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...

This paper explores the source(s) of commodity futures momentum and an associated anomaly. We decompose the 12-month conventional momentum strategy into single-month momentum components. Historical information in the cross-section of returns at 10 to 11 months prior to portfolio formation...

This paper develops a new approach for variance trading. We show that the discretely-sampled realized variance can be robustly replicated under very general conditions, including when the price can jump. The replication strategy specifies the exact timing for rebalancing in the underlying. The...

We propose and test multifactor models that break the conventional value and momentum factors on the basis of firm size and build separate factors comprised of small stocks, which we call “small-stock value and momentum factors”, and big stocks, which we call “big-stock value and momentum...

We document a consistent and robust relation between expected equity premia and common risk factors constructed on the basis of small stocks. Empirically, we show that (i) small-stock components of traditional value and momentum factors capture patterns in returns on regional and global...

We reexamine long-term abnormal returns for portfolios sorted on governance characteristics. Firms with strong shareholder rights and firms with weak shareholder rights differ from the population of firms and from each other in how they cluster across industries. Using well-specified tests under...

We study whether growth in the capital share (KS) of aggregate income (GDP) can explain equity portfolio returns in international stock markets as proposed by Lettau et al. (2019) for the U.S. market. We find that growth in local capital share has positive explanatory power for equity portfolio...

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...

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...

Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector. Design/methodology/approach - The paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were...