The paper focuses on how the anticipation of investors regarding future returns is reflected on the share price. The precision and rapidity in which market transforms the expectation and anticipation into prices, measures the market efficiency. Weak form of market efficiency is one of the...

We contribute to the growing debate on the relation between macroeconomic risk and stock price momentum. Not only is momentum seasonal, so is its net factor exposure. We show that winners and losers only differ in macroeconomic factor loadings during January, the one month when losers...

This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral...