The momentum life cycle (MLC) hypothesis first proposed by Lee and Swaminathan (2000) applies also to global markets. Early-stage strategies significantly outperform the late-stage and conventional strategies in most countries. Individualism culture is positively associated with late-stage but...

We examine short sellers' use of textual information in annual reports for shorting activities. We find that more uncertainty and negative words in annual reports are associated with greater abnormal shorting volume. Short selling motivated by textual information negatively predicts stock price...

We examine whether short sellers pay attention to textual information in annual reports in their shorting activities. We find that the presence of more weak modal words in annual reports is associated with greater shorting volume. Shorting volume directly driven by specificity terms and weak...

We show that valuation uncertainty and information arrival are two key characteristics of factors that determine whether they are affected by sentiment or limited attention. Moreover, individual factors of the leading factor models do not have significant loadings on these two characteristics...