We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike...

This paper examines the profits of revenue, earnings, and price momentum strategies in an attempt to understand investor reactions when facing multiple information of firm performance in various scenarios. We first offer evidence that there is no dominating momentum strategy among the revenue,...

We derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The results show that the model explains well the cross-section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the...

We find that procyclical stocks, whose returns comove with business cycles, earn higher average returns than countercyclical stocks. We use a half century of real GDP growth expectations from economists' surveys to determine forecasted economic states. This approach largely avoids the...

This paper provides evidence on the impact of fund board quality on (a) the fund flow-performance relation, (b) persistence in fund performance, and (c) a fund's potential change of strategy following a period of underperformance. We use Morningstar's board quality ratings as a proxy for the...

A new era began for U.S. equity real estate investment trusts (REITs) around 1992. This study is the first to document the dividend smoothing, determinants of dividend payouts, and the market reaction to dividend announcements of the modern REIT. We find the Lintner (1956) smoothing parameter...

Using returns to scale as a conceptual foundation, we explore how R&D-related earnings performance and earnings variability depend upon firm size. We find that the positive association between the level of future earnings and R&D intensity increases with firm size, and that the positive...

We present a discrete time model of expected bond returns (EBR). These are ex-ante expectations implied by the market prices and the data set available when bond prices are quoted. The model can be used to estimate the rating-adjusted EBR, its risk premium components, including a certainty...

We show analytically under quite general conditions that time-varying implied rates of return based on analysts' earnings forecasts are only a downward biased estimator for future expected one-period returns and therefore not suited for computing market risk premia in order to resolve the equity...