Technological advances and regulatory initiatives have led to the emergence of a competitive, but fragmented, equity trading landscape in several markets around the world. While these changes have coincided with benefits like reduced transaction costs, advancements in trading technology, and...

This paper implements momentum among a host of market anomalies. Our investment universe consists of the 15 top (long-leg) and 15 bottom (short-leg) anomaly portfolios. The proposed active strategy buys (sells short) a subset of the top (bottom) anomaly portfolios based on past one-month return....

Production decisions provide a credible indicator of future costs of capital perceived by corporate insiders and so may forecast future stock returns. We find that, under decreasing returns to scale, investment returns correlate imperfectly with stock returns and that higher profitability and...