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Matthew Lyle - Emory University, Goizueta Business School. ATLANTA, GA, US

Matthew Lyle

Associate Professor of Accounting | Emory University, Goizueta Business School



Matthew Lyle received his PhD in Management from the University of Toronto, in 2013. 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 (5)

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

University of Calgary: B.Sc., Applied Mathematics 2006

University of Alberta: B.Sc., Electrical Engineering 2003

Areas of Expertise (9)


Quantitative Analysis

Machine Learning



Portfolio optimization

Return Predictability

Value Investing

Fundamental Analysis

Publications (9)

Measuring portfolio gains: The case of earnings announcement trading signals

The Accounting Review

M.R. Lyle and T. Yohn


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


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

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

The Accounting Review

A. Chattopadhyay, M.R. Lyle, and C.C.Y. Wang


A log-linear and present-value expected return estimate anchored on the book value of equity is positively associated with future returns in 26 of 29 equity markets and largely subsumes the predictive ability of a broad set of firm characteristics previously shown to be associated with future returns.

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Fundamental Analysis and Mean-Variance Optimal Portfolios

The Accounting Review

M.R. Lyle and T. Yohn


We find that fully optimized fundamental portfolios produce large out-of-sample factor alphas with high Sharpe ratios. They substantially outperform equal-weighted and value-weighted portfolios of stocks in the extreme decile of expected returns, an approach commonly used in fundamental analysis research.

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The Term Structure of the Implied Costs of Equity Capital

Review of Accounting Studies

J.L. Callen and M.R. Lyle


We model and estimate the term structure of implied costs of equity capital (and implied risk premia) at the firm level from forward-looking option contracts. Empirical tests reject the assumption that the term structure of implied firm-level costs of equity is constant over different time horizons.

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Information Quality, Growth Options, and Average Future Stock Returns

The Accounting Review

M.R. Lyle


The association between future stock returns and information quality depends on how option-like is the firm's equity.

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

Journal of Financial Reporting

S. Larocque and M.R. Lyle


Using a popular return decomposition, we show that expected returns should, on average, be positively associated with future return on equity (ROE), controlling for the book-to-market ratio (BM). However, we find that none of the commonly-used implied cost of equity capital estimates (ICCs), which proxy for expected returns, are positively associated with future ROE.

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

Journal of Financial Economics

M.R. Lyle and C.C.Y. Wang


We provide a tractable model of firm-level expected holding period returns using two firm fundamentals ― book-to-market ratio and ROE ― and study the cross-sectional properties of the model-implied expected returns.

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Dynamic Risk, Accounting-Based Valuation, and Firm Fundamentals.

Review of Accounting Studies

M.R. Lyle, J.L. Callen, and R.J. Elliott.


This study extends the accounting-based valuation framework of Ohlson (1995) and Feltham and Ohlson (1999) to incorporate dynamic expectations about the level of systematic risk in the economy.

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