Under fairly general assumptions, expected stock returns are a linear combination of two accounting fundamentals ― book to market and ROE. Empirical estimates based on this relation predict the cross section of out-of-sample returns in 26 of 29 international equity markets, with a highly...

We use a comprehensive panel of NYSE order book data to show that the liquidity and quoting efficiency improvements associated with algorithmic trading (AT) are attributable to enhanced monitoring by liquidity providers. We find that variation in liquidity provider monitoring uniquely explains...

We provide the first large-scale study of the performance of expected-return proxies (ERPs) internationally. Analyst-forecast-based ICCs are sparsely populated and not robustly associated with future returns. Earnings-model-forecast-based ICCs are well-populated, but are unreliable outside the...