Author
John M. Griffin
Other affiliations: Yale University, Arizona State University
Bio: John M. Griffin is an academic researcher from University of Texas at Austin. The author has contributed to research in topics: Stock (geology) & Institutional investor. The author has an hindex of 43, co-authored 83 publications receiving 9819 citations. Previous affiliations of John M. Griffin include Yale University & Arizona State University.
Papers published on a yearly basis
Papers
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TL;DR: The authors examined the relationship between book-to-market equity, distress risk, and stock returns among firms with the highest distress risk as proxied by Ohlson's ~1980! O-score, finding that the difference in returns between high and low book-tomarket securities is more than twice as large as that in other firms.
Abstract: This paper examines the relationship between book-to-market equity, distress risk, and stock returns Among firms with the highest distress risk as proxied by Ohlson’s ~1980! O-score, the difference in returns between high and low book-tomarket securities is more than twice as large as that in other firms This large return differential cannot be explained by the three-factor model or by differences in economic fundamentals Consistent with mispricing arguments, firms with high distress risk exhibit the largest return reversals around earnings announcements, and the book-to-market effect is largest in small firms with low analyst coverage ONE PROMINENT EXPLANATION OF THE book-to-market equity premium in returns is that high book-to-market equity firms are assigned a higher risk premium because of the greater risk of distress 1 Consistent with this view, Fama and French ~1995! and Chen and Zhang ~1998! show that firms with high bookto-market equity ~BE0ME! have persistently low earnings, higher financial leverage, more earnings uncertainty, and are more likely to cut dividends compared to their low BE0ME counterparts In contrast, Dichev ~1998! uses measures of bankruptcy risk proposed by Ohlson ~1980! and Altman ~1968! to identify firms with a high likelihood of financial distress and finds that these firms tend to have low average stock returns Dichev’s results appear to be inconsistent with the view that firms with high BE0ME earn high returns as a premium for distress risk 2
857 citations
TL;DR: In this paper, the authors examined whether macroeconomic risk can explain momentum profits internationally and showed that momentum profits around the world are economically large and statistically reliable in both good and bad economic states.
Abstract: We examine whether macroeconomic risk can explain momentum profits internationally. Neither an unconditional model based on the Chen, Roll, and Ross (1986) factors nor a conditional forecasting model based on lagged instruments provides any evidence that macroeconomic risk variables can explain momentum. In addition, momentum profits around the world are economically large and statistically reliable in both good and bad economic states. Further, these momentum profits reverse over 1- to 5-year horizons, an action inconsistent with existing risk-based explanations of momentum
682 citations
TL;DR: This article examined whether country-specific or global versions of Fama and French's three-factor model better explain time-series variation in international stock returns and found that domestic factor models explain much more time series variation in returns and generally have lower pricing errors than the world factor model.
Abstract: This article examines whether country-specific or global versions of Fama and French’s three-factor model better explain time-series variation in international stock returns Regressions for portfolios and individual stocks indicate that domestic factor models explain much more time-series variation in returns and generally have lower pricing errors than the world factor model In addition, decomposing the world factors into domestic and foreign components demonstrates that the addition of foreign factors to domestic models leads to less accurate in-sample and out-of-sample pricing Practical applications of the three-factor model, such as cost of capital calculations and perfor
523 citations
TL;DR: The authors found that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets using data from 56 markets, and showed that commonly used efficiency tests can yield misleading inferences because they do not control for the information environment.
Abstract: Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar returns in emerging and developed markets. Variance ratios and market delay measures often show greater deviations from random walk pricing in developed markets. Conceptually, we show that commonly used efficiency tests can yield misleading inferences because they do not control for the information environment. Our evidence corrects misperceptions that emerging markets feature larger trading profits and higher return autocorrelation, highlights crucial limitations of weak and semi-strong form efficiency measures, and points to the importance of measuring informational aspects of efficiency. © The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved.
479 citations
TL;DR: In this article, the authors studied the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities and found that the top performing decile of securities is 23.9% more likely to be bought in net by institutions and sold by individuals than those in the bottom performance decile.
Abstract: We study the daily and intradaily cross-sectional relation between stock returns and the trading of institutional and individual investors in Nasdaq 100 securities. Based on the previous day’s stock return, the top performing decile of securities is 23.9% more likely to be bought in net by institutions (and sold by individuals) than those in the bottom performance decile. Strong contemporaneous daily patterns can largely be explained by net institutional (individual) trading positively (negatively) following past intradaily excess stock returns (or the news associated therein). In comparison, evidence of return predictability and price pressure are economically small.
415 citations
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TL;DR: The financial market turmoil in 2007 and 2008 has led to the most severe financial crisis since the Great Depression and threatens to have large repercussions on the real economy as mentioned in this paper The bursting of the housing bubble forced banks to write down several hundred billion dollars in bad loans caused by mortgage delinquencies at the same time the stock market capitalization of the major banks declined by more than twice as much.
Abstract: The financial market turmoil in 2007 and 2008 has led to the most severe financial crisis since the Great Depression and threatens to have large repercussions on the real economy The bursting of the housing bubble forced banks to write down several hundred billion dollars in bad loans caused by mortgage delinquencies At the same time, the stock market capitalization of the major banks declined by more than twice as much While the overall mortgage losses are large on an absolute scale, they are still relatively modest compared to the $8 trillion of US stock market wealth lost between October 2007, when the stock market reached an all-time high, and October 2008 This paper attempts to explain the economic mechanisms that caused losses in the mortgage market to amplify into such large dislocations and turmoil in the financial markets, and describes common economic threads that explain the plethora of market declines, liquidity dry-ups, defaults, and bailouts that occurred after the crisis broke in summer 2007 To understand these threads, it is useful to recall some key factors leading up to the housing bubble The US economy was experiencing a low interest rate environment, both because of large capital inflows from abroad, especially from Asian countries, and because the Federal Reserve had adopted a lax interest rate policy Asian countries bought US securities both to peg the exchange rates at an export-friendly level and to hedge against a depreciation of their own currencies against the dollar, a lesson learned from the Southeast Asian crisis of the late 1990s The Federal Reserve Bank feared a deflationary period after the bursting of the Internet bubble and thus did not counteract the buildup of the housing bubble At the same time, the banking system underwent an important transformation The
2,434 citations
TL;DR: The authors examined whether application of International Accounting Standards (IAS) is associated with higher accounting quality and found that firms applying IAS from 21 countries generally evidence less earnings management, more timely loss recognition, and more value relevance of accounting amounts than do matched sample firms applying non-U.S. domestic standards.
Abstract: We examine whether application of International Accounting Standards (IAS) is associated with higher accounting quality. The application of IAS reflects combined effects of features of the financial reporting system, including standards, their interpretation, enforcement, and litigation. We find that firms applying IAS from 21 countries generally evidence less earnings management, more timely loss recognition, and more value relevance of accounting amounts than do matched sample firms applying non-U.S. domestic standards. Differences in accounting quality between the two groups of firms in the period before the IAS firms adopt IAS do not account for the postadoption differences. Firms applying IAS generally evidence an improvement in accounting quality between the pre- and postadoption periods. Although we cannot be sure our findings are attributable to the change in the financial reporting system rather than to changes in firms' incentives and the economic environment, we include research design features to mitigate effects of both.
1,933 citations
TL;DR: In this article, a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly is investigated, showing that momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable once they control for industry momentum.
Abstract: This paper documents a strong and prevalent momentum effect in industry components of stock returns which accounts for much of the individual stock momentum anomaly. Specifically, momentum investment strategies, which buy past winning stocks and sell past losing stocks, are significantly less profitable once we control for industry momentum. By contrast, industry momentum investment strategies, which buy stocks from past winning industries and sell stocks from past losing industries, appear highly profitable, even after controlling for size, book-to-market equity, individual stock momentum, the cross-sectional dispersion in mean returns, and potential microstructure influences.
1,728 citations
TL;DR: In this paper, empirical asset pricing models capture the value and momentum patterns in international average returns and whether asset pricing seems to be integrated across the four regions (North America, Europe, Japan, and Asia Pacific).
1,700 citations
TL;DR: In this paper, the authors used Merton's option pricing model to compute default measures for individual firms and assess the effect of default risk on equity returns and found that default risk is systematic risk.
Abstract: This is the first study that uses Merton's (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk on equity returns. The size effect is a default effect, and this is also largely true for the book-to-market (BM) effect. Both exist only in segments of the market with high default risk. Default risk is systematic risk. The Fama-French (FF) factors SMB and HML contain some default-related information, but this is not the main reason that the FF model can explain the cross-section of equity returns.
1,616 citations