In the U.S., momentum portfolios formed on returns from 12 to seven months prior to the current month deliver higher returns than momentum portfolios formed from six to two months prior, suggesting an “echo” in returns (Novy-Marx (2012)). In 37 countries not including the U.S., there is no...

Financially distressed stocks in the U.S. earn puzzlingly low returns giving rise to the distress risk anomaly. In this paper we provide evidence on the performance of distressed stocks in 34 different countries. We find that the distress anomaly appears to exist in developed countries but not...

We estimate the risk and expected returns of private equity investments based on the market prices of exchange traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of about one to...

We estimate the risk and expected returns of private equity investments based on the market prices of exchange traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of about one to...

Financial markets are increasingly integrated globally. We examine the extent to which firms from different countries rely on alternative sources of capital, the locations where they raise capital, and the factors that affect these choices. During the 1990-2001 period, firms raised about $25.9...