Matthew R. Lyle

Northwestern University - Kellogg School of Management

Associate Professor

2001 Sheridan Road

Evanston, IL 60208

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 4,966

SSRN RANKINGS

Top 4,966

in Total Papers Downloads

10,336

SSRN CITATIONS
Rank 13,330

SSRN RANKINGS

Top 13,330

in Total Papers Citations

43

CROSSREF CITATIONS

45

Scholarly Papers (16)

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 (HBS)
Downloads 1,413 (16,400)
Citation 14

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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
Northwestern University - Kellogg School of Management and Harvard Business School (HBS)
Downloads 1,230 (20,193)
Citation 11

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

3.
Downloads 1,145 ( 22,502)
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 Northwestern University - Kellogg School of Management
Downloads 783 (37,983)
Citation 2

Abstract:

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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 336 (109,014)
Citation 1

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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 26 (599,959)
Citation 8

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 Northwestern University - Kellogg School of Management

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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
Northwestern University - Kellogg School of Management and Emory University Goizueta Business School
Downloads 948 (29,608)
Citation 1

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

5.

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, Northwestern University - Kellogg School of Management and Harvard Business School (HBS)
Downloads 929 (30,442)
Citation 3

Abstract:

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

6.

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: 56 Posted: 06 Nov 2017 Last Revised: 09 Feb 2020
Matthew R. Lyle, Andrew Stephan and Teri Lombardi Yohn
Northwestern University - Kellogg School of Management, University of Colorado at Boulder Leeds School of Business and Emory University Goizueta Business School
Downloads 900 (31,859)
Citation 4

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Volatility, Earnings Announcements, Disclosure Timing, Option Returns

7.

Accounting-Based Equity Valuation and Returns on Equity Volatility

Number of pages: 46 Posted: 29 Nov 2015 Last Revised: 08 Mar 2020
Matthew R. Lyle
Downloads 678 (46,888)
Citation 2

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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
Northwestern University - Kellogg School of Management, University of Toronto - Rotman School of Management and University of Calgary - Haskayne School of Business
Downloads 340 (107,551)
Citation 2

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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 252 (147,845)
Citation 6

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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

Abstract:

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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 553 (60,852)
Citation 1

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 494 (70,043)
Citation 7

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

11.

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, Northwestern University - Kellogg School of Management and Harvard Business School (HBS)
Downloads 433 (82,757)
Citation 3

Abstract:

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Expected returns, Present value, Valuation multiples

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
Northwestern University - Kellogg School of Management and University of Virginia, Darden School of Business
Downloads 338 (108,975)
Citation 7

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

13.
Downloads 305 (121,862)

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Valuation, Expected Stock Returns

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 Guanzhong Shu
Downloads 285 (130,851)

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

15.

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
Northwestern University - Kellogg School of Management, Maastricht University School of Business and Economics and Emory University Goizueta Business School
Downloads 93 (334,616)

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Life Cycle, Information Transfers, Spillovers, Asset Pricing

16.

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