Matthew Lyle

Associate Professor of Accounting Emory University, Goizueta Business School

  • ATLANTA GA

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Emory University, Goizueta Business School

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Biography

Matthew Lyle received his PhD in Management from the University of Toronto. He also holds a PhD in Mathematical Finance from the University of Calgary. Before joining the faculty at Emory in 2022, Dr. Lyle was an Associate Professor at the Kellogg School of Management at Northwestern University. Dr. Lyle’s research interests are in valuation and value investing and, more broadly, how to connect fundamental analysis with quantitative analysis and machine learning for prediction and decision-making. Dr. Lyle serves as an Editor for Contemporary Accounting Research and as an editorial board member for The Accounting Review.

Education

University of Toronto Rotman School of Management

PhD

Management

2013

University of Calgary

PhD

Mathematical Finance

2009

University of Calgary

M.Sc.

Applied Mathematics/Mathematical Finance

2007

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Areas of Expertise

Blockchain
Quantitative Analysis
Machine Learning
Cryptocurrencies
Valuation
Portfolio optimization
Return Predictability
Value Investing
Fundamental Analysis

Publications

Valuation and Returns on Stock Return Volatility

The Accounting Review

M. R. Lyle

2025-03-01

This paper provides an accounting-based valuation model that predicts that cross-sectional variation in firm-level returns to investments in both stock and stock return volatility are related to cross-sectional variation in firm-level fundamentals. The model predicts that expected stock returns have a positive quadratic relation with stock return variance and a negative quadratic relation with gains to trading in stock return variance. Consistent with these predictions, firms with high model-implied expected stock returns have high future stock return variance, and the relation is roughly quadratic. In contrast, firms with high expected stock returns have low future returns to trading in stock return variance through option contracts because these firms have high option-implied variance relative to future realized variance, i.e., low variance risk premia (VRP). The study provides a framework for using fundamentals for trading in individual stocks and options.

Measuring portfolio gains: The case of earnings announcement trading signals

The Accounting Review

M.R. Lyle and T. Yohn

2024-03-01

We examine trading signals based on post-earnings announcement drift (PEAD), the earnings announcement premium (EAP), and earnings announcement rescheduling (RES). Using our proposed approach, we find that portfolios that incorporate the individual signals produce higher Sharpe ratios than equal-weighted portfolios; however, the gains for each signal are concentrated to a few days around the announcement. The EAP and RES signals do not provide incremental portfolio gains over the PEAD signal. After considering market frictions, portfolio performance rapidly attenuates and becomes similar to the SPY ETF as the portfolio size increases.

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Changes in Risk Factor Disclosures and the Variance Risk Premium

The Accounting Review

M.R. Lyle, E. Riedl, and F. Siano

2023-11-01

Our findings suggest that textually evaluating individual risk factors reveals information about the uncertainty regarding firm risk.

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