A prominent factor used in most models predicting stock returns is firm size. Yet no consensus has emerged on the magnitude and stability of the size premium, with some researchers even questioning the usefulness of the factor. To take stock of the voluminous academic literature on the size...

Using 1990 through 2013 data of U.S. firms with foreign operations, we show that (1) the serial correlation of analyst forecast errors increases to the degree that firms diversify internationally, (2) post-earnings-announcement drift (PEAD) based on analyst forecast errors increases to the...

Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate liquidity risk or betting on it. A three-factor model capturing...

Many of the empirical investigations in behavioural finance are focused on US markets; with their focus on investor psychology, biases and heuristics these explanations may well not be robust when exposed to different countries, races and cultures. This paper investigates a popular explanation...

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...

This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

Purportedly consistent with “risk parity” (RP) asset allocation, recent studies document compelling “low risk” trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this...

Recent studies have shown that the Sharpe ratio and alpha for the momentum strategy can be increased, by scaling the momentum strategy, by the inverse of its historical volatility. However, we find that the higher Sharpe ratio and the alphas of the volatility scaled momentum strategy, in...