Purpose –The purpose of this paper is to determine how an index of agribusiness stocks performs relative to the S&P 500 particularly in times of recession. Design/methodology/approach - Using value-weighted indexes of agribusiness stocks, large cap US stocks, and copula estimation, the paper...

It is well established that recent prior winner and loser stocks exhibit return continuation; a momentum strategy of buying recent winners and shorting recent losers appears profitable in the post 1945 era. In contrast, the risk exposure of such a strategy has not been well understood; the...

Most stock market investors believe that the ideal equity portfolio should be well diversified to lower overall portfolio risk. International financial markets offer a means for diversification, but most investors do not exploit this risk-sharing opportunity and instead hold large shares of...

We aim to provide insight into the observed equity home bias phenomenon by analyzing the determinants of U.S. holdings of equities across a wide range of countries. In particular, we explore the role of information costs in determining the country distribution of U.S. investors' equity holdings...

This study provides empirical evidence regarding the effect of annual accounting earnings announcements on investors' trading behaviour in the Korean Stock Market.

In this paper we develop information based factors which outperform other popular factors used in the multifactor pricing literature such as the Fama and French size and book-to-market factors. The first factor is based on the age of an asset, measured by the number of months since the asset’s...