This paper examines the profitability of momentum strategies within the Malaysian stock market. Its also investigates relationship between stock returns and past trading volume. The study finds weak but insignificant evidence of momentum returns for Malaysian equities which is pervasive across...

We perform a large-scale empirical analysis of pairs trading, a popular relative-value arbitrage approach. We start with a cross-country study of 34 international stock markets and uncover that abnormal returns are a persistent phenomenon. We then construct a comprehensive U.S. data set to...

We study the predictability of exchange rates of currencies of emerging and developed economies from 1994 to 2016 to shed light on the efficiency of currency markets and how it evolved over this time. For the currencies of emerging economies, our analysis of futures returns finds some evidence...

The question how the real and the financial side of a capitalist economy relate to each other has been a frequently recurring topic in the history of economic thought. Our paper addresses this question from the viewpoint that capital ultimately seeks returns from its perpetual reallocation and...

We argue that high-frequency return predictability can be explained by delays in prices, providing another explanation for why paper profits often do not materialize. We investigate predictability in the US (and international) stock market from 2005 to 2012 and in 2020. We find that 1-minute...

We introduce a new measure of stock misevaluation, 𝑄, which is consistent with the Gordon growth model for firm valuation. In our empirical application, we use 𝑄 to relate analyst forecasts to stock returns and measure the profitability of investment strategies that rely on information in...