Many market participants continuously dole out advice that higher economic growth results in higher investment returns. This tendency persists even though there has been much investment research providing evidence to the contrary. With the help of some examples and data presented by others, the...

To understand macroeconomic risks underlying currency carry trades, I propose exploiting rich source of information from analysts’ economic growth forecasts. Specifically, I obtain measures of global growth prospects from the cross-analyst distribution of real GDP growth forecasts. I find that...

The paper empirically investigates three different methods to construct factors and identifies some pitfalls that arise in the application of Fama-French’s three-factor model to the Pakistani stock returns. We find that the special features in Pakistan significantly affect size and value...

Studies have shown that firm asset growth predicts cross-sectional stock returns. Firms that shrink their assets earn superior returns while firms that substantially expand their assets incur poor returns in the following years. I show that the negative asset growth often implies poor operating...

This paper investigates the driver of asset growth to explain the cross-country variation of the asset growth effect. We find that institutional restrictions on equity financing constrain firms' abilities to grow assets, and the degree of such restrictions is associated with the observed...

I propose a Capital Asset Pricing Model in which investor demand exhibits a speculative component. In equilibrium, investors' optimal trade-off between diversification and speculation generates predictable patterns for stocks with extreme book-to-market ratios. Consistent with the model...

This study investigates the joint explanation and impact of economic growth, equity market performance and economic growth uncertainty on foreign participation (using net inflows from equity securities held by foreign investors as a proxy) in local equity market. Based on the analysis of...

We describe a novel currency investment strategy, the `dollar carry trade,' which delivers large excess returns, uncorrelated with the returns on well-known carry trade strategies. Using a no-arbitrage model of exchange rates we show that these excess returns compensate U.S. investors for taking...

This study investigates the impact of economic growth risk on stock market performance in 70 countries. Based on the analysis of the full sample, on average, 1% increase in economic growth risk is associated with 0.23% (p = 0.058) increase in stock market return. Looking at stock market return...

The economic recession of 2007-2009 proved to be a difficult period for most European economies. Poland was among the few countries that recorded positive gross domestic product (GDP) growth during that period. The main reason for its performance was that private consumption stimulated the GDP....