This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

We investigate whether ESG ratings predict future ESG news and the associated market reactions. We find that the consensus rating predicts future news, but its predictive ability diminishes for firms with large disagreement between raters. Relation between news and market reaction is moderated...

This study examines the relation between asset liquidity and stock liquidity across 47 countries. In support of the valuation uncertainty hypothesis, we find that firms with greater asset liquidity on average have higher stock liquidity. More importantly, our study shows that asset liquidity...

This thesis investigates value and momentum effects in the U.S. market after the recent financial crisis as well as for other periods. Many researchers contend that market anomalies exist in the two popular forms, value and momentum effects, and have studied where abnormal profits arise. Not...

The large inflow of investment capital to commodity futures markets in the last decade has generated a heated debate about whether financialization distorts commodity prices. Rather than focusing on the opposing views concerning whether investment flows either did or did not cause a price...

We examine the F score in global emerging markets and show there is a meaningful premium attached to high F score stocks which is unrelated to the size, value and momentum premiums. It is larger for high value stocks, moderately higher for high momentum stocks and unrelated to stock size. This...

We examine the impact of changes in market microstructure, particularly algorithmic trading (AT) and high frequency trading (HFT), on trade size across 24 stock exchanges around the world. Using colocation services as a proxy for AT and HFT, we find mixed results on the impact of AT and HFT on...

We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...

Using non-linear machine learning methods and a proper backtest procedure, we critically examine the claim that Google Trends can predict future price returns. We first review the many potential biases that may influence backtests with this kind of data positively, the choice of keywords being...