This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions...

In a model that is consistent with the existence of a home bias and with foreign investors that are less informed than domestic investors, we show that unexpectedly high worldwide returns lead to net equity inflows into small countries. In addition, a small country experiences net equity inflows...

We investigate the conditions under which an equilibrium intertemporal model based on portfolio decisions of investors can explain the dynamics of high frequency equity flows. Our model shows that, when there are barriers to international investment and when the expectations of foreign investors...

We investigate the conditions under which an intertemporal equilibrium model based on investors' portfolio decisions can explain the dynamics of high-frequency equity flows. Our model shows that, when there are barriers to international investment and when the expectations of foreign investors...

Using data from 56 markets, we find that short-term reversal, post-earnings drift, and momentum strategies earn similar profits in emerging and developed markets. Portfolio-level variance ratios and market delay measures show greater deviations from efficiency in developed markets and firm-level...

This paper investigates the dynamic relation between market-wide trading activity and returns in 46 markets. Many stock markets exhibit a strong positive relation between turnover and past returns. These findings stand up in the face of various controls for volatility, alternative definitions...