In a true out of sample test we find no evidence that several well-known technical trading strategies predict stock markets over the period of 1987 to 2011. Our test is free of the sample selection bias, data mining, hindsight bias, or any of the other usual biases that may affect results in our...

In this note we study whether simple technical trading rules are pro table on the three Baltic stock markets. To statistically assess our ndings we consider the conventional t-test and a block-bootstrap procedure. The two evaluation methods give conflicting results. The t-test supports some of...

There is a substantial divide between evidence in the empirical literature and survey evidence in the financial press regarding the influence of sell-side analyst recommendations on the trading of mutual funds. While surveys of fund managers suggest that they assign little weight to analyst...

In this paper, we revisit the myths regarding the superior performance of market timing strategies based on moving average and time-series momentum rules. These active timing strategies are very appealing to investors because of their extraordinary simplicity and because they promise substantial...

We study the relation between mutual fund trades and mass media coverage of stocks. We find that funds exhibit persistent differences in their propensity to buy media-covered stocks. Moreover, this propensity is negatively related to their future performance. Funds in the highest propensity...

Because dividends are taxed at a higher rate than capital gains, as stock with a higher yields should have a higher expected return than a stock whose return is expected to result mostly from price appreciation. Adding yield to the traditional Security Market Line results in a "market plane"...

Yes. Chung, Lee, and Rösch (2020) show that liquidity for large orders improves for the treated firms with larger tick sizes after the implementation of the Tick Size Pilot Program. Accordingly, we hypothesize and find that the increased tick sizes of treated firms reduce execution costs of...

We use price pressure resulting from purchases by mutual funds with large capital inflows to identify overvalued equity. This is a relatively exogenous overvaluation indicator as it is associated with who is buying, buyers with excess liquidity, rather than what is being purchased. We document...