Previous research suggests that the Fama-French factors contain information about future economic activity and that the stock market may be inefficient. Considered together, these ideas hint that the Fama-French factors may have predictability power. This manuscript tests this implication. We...

The present paper proposes a new test that is particularly powerful against the type of alternative proposed by the recent behavioral models. When the test is applied to the data, there is evidence supporting the behavioral models in that (1) prices of stocks with more uncertainty and slower...

In this paper, we explore an alternative explanation of the exposure puzzle, the missing variable bias in previous studies. We propose to correct the bias with the quantile regression technique invented by Koenker and Bassett (Econometrica 46:33–51, <CitationRef CitationID="CR30">1978</CitationRef>). Empirically, as soon as we take into...</citationref>

Financial market information can provide an objective assessment of losses anticipated from global warming. In a Merton-type asset pricing model, with asset prices affected by perceived changes in investment opportunities due to global warming, the risk premium is significantly negative and...

Momentum strategies usually do not produce significant profits in emerging stock markets. Chui, Titman, and Wei [Chui, A. C. W., Titman, S., & Wei, K. C. J. (2000). Momentum, legal systems and ownership structure: An analysis of Asian stock markets. Working paper, Hong Kong Polytechnic...

Motivated by Berk and Green [Berk, J., & Green, R. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112, 1269-1295] and Chevalier and Ellison [Chevalier, J., & Ellison, G. (1999). Career concerns of mutual fund managers. Quarterly Journal of Economics,...

Purpose – The purpose of this paper is to re-examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings – Different from previous studies, it is found that...