This paper proposes a dynamic information diffusion model that explains the lead-lag reaction of stock prices resulting from the interaction of price trends and implied price risk (IPR). Consistent with our model's predictions, we construct a zero investment underreaction portfolio (overreaction...

We show that characteristics known to predict returns to U.S. stocks also predict returns for a broad sample of nearly 52,000 stocks from fifty-eight non-U.S. countries, and we evaluate the extent to which six prominent corporate events, including initial and secondary stock offerings, stock...

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...

The report summarizes first-year research of a three-year study of pathways to urban sustainability. The research team selected the STAR Communities assessment model as the backbone for its analysis. This framework offers a menu-based system for enabling city managers and leaders to build paths...

Man’s history and developmental endeavour have been advancing alongside a trail of ecological ramifications and climate change. Since prehistoric times, scientists have not recorded an accelerated shift in ecology during any other epoch beside that of modern man on the planet. The paper seeks...

Sustainability reporting and disclosure in India have received significant attention over the most recent few years propelled to a large extent by investors and policymakers. The sustainable business leadership forum (SBLF) has been closely working with many firms, owners of the companies, and...

This paper studies the predictive power of the trend strategy in the international stock market. Using data from 49 markets, we find that a trend signal exploiting the short-, intermediate-, and long-term price information can predict stock returns cross-sectionally in the international market....

We examine the long-term relationship between signals derived from nine years of unstructured social media microblog text data and financial market developments in five major economic regions. Employing statistical language modeling techniques we construct directional sentiment metrics and link...