Previous research attributes long-run reversals to investor over-reaction or tax-motivated trading; we offer an alternative explanation based on aggregate funding conditions. Our evidence shows that prices rebound for stocks that have performed poorly over the past several years (Losers);...

This paper analyzes security-market returns relative to the political party of the president, the Federal Reserve's monetary policy, the year of the president's term, and the state of political gridlock. Contrary to prior studies, which evaluated the influences separately, we jointly evaluate...

We perform a comprehensive evaluation of the benefits of emerging market equities by extending previous research in four fundamental ways. The contribution of this study is that it 1) evaluates a more complete sample; 2) examines performance measures that account for asymmetric return...

This article examines the relationship between security returns and political gridlock, which occurs when the U.S. House of Representatives, Senate, and presidency are not controlled by the same political party. The findings support the following conclusions: First, the common view that equities...

Thirty-eight years of U.S. data indicate that U.S. monetary policy continues to have a strong relationship with security returns. U.S. stock returns are consistently higher and less volatile when the Federal Reserve is following an expansive monetary policy. Furthermore, the monetary...

Brocato and Steed (1998) showed that portfolio rebalancing based on NBER business cycle turning points substantially improves in-sample Markowitz efficiency. In a similar vein, we investigate potential improvements from rebalancing based on turning points in the monetary cycle. We find that the...

Using 24 years of data, we show that emerging market equities are a worthy addition to a U.S. investor's portfolio of developed market equities. Specifically, portfolio returns increased by approximately 1.5 percentage points a year when emerging country equities were included in the investment...

Ample evidence shows that size and book-to-market equity explain significant cross-sectional variation in stock returns, whereas betas contribution is minimal or nonexistent. Recent studies also demonstrate that proxies for monetary stringency increase the explained variation in stock returns....