The notion that real aggregate activity exerts important influence on stock returns has strong theoretical appeal but weak empirical support. We argue in this paper that the lack of empirical reaction to macro news might be at least partly due to the usual focus on macro variables, which are...

The main purpose of this paper is to show that the lack of misreaction to common information in previous research may be due to methodological weakness. As of now, there is no evidence which suggests that stocks under-react to common information at short horizons and over-react at longer...

The insignificance of currency risk in emerging markets is particularly puzzling, given a lack of hedging instruments and volatile currency movements in these markets. In this paper, we conjecture that this puzzle may be due to the comovement between exchange rates and the market factor in these...

The present paper explores the cross-sectional pricing power of foreign exchange volatility in the US stock market by decomposing it into short- and long-run components. Our approach is motivated by Bartov et al. (1996). Empirically, we find supporting evidence that the long-run component of...

Purpose – The purpose of this paper is to re‐examine the sources of momentum profits by focusing on momentum in monthly returns. Design/methodology/approach – The paper utilizes a decomposition method proposed by Du and Watkins. Findings – Different from previous studies, it is found...