This article investigates the link between momentum-based trading strategies implemented in global equity markets and country-specific credit ratings. The findings indicate that only the momentum strategy based on intermediate past returns generate statistically significant profits. Notably, the...

We investigate the causality between the real federal budget deficit returns and real stock market returns for the US economy. We divide the overall sample into two sub-samples running from 1968:1 to 1988:3 and from 1988:4 to 2011:3. In contrast to earlier studies, we find a significant positive...

This article investigates the relation of idiosyncratic volatility (IVOL) and future returns on a portfolio level in global equity markets. In contrast to previous studies (Ang <italic>et al.</italic> 2006, 2009), it reveals that the spread between stock indices exhibiting a high IVOL and stock indices with low...