Stock market anomalies representing the predictability of cross-sectional stock returns are one of most controversial topics in financial economic research. This chapter reviews several well-documented and pervasive anomalies in the literature, including investment-related anomalies, value...

Asset allocation models have evolved in complexity with the development of modern portfolio theory, but they continue to operate under the assumption of investor rationality and other assumptions that do not hold in the real world. For this reason, academics and industry professionals make...

In this paper, we explain momentum profits using innovations in aggregate economy-wide default risk. First, we show that momentum returns are positive only during high default shocks and nonexistent otherwise. Second, we present evidence suggesting that a conditional default shock factor is...

I develop an analytically tractable dynamic asset pricing model to study expected returns of financially distressed firms in the presence of learning about firm fundamentals and endogenous information acquisition by active investors.The model reveals that learning and information acquisition...

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

We examine whether initial returns influence investors' decisions to return to the stock market following withdrawal. Using a survival analysis technique to estimate Finnish retail investors' likelihood of stock market re-entry reveals that investors who experience lower initial returns are less...