We perform a large-scale empirical analysis of pairs trading, a popular relative-value arbitrage approach. We start with a cross-country study of 34 international stock markets and uncover that abnormal returns are a persistent phenomenon. We then construct a comprehensive U.S. data set to...

We find that innovative efficiency (IE), patents or citations scaled by research and development expenditures, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and...

We document considerable return comovement associated with accruals after controlling for other common factors. An accrual-based factor-mimicking portfolio has a Sharpe ratio of 0.16, higher than that of the market factor or the SMB and HML factors of Fama and French (1993). In time series...

We propose that owing to limited investor attention and skepticism of complexity, firms with greater innovative originality (IO) will be undervalued, especially for firms with higher valuation uncertainty, lower attention, and greater sensitivity of future profitability to IO. We find that IO...

This paper in German analyzes policy requirements with respect to the accessibility of company data in Germany. Presently, a uniform disclosure system does not exist in Germany. Instead, company data are subject to registration at systems that are organized and administered by the local courts...

One of the main characteristics of modern economical development is the continuously growing amount of information. This paper analyses some of the key notions such as information capital and information economy and its influence on economic development. Also, the present paper analyses some of...

This paper develops a microstructure model which describes the way in which private information is incorporated into financial market prices via a Bayesian learning process used by agents. The paper shows how a latent process which represents information arrival can be inferred from observed...

Many practitioners point out that the speculative profits of institutional traders are eroded by the difficulty in gauging the price impact of their trades. In this paper, we develop a model of strategic trading where speculators face such a dilemma because of incomplete information about...

In a market with informationally connected traders, the dynamics of volume, price informativeness, price-volatility, and price-impacts are severely affected by the number of information linkages every trader experiences with his neighbors. We show that in the presence of information linkages...