The spread in average returns between low and high asset growth and investment portfolios is largely accounted for by their spread in systematic risk, as measured by the Chen, Roll and Ross (1986) factors. In addition, systematic risk and volatility fall sharply during large investment periods....

Using unique data on month-end stock market portfolios of all individual investors over an eleven year period, we find that a substantial number of investors exhibit economically and statistically significant performance persistence. Furthermore, a portfolio that is long in stocks previously...

Using unique data on month-end stock market portfolios of all individual investors over an eleven year period, we find that a substantial number of investors exhibit economically and statistically significant performance persistence. Furthermore, a portfolio that is long in stocks previously...

The relative predictability of returns and dividends is a central issue because it forms the paradigm to interpret asset price variation. A little studied question is how dividend smoothing, as a choice of corporate policy, affects predictability. We show that even if dividends are supposed to...