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...

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...

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...

This study examines the profitability of trading on earnings surprises in the post-earnings announcement period for Canadian equities spanning the period 1994-2009. There is clear evidence that stock prices drift in the direction of earnings surprise for several months following an earnings...

Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once transaction costs are taken into account. We show that the impact of transaction costs on the strategies' profitability can largely be attributed to excessively trading in small...

This paper investigates the sources of the profitability of 1024 moving average and momentum models when trading in the German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would have been profitable over the entire sample...