Matthew R. Lyle

Northwestern University - Kellogg School of Management

Associate Professor

2001 Sheridan Road

Evanston, IL 60208

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 4,998

SSRN RANKINGS

Top 4,998

in Total Papers Downloads

8,089

CITATIONS
Rank 33,061

SSRN RANKINGS

Top 33,061

in Total Papers Citations

6

Scholarly Papers (15)

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, Northwestern University - Kellogg School of Management and Harvard Business School
Downloads 1,320 (13,803)

Abstract:

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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
Downloads 1,203 (15,927)
Citation 2

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

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 Northwestern University - Kellogg School of Management
Downloads 644 (38,310)
Citation 3

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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 Northwestern University - Kellogg School of Management
Downloads 323 (90,304)
Citation 3

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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 Northwestern University - Kellogg School of Management
Downloads 10 (591,547)
Citation 3

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Cost of Capital, Term Structure, Options

4.

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

Harvard Business School Accounting & Management Unit Working Paper No. 18-079
Number of pages: 49 Posted: 26 Feb 2018 Last Revised: 22 May 2018
University of Toronto - Rotman School of Management, Northwestern University - Kellogg School of Management and Harvard Business School
Downloads 662 (37,560)

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

5.
Downloads 592 (43,549)

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

6.

Optimized Fundamental Portfolios

Kelley School of Business Research Paper No. 19-8
Number of pages: 49 Posted: 27 Dec 2018 Last Revised: 11 Jan 2019
Matthew R. Lyle and Teri Lombardi Yohn
Northwestern University - Kellogg School of Management and Indiana University - Kelley School of Business - Department of Accounting
Downloads 565 (46,270)

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

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
Northwestern University - Kellogg School of Management, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business
Downloads 326 (89,343)
Citation 1

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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
Northwestern University - Kellogg School of Management, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business
Downloads 235 (126,625)
Citation 1

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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
Northwestern University - Kellogg School of Management, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business

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8.

The Speed of the Market Reaction to Pre-Open versus Post-Close Earnings Announcements

Kelley School of Business Research Paper No. 17-75
Number of pages: 70 Posted: 06 Nov 2017 Last Revised: 11 May 2019
Northwestern University - Kellogg School of Management, Northwestern University, Kellogg School of Management, University of Colorado at Boulder Leeds School of Business and Indiana University - Kelley School of Business - Department of Accounting
Downloads 544 (48,513)

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Volatility, Earnings Announcements, Disclosure Timing, Option Returns

9.

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 Northwestern University - Kellogg School of Management
Downloads 493 (54,960)

Abstract:

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cost of capital; expected returns; ROE

10.

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
Downloads 383 (74,737)

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

11.
Downloads 286 (103,682)

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Valuation, Expected Stock Returns

12.
Downloads 257 (116,041)

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

13.

Macroeconomic News in the Cross Section of Asset Growth

Number of pages: 32 Posted: 17 Jan 2017 Last Revised: 23 Jun 2017
Yu Hou, Artur Hugon, Matthew R. Lyle and Seth Pruitt
Queen's University - Smith School of Business, Arizona State University (ASU), Northwestern University - Kellogg School of Management and Arizona State University (ASU) - Finance Department
Downloads 246 (121,360)

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

14.

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

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

15.

The Term Structure of Implied Costs of Equity Capital

Review of Accounting Studies, Forthcoming
Jeffrey L. Callen and Matthew R. Lyle
University of Toronto - Rotman School of Management and Northwestern University - Kellogg School of Management

Abstract:

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Implied Costs of Equity, Term Structure, Option Contracts