This paper empirically explores the short- and long-run effects of fiscal and monetary policies on US stock returns and tests the validity of market efficiency. The results support the presence of a strong long-run (equilibrium) relation binding stock prices with fiscal (but not monetary)...

We study the interrelation between the size and winner-loser effects in U.S. stock returns. We use data for the period 1926-2006. The two effects are robust --- also in data gathered after 1980. Small-firm loser portfolios perform particularly well in January but poorly during the 4th quarter of...

We study the interrelation between the size and winner-loser effects in U.S. stock re-turns, including their response to extreme returns. We find that size effect and winner-loser effect are present in data up to 2017. These are related but separate effects. How-ever these effects are due to...