Costello Research Market Efficiency

Since 2008, the meteoric rise of index funds has produced extreme consolidation of corporate ownership. So far, the outcomes for firms are a mixed bag.

We know from prior research that savvy investors respond to ESG data. But a pair of finance professors have discovered perhaps the most lucrative wrinkle in this strategy.

Artificial intelligence can perform peer firm selection—a key task for investors—at least as accurately as well-established alternative algorithms and human experts, according to research by Costello profs Long Chen and Yi Cao.

You can tell a lot about a hedge fund’s quality—and long-term performance—from the market climate in which it was launched.
Lin Sun, assistant professor of finance, recently published a paper in Review of Finance that compares hedge funds formed in high-demand, or “hot,” markets to those produced in a “cold” market climate.

Bo Hu, an assistant professor of finance at Mason, is developing new research methods to better capture the intricate, interlinked dynamics of financial markets.

Mason accounting professor, David Koo, goes back through history to trace how financial reporting requirements affect investors’ long- vs. short-term thinking.

Analysts and top executives are usually not on the same page –or even reading the same book.

A George Mason University professor is working on ways to measure one of the great intangibles of today’s companies: employee talent.

Exceptions may prove the rule, but they must first be explained. That is why finance researchers are drawn to the distress anomaly-- a well-documented phenomenon that challenges the risk-return paradigm in equity markets. Generally, higher-risk investments are expected to yield higher returns than safer, more stable securities. In recent years, however, studies have shown that high-credit-risk securities for companies in distress – i.e. when their already-low credit rating is being downgraded -- realize abnormally low returns compared to non-distressed securities of the same or lower risk.  Academics have proposed a range of rationales for this puzzle. Alexander Philipov, finance area chair and associate professor at George Mason University, says they mainly fall into two categories.