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

  • PhD in Management
    University of Toronto Rotman School of Management
  • PhD in Mathematical Finance
    University of Calgary
  • M.Sc. in Applied Mathematics/Mathematical Finance
    University of Calgary
  • B.Sc. in Applied Mathematics
    University of Calgary
  • B.Sc. in Electrical Engineering
    University of Alberta

Valuation and Returns on Stock Return Volatility

The Accounting Review
M. R. Lyle
March 1, 2025
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
March 1, 2024
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.

Changes in Risk Factor Disclosures and the Variance Risk Premium

The Accounting Review
M.R. Lyle, E. Riedl, and F. Siano
November 1, 2023
Our findings suggest that textually evaluating individual risk factors reveals information about the uncertainty regarding firm risk.

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

The Accounting Review
A. Chattopadhyay, M.R. Lyle, and C.C.Y. Wang
March 1, 2022
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.

Fundamental Analysis and Mean-Variance Optimal Portfolios

The Accounting Review
M.R. Lyle and T. Yohn
November 1, 2021
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.

The Term Structure of the Implied Costs of Equity Capital

Review of Accounting Studies
J.L. Callen and M.R. Lyle
March 1, 2020
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.

Information Quality, Growth Options, and Average Future Stock Returns

The Accounting Review
M.R. Lyle
January 1, 2019
The association between future stock returns and information quality depends on how option-like is the firm's equity.

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

Journal of Financial Reporting
S. Larocque and M.R. Lyle
March 1, 2017
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.

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
June 1, 2015
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.

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

Review of Accounting Studies
M.R. Lyle, J.L. Callen, and R.J. Elliott.
March 1, 2013
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.