pages: 55 Posted: 29 Nov 2015 Last Revised: 03 Feb 2023
Matthew R. Lyle
Goizueta Business School
Downloads 825 (55,395)
Citation 2

Abstract:

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Fundamental Analysis, Valuation, Stock Returns, Variance Risk Premiums, Option Returns

Dynamic Risk, Accounting-Based Valuation and Firm Fundamentals

CAAA Annual Conference 2012
Number of pages: 38 Posted: 19 Dec 2011 Last Revised: 19 Apr 2012
Matthew R. Lyle, Jeffrey L. Callen and Robert J. Elliott
Goizueta Business School, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business
Downloads 366 (149,737)
Citation 3

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Stock valuation, expected risk, cost of capital, expected returns, implied risk, Ohlson model

Dynamic Risk, Accounting-Based Valuation and Firm Fundamentals

Number of pages: 38 Posted: 27 Mar 2012
Matthew R. Lyle, Jeffrey L. Callen and Robert J. Elliott
Goizueta Business School, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business
Downloads 286 (195,177)
Citation 6

Abstract:

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Stock valuation, expected risk, cost of capital, expected returns, implied risk, Ohlson model

Dynamic Risk, Accounting-Based Valuation and Firm Fundamentals

Review of Accounting Studies, Forthcoming
Posted: 27 Mar 2012
Matthew R. Lyle, Jeffrey L. Callen and Robert J. Elliott
Goizueta Business School, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business

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10.

Implied Cost of Equity Capital Estimates as Predictors of Accounting Returns and Stock Returns

Journal of Financial Reporting, Forthcoming
Number of pages: 50 Posted: 22 Dec 2013 Last Revised: 01 Aug 2017
Stephannie Larocque and Matthew R. Lyle
University of Notre Dame - Mendoza College of Business and Goizueta Business School
Downloads 645 (76,481)
Citation 1

Abstract:

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cost of capital; expected returns; ROE

11.

Information Quality, Growth Options, and Average Future Stock Returns

The Accounting Review, Forthcoming
Number of pages: 57 Posted: 16 May 2014 Last Revised: 20 Mar 2018
Matthew R. Lyle
Goizueta Business School
Downloads 603 (83,137)
Citation 7

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Information Quality, Growth Options, Stock Returns, Valuation, Cost of Capital

12.

How Does Algorithmic Trading Improve Market Quality?

Number of pages: 48 Posted: 01 Apr 2015 Last Revised: 06 Nov 2018
Matthew R. Lyle and James P. Naughton
Goizueta Business School and University of Virginia, Darden School of Business
Downloads 588 (86,054)
Citation 8

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High-Frequency Market Making, Algorithmic Trading, Adverse Selection, Monitoring Costs

13.

Measuring portfolio gains: The case of earnings announcement trading signals

The Accounting Review, Forthcoming
Number of pages: 53 Posted: 06 Apr 2022 Last Revised: 09 Nov 2023
Matthew R. Lyle and Teri Lombardi Yohn
Goizueta Business School and Emory University Goizueta Business School
Downloads 505 (103,849)

Abstract:

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Earnings Announcements, Trading Signals, Portfolio Optimization, Portfolio Performance

14.

Macroeconomic News in the Cross Section of Asset Growth

Number of pages: 33 Posted: 17 Jan 2017 Last Revised: 12 Nov 2020
Artur Hugon, Matthew R. Lyle and Clark G. Shu
Arizona State University (ASU), Goizueta Business School and University of Toronto - Rotman School of Management
Downloads 354 (156,567)

Abstract:

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Gross Domestic Product, Out-Of-Sample, News-Driven Business Cycle, Partial Least Squares, Firm Investment

15.

Discussion of 'Valuation: Accounting for Risk and the Expected Return'

Abacus Forthcoming
Number of pages: 14 Posted: 20 Jan 2016
Matthew R. Lyle
Goizueta Business School
Downloads 337 (165,043)

Abstract:

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Valuation, Expected Stock Returns

16.

Changes in Risk Factor Disclosures and the Variance Risk Premium

The Accounting Review, Forthcoming
Number of pages: 54 Posted: 29 Apr 2022 Last Revised: 10 Apr 2023
Matthew R. Lyle, Eddie Riedl and Federico Siano
Goizueta Business School, Boston University - Questrom School of Business and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 320 (174,568)
Citation 6

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risk factors, disclosure, textual analysis, variance risk premium

17.

Firm Life Cycle Classification: Co-movement and Information Transfers

Kelley School of Business Research Paper No. 19-47
Number of pages: 61 Posted: 16 Aug 2019 Last Revised: 22 Mar 2021
Matthew R. Lyle, Patrick Vorst and Teri Lombardi Yohn
Goizueta Business School, Maastricht University School of Business and Economics and Emory University Goizueta Business School
Downloads 197 (282,655)

Abstract:

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Life Cycle, Information Transfers, Spillovers, Asset Pricing

18.

Information Quality, Growth Options, and Average Future Stock Returns

The Accounting Review, Forthcoming
Posted: 08 Mar 2018 Last Revised: 20 Mar 2018
Matthew R. Lyle
Goizueta Business School

Abstract:

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Information Quality, Expected Returns, Stock Returns, Cost of Captial, Growth Options, Valuation