This paper provides an explanation of investing in stock market anomalies in an expected utility paradigm. Classical selection rules fail to provide a preference for high expected return portfolios. The paper utilizes the almost dominance rules to examine the practice of investing in size,...

This paper provides an explanation of investing in stock market anomalies in an expected utility paradigm. Classical selection rules fail to provide a preference for high expected return portfolios. The paper utilizes the almost dominance rules to examine the practice of investing in size,...

Using a score provided by Thomson Reuters to measure the tone of news articles, I construct a weekly measure of qualitative information. The measure predicts future returns over the next 13 weeks and mitigates short-term reversal in the weekly momentum strategy. A portfolio that takes a long...

This study examines the cross-sectional impact of the 2008 short sale ban on the returns of U.S. financial stocks. Motivated by the large cross-sectional variation in the extent to which banned stocks suffer an illiquidity shock, we hypothesize that stocks with larger liquidity declines are...

Almost all studies on research and development (R&D) activity are based on US and British companies, and most of them show that this activity positively influences both stock returns and corporate value. This empirical study evaluates the effects of R&D on stock returns for a sample of listed...

This paper investigates whether long-term contrarian performance on the UK market is driven by low-priced stocks. We find that contrarian performance at low, middle, low price levels is positive. On the Fama-French risk adjusted basis, we find both low-priced and middle-priced losers have...

The correlation of returns for various equity asset classes has been high. In addition, the range or "dispersion" of returns across asset classes - and across sectors within those asset classes - has been low. These factors have made it difficult for active managers to outperform. But dispersion...

Given the process {X(t), t in T}, the definition of self-affinity is reformulated in terms of diameter of the space of the rescaled pdf's of X(t). Two necessary conditions are deduced which contribute to discriminate uniscaling processes. Furthermore, by properly choosing the distance, the...

Using well known US stock portfolios that are formed on B/M, long term reversals, momentum, and size, a long sample period (1965-2007), and the comprehensive sentiment index of Baker and Wurgler (2006), which captures the common variation of six commonly used proxies for sentiment, this paper...

This paper examines the long and short-run relationships between three Central European Economies stock returns (Poland, Hungary and Czech Republic) and their main western economic and trading partner, which is Germany. We obtain evidence of links between macroeconomic variables and stock...