This paper finds that the corporate bonds of firms with high accruals underperform corporate bonds of firms with low accruals. Our results show that an accrual measure that includes capital investments provides higher and more statistically significant underperformance than a measure that...

This study examines momentum and reversals in currencies and international equity market indices. We find momentum in country equity market indices during the first year after the portfolio formation date and reversals during the subsequent two years. We also find momentum in currencies up to...

This study examines momentum and reversals in portfolios of international stock indices. The results indicate strong momentum up to a year following the portfolio formation date and significant reversals in the subsequent two years. While momentum is driven mostly by predictability within equity...