In this paper, we document that an application of a moving average strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that often outperform the buy-and-hold strategy substantially. For high volatility portfolios, the abnormal returns,...

Many anomalies are based on firm characteristics and are rebalanced yearly, ignoring any information during the year. In this paper, we provide dynamic trading strategies to rebalance the anomaly portfolios monthly. For eight major anomalies, we find that these dynamic trading strategies...

We link momentum and long-run return reversal to the cyclic behavior of firm fundamentals, which are represented by a fundamental index that summarizes succinctly and efficiently a broad range of business activities at firm level. In responding to repeated unanticipated positive (negative)...

In this paper, we propose a stop-loss strategy to limit the downside risk of the well-known momentum strategy. At a stop-level of 10%, we find, with data from January 1926 to December 2013, that the maximum monthly losses of the equal- and value-weighted momentum strategies go down from -49.79%...

We find that the stock-level liquidity shock bears information about the firm's future fundamentals. Firms with improving (deteriorating) liquidity reveal better (worse) future fundamentals following the liquidity shock. The finding explains the predictability of liquidity shocks on future stock...

We present a macroeconomic trend extrapolation approach that utilizes all economic fundamentals of different time periods simultaneously in the aggregate market. We demonstrate that the trend-pooling method statistically and economically outperforms the historical average that assumes a constant...