We show that over a long study period (1963-2010), the existence and trading efficacy of the well-known low-volatility stock anomaly are more limited than widely believed. For example, we find that the anomalous returns are not found within equal weighted long-short (low minus high risk)...

We explore whether the well publicized anomalous returns associated with low-volatility stocks can be attributed to market mispricing or to compensation for higher systematic risk. Our results, conducted over a 46 year study period (1966-2011), indicate that the high returns related to...

Previous research attributes long-run reversals to investor over-reaction or tax-motivated trading; we offer an alternative explanation based on aggregate funding conditions. Our evidence shows that prices rebound for stocks that have performed poorly over the past several years (Losers);...

Using a sample of stocks experiencing large price changes in 40 countries over 20 years, we investigate the association between investors' traits that vary by national culture – overconfidence, conservatism, and risk tolerance – and proposed theoretical explanations for short-term equity...

We show that CEOs’ social capital has a positive impact on stock price informativeness in an international sample of 69 countries. While considering characteristics not observable within one country such as legal, cultural, and developmental differences, we uncover that for more developed...

We investigate the association between CEOs’ social capital and stock price informativeness in a sample of US firms. After accounting for the fact that larger networks attract more analysts following, we find that firms with larger CEO social capital exhibit higher private information...

Using idiosyncratic volatility as a proxy for arbitrage costs, the authors found that the highly publicized accrual and asset growth anomalies exist because of high barriers to arbitrage, occurring predominantly in the universe of stocks with higher arbitrage risks. Therefore, investors who seek...