We show that expected returns on US stocks and all major stock world market indices are non-linearly dependent on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. This property can be captured by a...

Using a unique international dataset, we show that the CEOs of large banks exhibit an increased probability of forced turnover when their organizations are more exposed to idiosyncratic tail risks. The importance of idiosyncratic tail risk in CEO dismissals is strengthened when there is more...

Expectation errors, generally defined, have been used by previous studies to show why investors pay too much for growth. In contrast, our study analyses what actual mistakes investors have made and how they could have been avoided. We show that investors ignore the negative impact of growth on...