The momentum premium is pervasive across international markets and different asset classes; however the drivers of this premium are yet to be established. This paper contributes to the literature by examining the relationship between a leading economic indicator, return dispersion, and the...

Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced idiosyncratic risk and temporary underreaction to idiosyncratic...

We show how a stock return model can be described by measures of distance between stocks along the country, industry, and ownership dimensions. This ownership return dimension is shown to be a continuous summary measure of institutional investor habitat. Empirically, we find that the ownership...

We solve for optimal consumption and portfolio choice in a life-cycle model with short-sales and borrowing constraints, undiversifiable labor income risk and a predictable, time-varying, equity premium and show that the investor pursues aggressive market timing strategies. Importantly, in the...