A firm's book equity is a measure of the value held by a firm's ordinary shareholders. Increasingly, it is being reported as a negative number. Since the firm's limited liability structure means that shareholders' value cannot be negative value, negative book equity has no obvious...

A firm's book equity is a measure of the value held by a firm's ordinary shareholders. Increasingly, it is being reported as a negative number. Since the firm's limited liability structure means that shareholders' value cannot be negative value, negative book equity has no obvious...

It is widely accepted that some firms' attributes or characteristics, such as a firm's size or book-to-market ratio, attract premiums in terms of average returns, which is a pervasive phenomenon not restricted to just a few individual markets. However, the way to derive these premiums by sorting...

It is well documented that past winning stocks continue to outperform past losing stocks in numerous equity markets. However, existing Australian evidence on the momentum effect is contradictory and limited, partly due to differences in empirical designs, sample periods and stock populations. We...

Mutual funds are generally grouped on the basis of their investment objectives. Investors use these groupings, or 'styles', to make investment decisions and compare the performance of fund managers against appropriate indexes. Various authors have criticized the traditional classification...

Options are amongst the most heavily transacted financial instruments in the world. Nevertheless, even the most sophisticated and accurate option pricing models are known to contain misspecifications. In this work, novel misspecifications are discovered using visual exploratory data analysis....

The Japanese mutual fund industry has provided systematic negative risk adjusted returns over the past three decades. It has been suggested that this underperformance may be attributed to antiquated tax regulation. The Japanese government enacted new tax laws in April 2000. This, along with...

We provide evidence that a new mutual fund 'international growth' investment style is born between 1986 and 1995. This corresponds to a large increase in the number of equity international growth funds during this period and a greater appetite amongst investors for international investments