It is well documented that past winning stocks continue to outperform past losing stocks in numerous equity markets. However, existing Australian evidence on the momentum effect is contradictory and limited, partly due to differences in empirical designs, sample periods and stock populations. We...

It is widely accepted that some firms' attributes or characteristics, such as a firm's size or book-to-market ratio, attract premiums in terms of average returns, which is a pervasive phenomenon not restricted to just a few individual markets. However, the way to derive these premiums by sorting...

A firm's book equity is a measure of the value held by a firm's ordinary shareholders. Increasingly, it is being reported as a negative number. Because a firm's limited liability structure means that shareholders cannot have negative value, negative book equity has no obvious interpretation....