Earnings announcement event returns are significantly positive (negative) for loser(winner) stocks. Postevent drift is stronger for earnings surprises running counter totrends associated with stocks' classification as prior winners/losers or value/growth.These results are in accordance with...

While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties. Most important, chasing momentum can generate high turnover. Though there are already several attempts to make momentum strategies less expensive with respect...

The innovations of this paper are fourfold: First we study return differentials more comprehensivelythan in the previous literature by comparing three asset classes : money market instruments, bonds andequities across countries. Second, we document the structure of international portfolio...

This paper aims to survey selected recent papers presenting new evidenceon an age-old question in financial economics: Are stock market returnspredictable?. The hypothesis that equity returns are predictable (specificallyat long horizons) has been called a new fact in finance by Cochrane(1999)....

Arbitrage pricing cannot be applied to commodity futures because the physicalcommodity does not represent a pure asset: Since consumption and processing of thecommodity can drive down inventories to zero, it is not always possible to construct areplicating portfolio for the futures contract, and...

Auch wenn die grundsätzliche Idee von Hedge Funds schon mehr als ein halbes Jahrhundertbesteht, so hat diese Anlageform doch erst in den letzten Jahren an Bedeutunggewonnen, und zwar sowohl in der Praxis als auch in der der akademischen Forschung.Dabei sind Hedge Funds in die größere Klasse...