We investigate the effect of CO2 emissions to cross-sectional stock returns. Overall, we find that CO2 emissions do not predict stock returns in the full sample. However, after further exploration of the cross-sectional heterogeneity of the return predictability. We find the return...

While it is established that idiosyncratic volatility has a negative impact on the cross-section of future stock returns, the relationship between idiosyncratic volatility and future hedge fund returns is largely unexplored. We document that hedge funds with high idiosyncratic volatility...

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...

Self-control failure is among the major pathologies (Baumeister et al. (1994)) affecting individual investment decisions but cannot be measured bias-free. We link the time-series of government-controlled tobacco prices to debit/credit card transaction histories to identify smoking as a proxy for...

A value investing strategy consists of purchasing stocks relatively undervalued to their funda-mental values and selling those relatively overvalued. Finding this kind of companies has been one of the most challenging goals for investors throughout the history. The main objective of this paper...

This paper examines the performance of investment strategies involving leveraged and inverse leveraged ETF pairs. As in Jiang and Peterburgsky's (2017) simulation analysis, the empirical analysis in this paper indicates that simple portfolios of bull/bear short positions constructed to...

We embed human capital as an innate, illiquid asset in Markowitz' one-period mean-variance framework. By solving the Markowitz problem for different values of the ratio of human capital to financial wealth, we emulate life-cycle effects in household portfolio decisions. The portfolio derived...

The arithmetic mean-variance efficient frontier shows that taking more risk is always rewarded with higher expected arithmetic return. However, expected arithmetic return is a poor indicator of long-term arithmetic return, which corresponds to expected continuous return. For the continuous...

Trend extrapolation in financial markets has been well documented, however it is contentious as to which trends will be extrapolated or mean reverted. We examine whether investors are more likely to extrapolate trends that they perceive to be salient by examining an investment strategy that...

This study provides evidence for a positive association between mutual fund holdings’implied cost of capital (ICC) and future performance. Consistent with large transactioncosts of ICC-based investments impeding their exploitation and employing a ICC-basedstrategy reflecting skill,...