I review the literature on equity market momentum, a seminal and intriguing finding in finance. This phenomenon is the ability of returns over the past one to four quarters to predict future returns over the same period in the cross-section of equities. I am able to document about ten different...

Regression regularization techniques show that deviations of accounting fundamentals from their preceding moving averages forecast drifts in equity market prices. The deviations-based predictability survives a comprehensive set of prominent anomalies. The profitability applies strongly to the...

Capital constraints of financial intermediaries can affect liquidity provision. We investigate whether these constraints spillover and consequently cause contagion in the degree of market efficiency across assets managed by a common intermediary. Specifically, we provide evidence of strong...

We explore the link between momentum and retail investing via an identification strategy in China, where retail investors dominate. We argue that due to a roundlot restriction, small retail investors are less likely to hold and trade stocks with high nominal prices, and find supporting evidence....