Matthew R. Lyle

Goizueta Business School

1300 Clifton Road

Atlanta, GA 30322-2722

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 4,837

SSRN RANKINGS

Top 4,837

in Total Papers Downloads

12,637

SSRN CITATIONS
Rank 13,432

SSRN RANKINGS

Top 13,432

in Total Papers Citations

41

CROSSREF CITATIONS

46

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 Business School (HBS)
Downloads 1,464 (19,340)
Citation 13

Abstract:

Loading...

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

2.

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 Business School (HBS)
Downloads 1,280 (23,632)
Citation 9

Abstract:

Loading...

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

3.
Downloads 1,221 ( 25,360)
Citation 10

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 844 (42,198)
Citation 2

Abstract:

Loading...

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 341 (129,749)
Citation 1

Abstract:

Loading...

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 36 (645,939)
Citation 8

Abstract:

Loading...

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

Abstract:

Loading...

Implied Costs of Equity, Term Structure, Option Contracts

4.

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 1,195 (26,235)
Citation 1

Abstract:

Loading...

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

5.

The Differential Market Reaction to Pre-Open versus Post-Close Earnings Announcements

Kelley School of Business Research Paper No. 17-75
Number of pages: 39 Posted: 06 Nov 2017 Last Revised: 21 Jul 2021
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 1,184 (26,526)
Citation 4

Abstract:

Loading...

Earnings Response Coefficient, Volatility, Earnings Announcements, Disclosure Timing

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 Business School (HBS)
Downloads 1,159 (27,345)
Citation 3

Abstract:

Loading...

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 Business School (HBS)
Downloads 930 (37,540)
Citation 3

Abstract:

Loading...

Expected returns, Present value, Valuation multiples

8.

Valuation and Returns on Stock Return Volatility

Number of pages: 53 Posted: 29 Nov 2015 Last Revised: 22 Mar 2022
Matthew R. Lyle
Goizueta Business School
Downloads 757 (49,555)
Citation 2

Abstract:

Loading...

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 346 (127,618)
Citation 2

Abstract:

Loading...

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 270 (165,784)
Citation 6

Abstract:

Loading...

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

Abstract:

Loading...

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 593 (68,047)
Citation 1

Abstract:

Loading...

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 547 (75,226)
Citation 7

Abstract:

Loading...

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 487 (86,743)
Citation 6

Abstract:

Loading...

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

13.

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 316 (141,530)

Abstract:

Loading...

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

14.

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 316 (141,530)

Abstract:

Loading...

Valuation, Expected Stock Returns

15.

Measuring Portfolio Gains From Earnings Announcement Trading Signals

Number of pages: 51 Posted: 06 Apr 2022
Matthew R. Lyle and Teri Lombardi Yohn
Goizueta Business School and Emory University Goizueta Business School
Downloads 238 (188,475)

Abstract:

Loading...

Earnings Announcements, Trading Signals, Portfolio Optimization, Portfolio Performance

16.

Changes in Risk Factor Disclosures and the Variance Risk Premium

Number of pages: 53 Posted: 29 Apr 2022
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 182 (240,809)

Abstract:

Loading...

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 152 (281,504)

Abstract:

Loading...

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:

Loading...

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