Using a new data set on investor sentiment we show that institutional and individualsentiment proxy for smart money and noise trader risk, respectively. First, usingbias-adjusted long-horizon regressions, we document that institutional sentiment forecastsstock market returns at intermediate...

We find that price and earnings momentum are pervasive features of international equitymarkets when controlling for data snooping biases. For European countries, we find that pricemomentum is subsumed by earnings momentum on an aggregate level. However, this rationaledoes not apply to each and...

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

The past several years have witnessed the introduction of hundreds of so-called “smart beta” equity indices. These indices provide exposure to risk factors, such as value or low volatility, in order to seek excess return and/or risk reduction compared to cap-weighted indices. Although the...

Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...

Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...

Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...

A look-ahead-bias-free, ex-ante mean-variance efficient portfolio from Size, B/M and Momentum “anomalies” has an ex-post Sharpe ratio of 2.3. It captures the non-monotonic benefits from characteristics that are ignored by multi-factors and eliminates 39 out of 42 “unique anomalies”....

Using point-in-time accounting data, we estimate monthly fair values of 25,000 stocks from 36 countries. A trading strategy based on deviations from fair value earns significant risk-adjusted returns (“alpha”) in most regions, especially the Asia Pacific, that are unrelated to known...

We conduct efficiency test using the conventional method in Chordia, Roll, and Subrahmanyam (2005) and the wavelet analysis. For the FTSE-100 futures data from January 2001 through December 2004, both approaches identify that, conditional on order imbalance, it takes about 10 minutes for the...