This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike US studies which attribute this negative relation...

Empirical analysis of financial data such as the daily, weekly or monthly prices of assets such as bonds, stocks, currencies and commodities have shown that asset prices approximately follow a martingale process, but the distribution of asset returns tend to be fat-tailed. This paper examines...

Recent theory relates expected returns and covariant risk to the investment decisions of a firm. The irreversible nature of physical assets-in-place results in them being riskier than growth options across certain stages of the business cycle. Using the Australian accounting environment, this...

Despite considerable empirical evidence reporting a negative relationship between net share issuance and subsequent returns, it remains unresolved whether this anomaly is explained by risk or investor irrationality. This paper examines the net share issuance anomaly using seasoned equity...

This paper examines whether it is possible to forecast one-year-ahead returns of individual companies based on the observed ‘psychopathic' characteristics of their top management team. We find that language characteristic of psychopaths present in annual report narratives, questionable...

Dislocations occur when financial markets, operating under stressful conditions, experience large, widespread asset mispricings. This study documents systematic dislocations in world capital markets and the importance of their fluctuations for expected asset returns. Our novel, model-free...

We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new index has much greater predictive power than existing sentiment indices both in- and out-of-sample, and the...